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Fix realized pnl bug in Portfolio #2243

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Jan 24, 2025
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Merged

Fix realized pnl bug in Portfolio #2243

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2 changes: 1 addition & 1 deletion nautilus_core/portfolio/src/portfolio.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -1053,7 +1053,7 @@ impl Portfolio {
continue; // Nothing to calculate
}

if position.side == PositionSide::Flat {
if position.realized_pnl.is_none() {
continue; // Nothing to calculate
}

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2 changes: 1 addition & 1 deletion nautilus_trader/portfolio/portfolio.pyx
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Expand Up @@ -1220,7 +1220,7 @@ cdef class Portfolio(PortfolioFacade):
if position.instrument_id != instrument_id:
continue # Nothing to calculate

if position.side == PositionSide.FLAT:
if position.realized_pnl is None:
continue # Nothing to calculate

pnl = position.realized_pnl.as_f64_c()
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6 changes: 3 additions & 3 deletions tests/unit_tests/portfolio/test_portfolio.py
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Expand Up @@ -1282,11 +1282,11 @@ def test_closing_position_updates_portfolio(self):
# Assert
assert self.portfolio.net_exposures(SIM) == {}
assert self.portfolio.unrealized_pnls(SIM) == {}
assert self.portfolio.realized_pnls(SIM) == {USD: Money(0, USD)}
assert self.portfolio.realized_pnls(SIM) == {USD: Money(6, USD)}
assert self.portfolio.margins_maint(SIM) == {}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(0, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(0, USD)
assert self.portfolio.realized_pnl(AUDUSD_SIM.id) == Money(0, USD)
assert self.portfolio.realized_pnl(AUDUSD_SIM.id) == Money(6, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(0)
assert not self.portfolio.is_net_long(AUDUSD_SIM.id)
assert not self.portfolio.is_net_short(AUDUSD_SIM.id)
Expand Down Expand Up @@ -1421,7 +1421,7 @@ def test_several_positions_with_different_instruments_updates_portfolio(self):

# Assert
assert self.portfolio.unrealized_pnls(SIM) == {USD: Money(-38998.00, USD)}
assert self.portfolio.realized_pnls(SIM) == {USD: Money(-4.00, USD)}
assert self.portfolio.realized_pnls(SIM) == {USD: Money(92.00, USD)}
assert self.portfolio.net_exposures(SIM) == {USD: Money(161002.00, USD)}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(161002.00, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(-38998.00, USD)
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