Fix the Position Book

Difficulty

Asked at Hudson River Trading, Tower Research Capital

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Language: Python 3.12PositionBook

class PositionBook:
    """..."""

    lots = {}
    pnl = {}

    def fill(self, symbol, qty, price):
        book = self.lots.setdefault(symbol, [])
        if not book or (book[0][0] > 0) == (qty > 0):
            book.append([qty, price])
            return
        remaining = qty
        for lot in book:
            if remaining == 0:
                break
            closed = min(abs(remaining), abs(lot[0]))
            sign = 1 if lot[0] > 0 else -1
            self.pnl[symbol] = self.pnl.get(symbol, 0) + closed * (price - lot[1]) * sign
            lot[0] -= closed * sign
            remaining += closed * sign
            if lot[0] == 0:
                book.remove(lot)

    def position(self, symbol):
        return sum(lot[0] for lot in self.lots.get(symbol, []))

    def open_lots(self, symbol):
        return self.lots.get(symbol, [])

    def realised(self, symbol):
        return self.pnl.get(symbol, 0)

    def snapshot(self):
        return {symbol: self.position(symbol) for symbol in self.lots if self.position(symbol)}

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