PNL Calculation #85

Answered by nkaz001

pakornavakul asked this question in Q&A

pakornavakul
Jun 18, 2024

Hello,
Questions regarding how PNL is calculated. I seems like you are using mid, balance, position, and fee to form an equity curve. How does the actual filled price gets factor into this PNL? Through balance?

Thanks for your help!

Answered by nkaz001

yes, the balance is the cumulative value calculated by multiplying the filled price by the filled quantity, considering the side of execution.

please see

hftbacktest/hftbacktest/state.py

Line 25 in 8f1784b

def apply_fill(self, order):

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Replies: 1 comment

nkaz001
Jun 18, 2024
Maintainer

yes, the balance is the cumulative value calculated by multiplying the filled price by the filled quantity, considering the side of execution.

please see

hftbacktest/hftbacktest/state.py

Line 25 in 8f1784b

def apply_fill(self, order):

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Answer selected by pakornavakul

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