include price in psuedo fills calculation

Author: rob

syscore/pandas/pdutils.py

@@ -13,6 +13,16 @@
 DEFAULT_DATE_FORMAT_FOR_CSV = "%Y-%m-%d %H:%M:%S"
 
 
+def rolling_pairwise_correlation(
+    x: pd.DataFrame, periods: int, min_periods: int = 3
+) -> pd.Series:
+
+    assert len(x.columns) == 2
+
+    rolling_corr_df = x.rolling(periods, min_periods=min_periods).corr()
+    return rolling_corr_df.droplevel(1)[::2].iloc[:, 1]
+
+
 def is_a_series(x: Union[pd.Series, pd.DataFrame]) -> bool:
     columns = getattr(x, "columns", None)
     return columns is None

sysdata/sim/sim_data.py

@@ -305,9 +305,7 @@ def _resolve_start_date(sim_data: simData):
 
     if isinstance(start_date, datetime.date):
         # yaml parses unquoted date like 2000-01-01 to datetime.date
-        start_date = datetime.datetime.combine(
-            start_date, datetime.datetime.min.time()
-        )
+        start_date = datetime.datetime.combine(start_date, datetime.datetime.min.time())
     elif not isinstance(start_date, datetime.datetime):
         try:
             start_date = datetime.datetime.strptime(start_date, "%Y-%m-%d")

systems/accounts/pandl_calculators/pandl_cash_costs.py

@@ -3,6 +3,7 @@
 import pandas as pd
 
 from syscore.pandas.pdutils import uniquets
+from syscore.pandas.find_data import get_row_of_series_before_date
 from syscore.pandas.strategy_functions import calculate_cost_deflator, years_in_data
 from syscore.dateutils import generate_equal_dates_within_year
 from syscore.genutils import flatten_list
@@ -110,11 +111,15 @@ def _pseudo_fills_for_year(self, year: int) -> list:
         average_holding_by_period = self._average_holdings_within_year(
             year, rolls_per_year
         )
-        notional_price = 0  # doesn't actually affect costs
+        price_series = self.price.ffill()
         last_date_with_positions = self.last_date_with_positions
 
         fills_this_year = [
-            Fill(date=date, qty=qty, price=notional_price)
+            Fill(
+                date=date,
+                qty=qty,
+                price=get_row_of_series_before_date(price_series, date),
+            )
             for date, qty in zip(date_list, average_holding_by_period)
             if date <= last_date_with_positions
         ]