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Do not overwrite position type when closed #770

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e788036
Do not overwrite position type when closed
sli-tao May 13, 2026
273cf00
update position tests
sli-tao May 13, 2026
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30 changes: 15 additions & 15 deletions tests/vali_tests/test_positions.py
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Original file line number Diff line number Diff line change
Expand Up @@ -483,7 +483,7 @@ def test_simple_long_position_with_explicit_FLAT(self):
self.add_order_to_position_and_save(position, o2)
self.validate_intermediate_position_state(position, {
'orders': [o1, o2],
'position_type': OrderType.FLAT,
'position_type': OrderType.LONG,
'is_closed_position': True,
'net_leverage': 0.0,
'net_value': 0.0,
Expand Down Expand Up @@ -598,7 +598,7 @@ def test_simple_long_position_with_implicit_FLAT(self):
self.add_order_to_position_and_save(position, o2)
self.validate_intermediate_position_state(position, {
'orders': [o1, o2],
'position_type': OrderType.FLAT,
'position_type': OrderType.LONG,
'is_closed_position': True,
'net_leverage': 0.0,
'net_value': 0.0,
Expand Down Expand Up @@ -670,7 +670,7 @@ def test_simple_short_position_with_explicit_FLAT(self):
self.add_order_to_position_and_save(position, o2)
self.validate_intermediate_position_state(position, {
'orders': [o1, o2],
'position_type': OrderType.FLAT,
'position_type': OrderType.SHORT,
'is_closed_position': True,
'net_leverage': 0.0,
'net_value': 0.0,
Expand Down Expand Up @@ -736,7 +736,7 @@ def test_liquidated_long_position_with_explicit_FLAT(self):
self.add_order_to_position_and_save(position, o2)
self.validate_intermediate_position_state(position, {
'orders': [o1, o2],
'position_type': OrderType.FLAT,
'position_type': OrderType.LONG,
'is_closed_position': True,
'net_leverage': 2.0,
'initial_entry_price': 100,
Expand Down Expand Up @@ -802,7 +802,7 @@ def test_liquidated_short_position_with_explicit_FLAT(self):
self.add_order_to_position_and_save(position, o2)
self.validate_intermediate_position_state(position, {
'orders': [o1, o2],
'position_type': OrderType.FLAT,
'position_type': OrderType.SHORT,
'is_closed_position': True,
'net_leverage': -1.0,
'initial_entry_price': 100,
Expand Down Expand Up @@ -880,7 +880,7 @@ def test_liquidated_short_position_with_no_FLAT(self):

self.validate_intermediate_position_state(position, {
'orders': [o1, o2, position.orders[2]],
'position_type': OrderType.FLAT,
'position_type': OrderType.SHORT,
'is_closed_position': True,
'net_leverage': -1.0,
'initial_entry_price': 100,
Expand All @@ -906,7 +906,7 @@ def test_liquidated_short_position_with_no_FLAT(self):
self.add_order_to_position_and_save(position, o3)
self.validate_intermediate_position_state(position, {
'orders': [o1, o2, position.orders[2]],
'position_type': OrderType.FLAT,
'position_type': OrderType.SHORT,
'is_closed_position': True,
'net_leverage': -1.0,
'initial_entry_price': 100,
Expand Down Expand Up @@ -983,7 +983,7 @@ def test_liquidated_long_position_with_no_FLAT(self):

self.validate_intermediate_position_state(position, {
'orders': [o1, o2, position.orders[2]],
'position_type': OrderType.FLAT,
'position_type': OrderType.LONG,
'is_closed_position': True,
'net_leverage': 2.0,
'initial_entry_price': 100,
Expand All @@ -1010,7 +1010,7 @@ def test_liquidated_long_position_with_no_FLAT(self):

self.validate_intermediate_position_state(position, {
'orders': [o1, o2, position.orders[2]],
'position_type': OrderType.FLAT,
'position_type': OrderType.LONG,
'is_closed_position': True,
'net_leverage': 2.0,
'initial_entry_price': 100,
Expand Down Expand Up @@ -1076,7 +1076,7 @@ def test_simple_short_position_with_implicit_FLAT(self):
self.add_order_to_position_and_save(position, o2)
self.validate_intermediate_position_state(position, {
'orders': [o1, o2],
'position_type': OrderType.FLAT,
'position_type': OrderType.SHORT,
'is_closed_position': True,
'net_leverage': 0.0,
'initial_entry_price': 1000,
Expand Down Expand Up @@ -1204,7 +1204,7 @@ def test_three_orders_with_longs_no_drawdown(self):
self.add_order_to_position_and_save(position, o3)
self.validate_intermediate_position_state(position, {
'orders': [o1, o2, o3],
'position_type': OrderType.FLAT,
'position_type': OrderType.LONG,
'is_closed_position': True,
'net_leverage': 0.0,
'initial_entry_price': 1000,
Expand Down Expand Up @@ -1269,7 +1269,7 @@ def test_two_orders_with_a_loss(self):
self.add_order_to_position_and_save(position, o2)
self.validate_intermediate_position_state(position, {
'orders': [o1, o2],
'position_type': OrderType.FLAT,
'position_type': OrderType.LONG,
'is_closed_position': True,
'net_leverage': 0.0,
'initial_entry_price': 1000,
Expand Down Expand Up @@ -1431,7 +1431,7 @@ def test_returns_on_large_price_increase(self):

