contango.trading.metrics.builder

contango.trading.metrics.builder

OpenPosition dataclass

OpenPosition(quantity: units = 0, entry_time: datetime | None = None, entry_price: USD | None = None)

A single open position when building trade points.

Attributes:

Name	Type	Description
quantity	units	The units for the position.
entry_time	datetime | None	The time in which the trade was entered.
entry_price	USD | None	The price in which the trade was entered at.

build_context

build_context(data: ExecutionData) -> AnalysisContext

Builds an AnalysisContext for a single backtest.

Parameters:

Name	Type	Description	Default
data	ExecutionData	The ExecutionData results from a strategy.	required

Returns:

Name	Type	Description
AnalysisContext	AnalysisContext	The context to compute metrics for the backtest.

Source code in src\contango\trading\metrics\builder.py

def build_context(data: ExecutionData) -> AnalysisContext:
    """
    Builds an `AnalysisContext` for a single backtest.

    Args:
        data: The `ExecutionData` results from a strategy.

    Returns:
        AnalysisContext: The context to compute metrics for the backtest.
    """
    equity_curve = _build_equity_curve(data)
    returns = _build_returns(equity_curve)
    drawdowns = _build_drawdowns(equity_curve)
    trades = _build_trades(data)

    return AnalysisContext(
        equity_curve=equity_curve,
        returns=returns,
        drawdowns=drawdowns,
        trades=trades
    )