+001: cimport cython

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 003: from libc.math cimport sqrt

 004: 

 005: cimport numpy as np

+006: import numpy as np

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 008: 

 009: from zipline._protocol cimport InnerPosition

 010: from zipline.assets._assets cimport Future

 011: 

 012: 

+013: cpdef update_position_last_sale_prices(positions, get_price, dt):

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 014:     """Update the positions' last sale prices.

 015: 

 016:     Parameters

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 019:         The positions to update.

 020:     get_price : callable[Asset, float]

 021:         The function to retrieve the price for the asset.

 022:     dt : pd.Timestamp

 023:         The dt to set as the last sale date if the price is not nan.

 024:     """

 025:     cdef InnerPosition inner_position

 026:     cdef np.float64_t last_sale_price

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 038: 

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 040: cdef class PositionStats:

 041:     """Computed values from the current positions.

 042: 

 043:     Attributes

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 045:     gross_exposure : float64

 046:         The gross position exposure.

 047:     gross_value : float64

 048:         The gross position value.

 049:     long_exposure : float64

 050:         The exposure of just the long positions.

 051:     long_value : float64

 052:         The value of just the long positions.

 053:     net_exposure : float64

 054:         The net position exposure.

 055:     net_value : float64

 056:         The net position value.

 057:     short_exposure : float64

 058:         The exposure of just the short positions.

 059:     short_value : float64

 060:         The value of just the short positions.

 061:     longs_count : int64

 062:         The number of long positions.

 063:     shorts_count : int64

 064:         The number of short positions.

 065:     position_exposure_array : np.ndarray[float64]

 066:         The exposure of each position in the same order as

 067:         ``position_tracker.positions``.

 068:     position_exposure_series : pd.Series[float64]

 069:         The exposure of each position in the same order as

 070:         ``position_tracker.positions``. The index is the numeric sid of each

 071:         asset.

 072: 

 073:     Notes

 074:     -----

 075:     ``position_exposure_array`` and ``position_exposure_series`` share the same

 076:     underlying memory. The array interface should be preferred if you are doing

 077:     access each minute for better performance.

 078: 

 079:     ``position_exposure_array`` and ``position_exposure_series`` may be mutated

 080:     when the position tracker next updates the stats. Do not rely on these

 081:     objects being preserved across accesses to ``stats``. If you need to freeze

 082:     the values, you must take a copy.

 083:     """

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 203: 

 204:         # NOTE: this loop does a lot of stuff!

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 207:         # through every single position multiple times.

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 214:             # unchecked cast, this is safe because we do a type check above

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 216:         else:

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 228:         with cython.boundscheck(False), cython.wraparound(False):

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 250: 

 251: 

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 299: 

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 301: 

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