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<class 'pandas.core.frame.DataFrame'>
RangeIndex: 868602 entries, 0 to 868601
Data columns (total 11 columns):
Unnamed: 0 868602 non-null int64
Symbol 868602 non-null object
DateType 868602 non-null datetime64[ns]
Type 867324 non-null object
ExpDate 867324 non-null object
Strike 867324 non-null float64
Last 868602 non-null float64
Bid 868602 non-null float64
Ask 868602 non-null float64
Volume 868602 non-null int64
UnderlyingPrice 867324 non-null float64
dtypes: datetime64[ns](1), float64(5), int64(2), object(3)
memory usage: 72.9+ MB
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2011-09-01 00:00:00 strategy [INFO] Portfolio Amount:100000 Allotted Portfolio Amount: 10000.0
2011-09-01 00:00:00 strategy [INFO] Enter Position: +7434.94423792 VXX110917P00041000 -7434.94423792 VXX110917P00039000 at price 1.345; VXX: 39.49
2011-09-06 00:00:00 strategy [INFO] Exit 7434 VXX110917P00041000 -7434 VXX110917P00039000 at price 0.825; PnL: -1672.65; VXX: 42.72
2011-09-06 00:00:00 strategy [INFO] Portfolio Amount:99739.81 Allotted Portfolio Amount: 9973.981
2011-09-06 00:00:00 strategy [INFO] Enter Position: +1673.48674497 VXX111022P00047000 -1673.48674497 VXX110917P00042000 at price 5.96; VXX: 42.72
2011-09-14 00:00:00 strategy [INFO] Exit 1673 VXX111022P00047000 -1673 VXX110917P00042000 at price 6.135; PnL: -41.825; VXX: 44.6
2011-09-14 00:00:00 strategy [INFO] Portfolio Amount:101203.685 Allotted Portfolio Amount: 10120.3685
2011-09-14 00:00:00 strategy [INFO] Enter Position: +3892.44942308 VXX111022P00048000 -3892.44942308 VXX111022P00044000 at price 2.6; VXX: 44.6
2011-09-22 00:00:00 strategy [INFO] Exit 3892 VXX111022P00048000 -3892 VXX111022P00044000 at price 1.89; PnL: -3930.92; VXX: 49.84
2011-09-22 00:00:00 strategy [INFO] Portfolio Amount:96883.565 Allotted Portfolio Amount: 9688.3565
2011-09-22 00:00:00 strategy [INFO] Enter Position: +2958.27679389 VXX111022P00054000 -2958.27679389 VXX111022P00049000 at price 3.275; VXX: 49.84
2011-10-03 00:00:00 strategy [INFO] Exit 2958 VXX111022P00054000 -2958 VXX111022P00049000 at price 1.925; PnL: -3475.65; VXX: 56.84
2011-10-03 00:00:00 strategy [INFO] Portfolio Amount:95596.835 Allotted Portfolio Amount: 9559.6835
2011-10-03 00:00:00 strategy [INFO] Enter Position: +3901.91163265 VXX111022P00060000 -3901.91163265 VXX111022P00056000 at price 2.45; VXX: 56.84
2011-10-05 00:00:00 strategy [INFO] Exit 3901 VXX111022P00060000 -3901 VXX111022P00056000 at price 3.3; PnL: 877.725; VXX: 50.26
2011-10-05 00:00:00 strategy [INFO] Portfolio Amount:97157.235 Allotted Portfolio Amount: 9715.7235
2011-10-05 00:00:00 strategy [INFO] Enter Position: +3840.206917 VXX111022P00053000 -3840.206917 VXX111022P00049000 at price 2.53; VXX: 50.26
2011-10-12 00:00:00 strategy [INFO] Exit 3840 VXX111022P00053000 -3840 VXX111022P00049000 at price 3.675; PnL: 4032.0; VXX: 42.97
2011-10-12 00:00:00 strategy [INFO] Portfolio Amount:101381.235 Allotted Portfolio Amount: 10138.1235
2011-10-12 00:00:00 strategy [INFO] Enter Position: +1834.95447964 VXX111119P00047000 -1834.95447964 VXX111022P00042000 at price 5.525; VXX: 42.97
2011-10-19 00:00:00 strategy [INFO] Exit 1834 VXX111119P00047000 -1834 VXX111022P00042000 at price 5.415; PnL: -596.05; VXX: 45.87
