Portfolio

Holdings

Introduction

The Portfolioportfolio is a dictionary where the key is a Symbol and the value is a SecurityHolding.

// Create shortcut helper to the SPY SecurityHolding object from the Portfolio collection. 
var securityHolding = Portfolio["SPY"];
# Create shortcut helper to the SPY SecurityHolding object from the Portfolio collection.
security_holding = self.portfolio["SPY"]

Properties

SecurityHolding objects have the following properties:

// Save shortcut to SecurityHolding object, and fetch quantity and invested status.
var securityHolding = Portfolio["SPY"];
var quantity = securityHolding.Quantity;
var invested = securityHolding.Invested;
#  Save shortcut to SecurityHolding object, and fetch quantity and invested status.
security_holding = self.portfolio["SPY"]
quantity = security_holding.quantity
invested = security_holding.invested

FutureHolding objects also have SettledProfitsettled_profit and UnsettledProfitunsettled_profit properties.

Get Total Close Profit

To get the profit of a position holding if you closed the position, call the TotalCloseProfittotal_close_profit method. The value this method returns is denominated in your account currency and accounts for order fees.

var profit = Portfolio["SPY"].TotalCloseProfit();
profit = self.portfolio["SPY"].total_close_profit()

The TotalCloseProfittotal_close_profit method accepts the following optional arguments:

ArgumentData TypeDescriptionDefault Value
includeFeesinclude_feesboolWhether to reduce the profit based on the estimated fee from the fee model.trueTrue
exitPriceexit_pricedecimal?float/NoneTypeA hypothetical exit price to use for the profit calculation. If you don't provide a value, it uses the bid price for sell orders or the ask price for buy orders.nullNone
entryPriceentry_pricedecimal?float/NoneTypeA hypothetical exit price to use for the profit calculation. If you don't provide a value, it uses the average price of the SecurityHolding.nullNone
quantitydecimal?float/NoneTypeThe quantity to liquidate. If you don't provide a value, it uses the quantity of the SecurityHolding.nullNone

LEAN uses this method to define the UnrealizedProfitunrealized_profit property.

Get Quantity Value

To get the value of a security at any quantity, call the GetQuantityValueget_quantity_value method. The value this method returns is denominated in your account currency.

// Get the quantity value at the current price
var valueAtCurrentPrice = Portfolio["SPY"].GetQuantityValue(100);

// Get the quantity value at a specific price
var valueAtSpecificPrice = Portfolio["SPY"].GetQuantityValue(100, price: 30);
# Get the quantity value at the current price
value_at_current_price = self.portfolio["SPY"].get_quantity_value(100)

# Get the quantity value at a specific price
value_at_specific_price = self.portfolio["SPY"].get_quantity_value(100, price=30)

Set Initial Holdings

When you deploy a backtest or a new paper trading algorithm, the default initial portfolio state contains $100,000 USD. However, in the Initializeinitialize method, you can define the initial portfolio state to something else. To set the initial cash balances, call SetCashset_cash with the currency ticker and quantity. To set multiple currencies, call the method multiple times. 

SetCash(100000);       // Set the quantity of the account currency to 100,000
SetCash("BTC", 10);    // Set the Bitcoin quantity to 10
SetCash("EUR", 10000); // Set the EUR quantity to 10,000
self.set_cash(100000)       # Set the quantity of the account currency to 100,000
self.set_cash("BTC", 10)    # Set the Bitcoin quantity to 10
self.set_cash("EUR", 10000) # Set the EUR quantity to 10,000

To set the initial security holdings, subscribe to the security so that it enters your portfolio, then call the SecurityHolding.SetHoldingsSecurityHolding.set_holdings method with the average purchase price and quantity. 

if (!LiveMode)
{
    Portfolio["SPY"].SetHoldings(averagePrice: 500, quantity: 100);
}
if not self.live_mode:
    self.portfolio["SPY"].set_holdings(average_price=500, quantity=100)

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