self.validate_intermediate_position_state(position, {
'orders': [o1, o2, o3, o4, o5],
'position_type': OrderType.FLAT,
'position_type': OrderType.LONG,
'is_closed_position': True,
'net_leverage': 0.0,
'initial_entry_price': 1000,
Expand Down Expand Up @@ -1495,7 +1495,7 @@ def test_returns_on_many_shorts(self):

self.validate_intermediate_position_state(position, {
'orders': [o1, o2, o3, o4, o5],
'position_type': OrderType.FLAT,
'position_type': OrderType.SHORT,
'is_closed_position': True,
'net_leverage': 0.0,
'initial_entry_price': 1000,
Expand Down Expand Up @@ -1559,7 +1559,7 @@ def test_returns_on_alternating_long_short(self):

self.validate_intermediate_position_state(position, {
'orders': [o1, o2, o3, o4, o5],
'position_type': OrderType.FLAT,
'position_type': OrderType.SHORT,
'is_closed_position': True,
'net_leverage': 0.0,
'initial_entry_price': 1000,
Expand Down
11 changes: 5 additions & 6 deletions vali_objects/vali_dataclasses/position.py
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Original file line number Diff line number Diff line change
Expand Up @@ -596,7 +596,7 @@ def calculate_pnl(self, current_price, live_price_fetcher, t_ms=None, order=None
# pnl with slippage
if order:
# update realized pnl for orders that reduce the size of a position
if order.order_type != self.position_type or self.position_type == OrderType.FLAT:
if order.order_type != self.position_type or self.is_closed_position:
exit_price = current_price * (1 + order.slippage) if order.leverage > 0 else current_price * (1 - order.slippage)
order_realized_pnl_quote = -1 * (exit_price - self.average_entry_price) * (order.quantity * order.trade_pair.lot_size)
order.realized_pnl = order_realized_pnl_quote * order.quote_usd_rate
Expand Down Expand Up @@ -825,7 +825,7 @@ def update_position_state_for_new_order(self, order, delta_quantity, delta_lever
self._position_log(f"closed position total w/o fees [{self.current_return}]. Trade pair: {self.trade_pair.trade_pair_id}")
self._position_log(f"closed return with fees [{self.return_at_close}]. Trade pair: {self.trade_pair.trade_pair_id}")

if self.position_type == OrderType.FLAT:
if self.is_closed_position:
self.net_leverage = 0.0
self.net_quantity = 0.0
self.net_value = 0.0
Expand Down Expand Up @@ -867,7 +867,6 @@ def initialize_position_from_first_order(self, order):
self.close_out_position(order.processed_ms)

def close_out_position(self, close_ms):
self.position_type = OrderType.FLAT
self.is_closed_position = True
self.close_ms = close_ms

Expand Down Expand Up @@ -1070,10 +1069,10 @@ def _update_position(self, price_fetcher_client=None):

# Reflect the current order in the current position's return.
adjusted_quantity = (
0.0 if self.position_type == OrderType.FLAT else order.quantity
0.0 if self.is_closed_position else order.quantity
)
adjusted_leverage = (
0.0 if self.position_type == OrderType.FLAT else order.leverage
0.0 if self.is_closed_position else order.leverage
)
#bt.logging.info(
# f"Updating position state for new order {order} with adjusted leverage {adjusted_quantity}"
Expand All @@ -1082,5 +1081,5 @@ def _update_position(self, price_fetcher_client=None):


# If the position is already closed, we don't need to process any more orders. break in case there are more orders.
if self.position_type == OrderType.FLAT:
if self.is_closed_position:
break
2 changes: 1 addition & 1 deletion vanta_api/websocket_server.py
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Original file line number Diff line number Diff line change
Expand Up @@ -320,7 +320,7 @@ def _create_test_position(self, timestamp: int) -> Dict[str, Any]:
'order_uuid': 'd6e1e768-9024-4cc5-84d7-d66691d82061', 'price_sources': [], 'src': 0}],
'current_return': 0.9980034808990859, 'close_ms': 1742362860000, 'net_leverage': 0.0,
'return_at_close': 0.9980034808990859, 'average_entry_price': 82871.92127250001,
'position_type': OrderType.FLAT,
'position_type': OrderType.SHORT,
'is_closed_position': True})
return p.to_websocket_dict()

Expand Down
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