For strategies that trade >1 instrument, it would be nice to have a way to group positions for the purposes of trades analysis and pnl reporting.
A simple example would be a pair trading strategy, information about fills and positional pnl is not useful on a per-instrument or position_id basis (one leg may show small losses, with another leg having much larger gains), it should only be considered for all instruments in the pair (or group).
Could we add some sort of optional "position_group" alongside the position_ids that currently exist in nautilus? This could merely be an attribute that gets added to reports etc for now, but could eventually be integrated into the portfolio for "position group" pnl perhaps.
ccitzen
commented
1 year ago
Feature Request
For strategies that trade >1 instrument, it would be nice to have a way to group positions for the purposes of trades analysis and pnl reporting.
A simple example would be a pair trading strategy, information about fills and positional pnl is not useful on a per-instrument or position_id basis (one leg may show small losses, with another leg having much larger gains), it should only be considered for all instruments in the pair (or group).
Could we add some sort of optional "position_group" alongside the position_ids that currently exist in nautilus? This could merely be an attribute that gets added to reports etc for now, but could eventually be integrated into the portfolio for "position group" pnl perhaps.