Are there any examples of using TradeBuilder/StatisticsBuilder classes in Python? by Aaron Gilman

Aaron Gilman

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I am trying to figure out how to calculate MAE/MFE for trade analysis and find some references in the LEAN documentation about TradeBuilder/StatisticsBuilder classes. Does anyone know if this can be doe in Python? It looks like it is included in the API docs as self.SetTradeBuilder, but I am sure how to use it and in what context. Any help is appreciated.

Thanks,

Aaron

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Aaron Gilman

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Alexandre Catarino

TradeBuilder is a IAlgorithm member used to manage trades. It has a list of Trade object with the information you are looking for: MAE, MFE, Drawdown, etc... Trades are created based on a grouping method and a mathing method that are set with the TradeBuilder.
You can set the TradeBuilder using SetTradeBuilder(tradeBuilder), where tradeBuilder can be defined by:

tradeBuilder = TradeBuilder(fillGroupingMethod, fillMatchingMethod)

self.SetTradeBuilder(tradeBuilder)

We have three fill grouping methods and two fill mathing methods:

# A Trade is defined by a fill that establishes or increases a position and an offsetting fill that reduces the position size.

FillGroupingMethod.FillToFill

# A Trade is defined by a sequence of fills, from a flat position to a non-zero position which may increase or decrease in quantity, and back to a flat position.

FillGroupingMethod.FlatToFlat

# A Trade is defined by a sequence of fills, from a flat position to a non-zero position and an offsetting fill that reduces the position size.

FillGroupingMethod.FlatToReduced

# First In First Out fill matching method

FillMatchingMethod.FIFO

# Last In Last Out fill matching method

FillMatchingMethod.LIFO

If you want to Log the statistics at the end of the algorithm, you can use:

def OnEndOfAlgorithm(self):

   for trade in self.TradeBuilder.ClosedTrades:

       self.Log(self.trade_to_string(trade))

            

def trade_to_string(self, trade):

    return 'Symbol: {0} EntryTime: {1} EntryPrice {2} Direction: {3} Quantity: {4} ExitTime: {5} ExitPrice: {6} ProfitLoss: {7} TotalFees: {8} MAE: {9} MFE: {10} EndTradeDrawdown: {11}'.format(

        trade.Symbol, 

        trade.EntryTime, 

        trade.EntryPrice, 

        trade.Direction, 

        trade.Quantity,

        trade.ExitTime,

        trade.ExitPrice,

        trade.ProfitLoss,

        trade.TotalFees,

        trade.MAE,

        trade.MFE,

        trade.EndTradeDrawdown)

StatisticsBuilder, on the other hand, is used at engine level to calculate portfolio statistics that are shown in the "Overall Statistics". Github issue #1105 proposes making running statistics, calculated by the StatisticsBuilder, available in the algorithm.

Aaron Gilman

7.2k ,

Wow thank you so much! I eventually figured it out but this provides context (and is a lot cleaner than what I have set up as well) and is beyond appreciated. Thanks again.

-Aaron

Shane, Yuan An SIM

9 ,

Hi,

I am trying to use the method as suggested :

        tradeBuilder = ITradeBuilder(FillGroupingMethod.FillToFill,FillMatchingMethod.FIFO)    

        self.SetTradeBuilder(tradeBuilder)

but the error code says that FillGroupMethod is not defined. May I know what am I doing wrong? Thanks

Aaron Gilman

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