fix #1009

sysobjects/instruments.py

@@ -314,6 +314,23 @@ def percentage_cost(self):
     def value_of_pertrade_commission(self):
         return self._value_of_pertrade_commission
 
+    def calculate_sr_cost(
+        self,
+        block_price_multiplier: float,
+        price: float,
+        ann_stdev_price_units: float,
+        blocks_traded: float = 1.0,
+    ) -> float:
+        cost_instrument_currency = self.calculate_cost_instrument_currency(
+            blocks_traded=blocks_traded,
+            block_price_multiplier=block_price_multiplier,
+            price=price,
+        )
+
+        ann_stdev_instrument_currency = ann_stdev_price_units * block_price_multiplier
+
+        return cost_instrument_currency / ann_stdev_instrument_currency
+
     def calculate_cost_percentage_terms(
         self, blocks_traded: float, block_price_multiplier: float, price: float
     ) -> float:

sysproduction/data/risk.py

@@ -159,6 +159,26 @@ def get_perc_of_strategy_capital_for_instrument_per_contract(
     return exposure_per_contract / capital_base_fx
 
 
+def get_current_ann_stdev_of_prices(data, instrument_code):
+    try:
+        current_stdev_ann_price_units = get_ann_ts_stdev_of_prices(
+            data=data, instrument_code=instrument_code
+        )[-1]
+    except:
+        ## can happen for brand new instruments not properly loaded
+        return np.nan
+
+    return current_stdev_ann_price_units
+
+
+def get_ann_ts_stdev_of_prices(data, instrument_code):
+    stdev_ann_price_units = get_daily_ts_stdev_of_prices(
+        data=data, instrument_code=instrument_code
+    )
+
+    return stdev_ann_price_units * ROOT_BDAYS_INYEAR
+
+
 def get_daily_ts_stdev_of_prices(data, instrument_code):
     dailyreturns = get_daily_returns_for_risk(data, instrument_code)
     volconfig = copy(vol_config(data))

sysproduction/reporting/data/costs.py

@@ -19,7 +19,7 @@
     get_recent_broker_orders,
     create_raw_slippage_df,
 )
-from sysproduction.data.risk import get_current_annualised_perc_stdev_for_instrument
+from sysproduction.data.risk import get_current_ann_stdev_of_prices
 
 
 def get_current_configured_spread_cost(data) -> pd.Series:
@@ -35,34 +35,8 @@ def get_SR_cost_calculation_for_instrument(
     include_spread: bool = True,
 ):
 
-    percentage_cost = get_percentage_cost_for_instrument(
-        data,
-        instrument_code,
-        include_spread=include_spread,
-        include_commission=include_commission,
-    )
-    avg_annual_vol_perc = get_percentage_ann_stdev(data, instrument_code)
-
-    # cost per round trip
-    SR_cost = 2.0 * percentage_cost / avg_annual_vol_perc
-
-    return dict(
-        percentage_cost=percentage_cost,
-        avg_annual_vol_perc=avg_annual_vol_perc,
-        SR_cost=SR_cost,
-    )
-
-
-def get_percentage_cost_for_instrument(
-    data: dataBlob,
-    instrument_code: str,
-    include_spread: bool = True,
-    include_commission: bool = True,
-):
     diag_instruments = diagInstruments(data)
     costs_object = diag_instruments.get_cost_object(instrument_code)
-    if not include_spread and not include_commission:
-        return 0
     if not include_spread:
         costs_object = costs_object.commission_only()
 
@@ -72,23 +46,31 @@ def get_percentage_cost_for_instrument(
     blocks_traded = 1
     block_price_multiplier = get_block_size(data, instrument_code)
     price = recent_average_price(data, instrument_code)
-    percentage_cost = costs_object.calculate_cost_percentage_terms(
+
+    stdev_ann_price_units = get_current_ann_stdev_of_prices(
+        data=data, instrument_code=instrument_code
+    )
+
+    SR_cost = costs_object.calculate_sr_cost(
         blocks_traded=blocks_traded,
         block_price_multiplier=block_price_multiplier,
+        ann_stdev_price_units=stdev_ann_price_units,
         price=price,
     )
 
-    return percentage_cost
-
+    percentage_cost = costs_object.calculate_cost_percentage_terms(
+        blocks_traded=blocks_traded,
+        block_price_multiplier=block_price_multiplier,
+        price=price,
+    )
 