2011-10-19 00:00:00 strategy [INFO] Portfolio Amount:100610.955 Allotted Portfolio Amount: 10061.0955
2011-10-19 00:00:00 strategy [INFO] Enter Position: +3119.71953488 VXX111119P00050000 -3119.71953488 VXX111119P00045000 at price 3.225; VXX: 45.87
2011-10-27 00:00:00 strategy [INFO] Exit 3119 VXX111119P00050000 -3119 VXX111119P00045000 at price 4.575; PnL: 4366.6; VXX: 36.45
2011-10-27 00:00:00 strategy [INFO] Portfolio Amount:104977.555 Allotted Portfolio Amount: 10497.7555
2011-10-27 00:00:00 strategy [INFO] Enter Position: +5275.2540201 VXX111119P00039000 -5275.2540201 VXX111119P00036000 at price 1.99; VXX: 36.45
2011-10-31 00:00:00 strategy [INFO] Exit 5275 VXX111119P00039000 -5275 VXX111119P00036000 at price 1.34; PnL: -3877.125; VXX: 40.11
2011-10-31 00:00:00 strategy [INFO] Portfolio Amount:97645.305 Allotted Portfolio Amount: 9764.5305
2011-10-31 00:00:00 strategy [INFO] Enter Position: +5394.76823204 VXX111119P00042000 -5394.76823204 VXX111119P00039000 at price 1.81; VXX: 40.11
2011-11-01 00:00:00 strategy [INFO] Exit 5394 VXX111119P00042000 -5394 VXX111119P00039000 at price 1.045; PnL: 0.0; VXX: 45.92
2011-11-01 00:00:00 strategy [INFO] Portfolio Amount:98184.705 Allotted Portfolio Amount: 9818.4705
2011-11-01 00:00:00 strategy [INFO] Enter Position: +3850.38058824 VXX111119P00049000 -3850.38058824 VXX111119P00045000 at price 2.55; VXX: 45.92
2011-11-08 00:00:00 strategy [INFO] Exit 3850 VXX111119P00049000 -3850 VXX111119P00045000 at price 3.425; PnL: 2406.25; VXX: 40.82
2011-11-08 00:00:00 strategy [INFO] Portfolio Amount:95181.705 Allotted Portfolio Amount: 9518.1705
2011-11-08 00:00:00 strategy [INFO] Enter Position: +1760.99361702 VXX111217P00045000 -1760.99361702 VXX111119P00040000 at price 5.405; VXX: 40.82
2011-11-09 00:00:00 strategy [INFO] Exit 1760 VXX111217P00045000 -1760 VXX111119P00040000 at price 3.795; PnL: 0.0; VXX: 48.52
2011-11-09 00:00:00 strategy [INFO] Portfolio Amount:96660.105 Allotted Portfolio Amount: 9666.0105
2011-11-09 00:00:00 strategy [INFO] Enter Position: +1453.53541353 VXX111217P00054000 -1453.53541353 VXX111119P00048000 at price 6.65; VXX: 48.52
2011-11-16 00:00:00 strategy [INFO] Exit 1453 VXX111217P00054000 -1453 VXX111119P00048000 at price 7.84; PnL: 1111.545; VXX: 46.29
2011-11-16 00:00:00 strategy [INFO] Portfolio Amount:98040.455 Allotted Portfolio Amount: 9804.0455
2011-11-16 00:00:00 strategy [INFO] Enter Position: +3807.39631068 VXX111217P00050000 -3807.39631068 VXX111217P00046000 at price 2.575; VXX: 46.29
2011-12-01 00:00:00 strategy [INFO] Exit 3807 VXX111217P00050000 -3807 VXX111217P00046000 at price 3.5; PnL: 4568.4; VXX: 40.82
2011-12-01 00:00:00 strategy [INFO] Portfolio Amount:102704.03 Allotted Portfolio Amount: 10270.403
2011-12-01 00:00:00 strategy [INFO] Enter Position: +8930.78521739 VXX111217P00042000 -8930.78521739 VXX111217P00040000 at price 1.15; VXX: 40.82
2011-12-08 00:00:00 strategy [INFO] Exit 8930 VXX111217P00042000 -8930 VXX111217P00040000 at price 0.755; PnL: -3705.95; VXX: 43.71
2011-12-08 00:00:00 strategy [INFO] Portfolio Amount:103195.18 Allotted Portfolio Amount: 10319.518
2011-12-08 00:00:00 strategy [INFO] Enter Position: +1750.55436811 VXX120121P00048000 -1750.55436811 VXX111217P00043000 at price 5.895; VXX: 43.71
