More attributes needed in Position class

[nwillemse]

There are a few attributes needed in the position class for statistics, etc:

1. entry_datetime: when the position was first opened
2. exit_datetime: end the position was closed
3. trade_pct: trade percentage ( avg_sld / avg_bot -1 )
4. bars_in_trade: how long the position was open for in terms of bars
5. mfe: maximum favorable excursion
6. mae: maximum adverse excursion

Some of these can be calculated later on (i.e in the Statistics class), but I think it might be needed somewhere else in the system and the best place is probably Position class.

I can do some of this, but I believe we have some PR's pending?

[femtotrader]

Exit is not necessary binary... There is for example partial close and we need a way to handle this

I'm not in favor of this bars_in_trade because you can backtest using tick data.

Not sure if MFE and MAE should be store here.

[alexispetit]

I believe that what you suggest is more appropriate to trades than to positions.

I don't know if it's been discussed somewhere, but it would be good to separate the trades from the positions, as positions (ie, per instrument) are in my opinion simply a view of the currently open trades P&L. Trades objects could contain a tag attribute (a dict) to allow users to compute views per whatever they want (eg, system name, a spread/combo, sector, etc.). Any thoughts on this?