fix: portfolio metrics calculation

Author: lukecold

python/valuecell/agents/common/trading/_internal/runtime.py

@@ -115,17 +115,18 @@ async def create_strategy_runtime(
     # Create strategy runtime components
     strategy_id = strategy_id_override or generate_uuid("strategy")
 
-    # If an initial capital override wasn't provided, and this is a resume
-    # of an existing strategy, attempt to initialize from the persisted
-    # portfolio snapshot so the in-memory portfolio starts with the
-    # previously recorded equity.
-    initial_capital_override = None
+    # If this is a resume of an existing strategy,
+    # attempt to initialize from the persisted portfolio snapshot
+    # so the in-memory portfolio starts with the previously recorded equity.
+    free_cash_override = None
+    total_cash_override = None
     if strategy_id_override:
         try:
             repo = get_strategy_repository()
             snap = repo.get_latest_portfolio_snapshot(strategy_id_override)
             if snap is not None:
-                initial_capital_override = float(snap.total_value or snap.cash or 0.0)
+                free_cash_override = float(snap.cash or 0.0)
+                total_cash_override = float(snap.total_value - snap.total_unrealized_pnl or 0.0)
                 logger.info(
                     "Initialized runtime initial_capital from persisted snapshot for strategy_id=%s",
                     strategy_id_override,
@@ -136,15 +137,19 @@ async def create_strategy_runtime(
                 strategy_id_override,
             )
 
-    initial_capital = (
-        initial_capital_override or request.trading_config.initial_capital or 0.0
+    free_cash = (
+        free_cash_override or request.trading_config.initial_capital or 0.0
+    )
+    total_cash = (
+        total_cash_override or request.trading_config.initial_capital or 0.0
     )
     constraints = Constraints(
         max_positions=request.trading_config.max_positions,
         max_leverage=request.trading_config.max_leverage,
     )
     portfolio_service = InMemoryPortfolioService(
-        initial_capital=initial_capital,
+        free_cash=free_cash,
+        total_cash=total_cash,
         initial_positions=request.trading_config.initial_positions,
         trading_mode=request.exchange_config.trading_mode,
         market_type=request.exchange_config.market_type,

python/valuecell/agents/common/trading/portfolio/in_memory.py

@@ -36,7 +36,8 @@ class InMemoryPortfolioService(BasePortfolioService):
 
     def __init__(
         self,
-        initial_capital: float,
+        free_cash: float,
+        total_cash: float,
         initial_positions: Dict[str, PositionSnapshot],
         trading_mode: TradingMode,
         market_type: MarketType,
@@ -46,11 +47,16 @@ def __init__(
         # Store owning strategy id on the view so downstream components
         # always see which strategy this portfolio belongs to.
         self._strategy_id = strategy_id
-        position_value = sum(
+        net_exposure = sum(
             value.notional
             for value in initial_positions.values()
             if value.notional is not None
         )
+        gross_exposure = sum(
+            abs(value.notional)
+            for value in initial_positions.values()
+            if value.notional is not None
+        )
         total_unrealized_pnl = sum(
             value.unrealized_pnl
             for value in initial_positions.values()
@@ -59,16 +65,16 @@ def __init__(
         self._view = PortfolioView(
             strategy_id=strategy_id,
             ts=int(datetime.now(timezone.utc).timestamp() * 1000),
-            account_balance=initial_capital + position_value,
+            account_balance=free_cash,
             positions=initial_positions,
-            gross_exposure=position_value,
-            net_exposure=position_value,
+            gross_exposure=gross_exposure,
+            net_exposure=net_exposure,
             constraints=constraints or None,
-            total_value=initial_capital + position_value,
+            total_value=total_cash + total_unrealized_pnl,
             total_unrealized_pnl=total_unrealized_pnl,
             total_realized_pnl=0.0,
-            buying_power=initial_capital,
-            free_cash=initial_capital,
+            buying_power=free_cash,
+            free_cash=free_cash,
         )
         self._trading_mode = trading_mode
         self._market_type = market_type