2011-12-14 00:00:00 strategy [INFO] Exit 1750 VXX120121P00048000 -1750 VXX111217P00043000 at price 6.62; PnL: 341.25; VXX: 40.77
2011-12-14 00:00:00 strategy [INFO] Portfolio Amount:103151.43 Allotted Portfolio Amount: 10315.143
2011-12-14 00:00:00 strategy [INFO] Enter Position: +3967.36269231 VXX120121P00044000 -3967.36269231 VXX120121P00040000 at price 2.6; VXX: 40.77
2011-12-21 00:00:00 strategy [INFO] Exit 3967 VXX120121P00044000 -3967 VXX120121P00040000 at price 3.65; PnL: 3371.95; VXX: 33.76
2011-12-21 00:00:00 strategy [INFO] Portfolio Amount:106225.855 Allotted Portfolio Amount: 10622.5855
2011-12-21 00:00:00 strategy [INFO] Enter Position: +5245.72123457 VXX120121P00036000 -5245.72123457 VXX120121P00033000 at price 2.025; VXX: 33.76
2012-01-10 00:00:00 strategy [INFO] Exit 5245 VXX120121P00036000 -5245 VXX120121P00033000 at price 2.64; PnL: 3750.175; VXX: 30.64
2012-01-10 00:00:00 strategy [INFO] Portfolio Amount:109582.655 Allotted Portfolio Amount: 10958.2655
2012-01-10 00:00:00 strategy [INFO] Enter Position: +3135.41216023 VXX120218P00033000 -3135.41216023 VXX120121P00030000 at price 3.495; VXX: 30.64
2012-01-18 00:00:00 strategy [INFO] Exit 3135 VXX120218P00033000 -3135 VXX120121P00030000 at price 4.075; PnL: 2147.475; VXX: 30.15
2012-01-18 00:00:00 strategy [INFO] Portfolio Amount:112074.98 Allotted Portfolio Amount: 11207.498
2012-01-18 00:00:00 strategy [INFO] Enter Position: +8363.80447761 VXX120218P00032000 -8363.80447761 VXX120218P00030000 at price 1.34; VXX: 30.15
2012-01-25 00:00:00 strategy [INFO] Exit 8363 VXX120218P00032000 -8363 VXX120218P00030000 at price 1.75; PnL: 2759.79; VXX: 26.65
2012-01-25 00:00:00 strategy [INFO] Portfolio Amount:114625.695 Allotted Portfolio Amount: 11462.5695
2012-01-25 00:00:00 strategy [INFO] Enter Position: +8716.78288973 VXX120218P00028000 -8716.78288973 VXX120218P00026000 at price 1.315; VXX: 26.65
2012-02-03 00:00:00 strategy [INFO] Exit 8716 VXX120218P00028000 -8716 VXX120218P00026000 at price 1.745; PnL: 3529.98; VXX: 23.9869
2012-02-03 00:00:00 strategy [INFO] Portfolio Amount:118635.055 Allotted Portfolio Amount: 11863.5055
2012-02-03 00:00:00 strategy [INFO] Enter Position: +4995.16021053 VXX120317P00026000 -4995.16021053 VXX120218P00024000 at price 2.375; VXX: 23.9869
2012-02-10 00:00:00 strategy [INFO] Exit 4995 VXX120317P00026000 -4995 VXX120218P00024000 at price 1.67; PnL: -3971.025; VXX: 27.872
2012-02-10 00:00:00 strategy [INFO] Portfolio Amount:118235.455 Allotted Portfolio Amount: 11823.5455
2012-02-10 00:00:00 strategy [INFO] Enter Position: +6158.09661458 VXX120317P00030000 -6158.09661458 VXX120317P00027000 at price 1.92; VXX: 27.872
2012-02-23 00:00:00 strategy [INFO] Exit 6158 VXX120317P00030000 -6158 VXX120317P00027000 at price 2.6; PnL: 2155.3; VXX: 24.13
2012-02-23 00:00:00 strategy [INFO] Portfolio Amount:119467.055 Allotted Portfolio Amount: 11946.7055
2012-02-23 00:00:00 strategy [INFO] Enter Position: +17698.822963 VXX120317P00025000 -17698.822963 VXX120317P00024000 at price 0.675; VXX: 24.13
2012-03-06 00:00:00 strategy [INFO] Exit 17698 VXX120317P00025000 -17698 VXX120317P00024000 at price 0.37; PnL: -3539.6; VXX: 26.03
2012-03-06 00:00:00 strategy [INFO] Portfolio Amount:119644.035 Allotted Portfolio Amount: 11964.4035