-def get_percentage_ann_stdev(data, instrument_code):
-    try:
-        perc = get_current_annualised_perc_stdev_for_instrument(data, instrument_code)
-    except:
-        ## can happen for brand new instruments not properly loaded
-        return np.nan
+    avg_annual_vol_perc = stdev_ann_price_units / price
 
-    return perc
+    return dict(
+        percentage_cost=percentage_cost,
+        avg_annual_vol_perc=avg_annual_vol_perc,
+        SR_cost=SR_cost,
+    )
 
 
 def adjust_df_costs_show_ticks(

systems/accounts/account_costs.py

@@ -315,38 +315,40 @@ def get_SR_cost_per_trade_for_instrument(self, instrument_code: str) -> float:
         0.0065584086244069775
         """
 
-        cost_in_percentage_terms = self.get_SR_cost_per_trade_for_instrument_percentage(
-            instrument_code
-        )
-        avg_annual_vol_perc = self._recent_average_annual_perc_vol(instrument_code)
-
-        # cost per round trip so double
-        SR_cost = 2.0 * cost_in_percentage_terms / avg_annual_vol_perc
-
-        return SR_cost
-
-    @diagnostic()
-    def get_SR_cost_per_trade_for_instrument_percentage(
-        self, instrument_code: str
-    ) -> float:
         raw_costs = self.get_raw_cost_data(instrument_code)
         block_price_multiplier = self.get_value_of_block_price_move(instrument_code)
-        average_price = self._recent_average_price(instrument_code)
         notional_blocks_traded = 1
+        average_price = self._recent_average_price(instrument_code)
+        ann_stdev_price_units = self._recent_average_annual_price_vol(instrument_code)
 
-        cost_in_percentage_terms = raw_costs.calculate_cost_percentage_terms(
-            blocks_traded=notional_blocks_traded,
+        SR_cost = raw_costs.calculate_sr_cost(
             block_price_multiplier=block_price_multiplier,
+            ann_stdev_price_units=ann_stdev_price_units,
+            blocks_traded=notional_blocks_traded,
             price=average_price,
         )
 
-        return cost_in_percentage_terms
+        return SR_cost
+
+    @diagnostic()
+    def _recent_average_annual_price_vol(self, instrument_code: str) -> float:
+        average_vol = self._recent_average_daily_vol(instrument_code)
+
+        avg_annual_vol = average_vol * ROOT_BDAYS_INYEAR
+
+        return avg_annual_vol
+
+    @diagnostic()
+    def _recent_average_daily_vol(self, instrument_code: str) -> float:
+        daily_vol = self.get_daily_returns_volatility(instrument_code)
+        start_date = self._date_one_year_before_end_of_price_index(instrument_code)
+        average_vol = float(daily_vol[start_date:].mean())
+
+        return average_vol
 
     @diagnostic()
     def _recent_average_price(self, instrument_code: str) -> float:
-        daily_price = self.get_instrument_prices_for_position_or_forecast(
-            instrument_code
-        )
+        daily_price = self.get_daily_prices(instrument_code)
         start_date = self._date_one_year_before_end_of_price_index(instrument_code)
         average_price = float(daily_price[start_date:].mean())
 
@@ -363,24 +365,6 @@ def _date_one_year_before_end_of_price_index(self, instrument_code: str):
 
         return start_date
 
-    @diagnostic()
-    def _recent_average_annual_perc_vol(self, instrument_code: str) -> float:
-        average_vol = self._recent_average_daily_vol(instrument_code)
-
-        avg_annual_vol = average_vol * ROOT_BDAYS_INYEAR
-        average_price = self._recent_average_price(instrument_code)
-        avg_annual_vol_perc = avg_annual_vol / average_price
-
-        return avg_annual_vol_perc
-
-    @diagnostic()
-    def _recent_average_daily_vol(self, instrument_code: str) -> float:
-        daily_vol = self.get_daily_returns_volatility(instrument_code)
-        start_date = self._date_one_year_before_end_of_price_index(instrument_code)
-        average_vol = float(daily_vol[start_date:].mean())
-
-        return average_vol
-
     @property
     def use_SR_costs(self) -> bool:
         return str2Bool(self.config.use_SR_costs)