2012-03-06 00:00:00 strategy [INFO] Enter Position: +4147.10693241 VXX120421P00028000 -4147.10693241 VXX120317P00026000 at price 2.885; VXX: 26.03
2012-03-14 00:00:00 strategy [INFO] Exit 4147 VXX120421P00028000 -4147 VXX120317P00026000 at price 2.85; PnL: -808.665; VXX: 21.9395
2012-03-14 00:00:00 strategy [INFO] Portfolio Amount:118420.67 Allotted Portfolio Amount: 11842.067
2012-03-14 00:00:00 strategy [INFO] Enter Position: +8643.84452555 VXX120421P00024000 -8643.84452555 VXX120421P00022000 at price 1.37; VXX: 21.9395
2012-03-21 00:00:00 strategy [INFO] Exit 8643 VXX120421P00024000 -8643 VXX120421P00022000 at price 1.8; PnL: 3327.555; VXX: 18.36
2012-03-21 00:00:00 strategy [INFO] Portfolio Amount:121748.225 Allotted Portfolio Amount: 12174.8225
2012-03-21 00:00:00 strategy [INFO] Enter Position: +18446.7007576 VXX120421P00019000 -18446.7007576 VXX120421P00018000 at price 0.66; VXX: 18.36
2012-03-26 00:00:00 strategy [INFO] Exit 18446 VXX120421P00019000 -18446 VXX120421P00018000 at price 0.98; PnL: 6548.33; VXX: 15.6685
2012-03-26 00:00:00 strategy [INFO] Portfolio Amount:124146.205 Allotted Portfolio Amount: 12414.6205
2012-03-26 00:00:00 strategy [INFO] Enter Position: +9196.01518519 VXX120421P00017000 -9196.01518519 VXX120421P00015000 at price 1.35; VXX: 15.6685
2012-03-27 00:00:00 strategy [INFO] Exit 9196 VXX120421P00017000 -9196 VXX120421P00015000 at price 0.885; PnL: 0.0; VXX: 17.2
2012-03-27 00:00:00 strategy [INFO] Portfolio Amount:123686.405 Allotted Portfolio Amount: 12368.6405
2012-03-27 00:00:00 strategy [INFO] Enter Position: +18323.9118519 VXX120421P00018000 -18323.9118519 VXX120421P00017000 at price 0.675; VXX: 17.2
2012-04-09 00:00:00 strategy [INFO] Exit 18323 VXX120421P00018000 -18323 VXX120421P00017000 at price 0.36; PnL: -4763.98; VXX: 18.982
2012-04-09 00:00:00 strategy [INFO] Portfolio Amount:115441.055 Allotted Portfolio Amount: 11544.1055
2012-04-09 00:00:00 strategy [INFO] Enter Position: +4943.94239829 VXX120519P00021000 -4943.94239829 VXX120421P00019000 at price 2.335; VXX: 18.982
2012-04-18 00:00:00 strategy [INFO] Exit 4943 VXX120519P00021000 -4943 VXX120421P00019000 at price 2.785; PnL: 2520.93; VXX: 18.25
2012-04-18 00:00:00 strategy [INFO] Portfolio Amount:118233.85 Allotted Portfolio Amount: 11823.385
2012-04-18 00:00:00 strategy [INFO] Enter Position: +8725.74538745 VXX120519P00020000 -8725.74538745 VXX120519P00018000 at price 1.355; VXX: 18.25
2012-05-01 00:00:00 strategy [INFO] Exit 8725 VXX120519P00020000 -8725 VXX120519P00018000 at price 1.79; PnL: 3708.125; VXX: 16.01
2012-05-01 00:00:00 strategy [INFO] Portfolio Amount:121767.475 Allotted Portfolio Amount: 12176.7475
2012-05-01 00:00:00 strategy [INFO] Enter Position: +18174.25 VXX120519P00017000 -18174.25 VXX120519P00016000 at price 0.67; VXX: 16.01
2012-05-04 00:00:00 strategy [INFO] Exit 18174 VXX120519P00017000 -18174 VXX120519P00016000 at price 0.465; PnL: -3816.54; VXX: 17.23
2012-05-04 00:00:00 strategy [INFO] Portfolio Amount:118768.765 Allotted Portfolio Amount: 11876.8765
2012-05-04 00:00:00 strategy [INFO] Enter Position: +5602.30023585 VXX120616P00019000 -5602.30023585 VXX120519P00017000 at price 2.12; VXX: 17.23
2012-05-16 00:00:00 strategy [INFO] Exit 5602 VXX120616P00019000 -5602 VXX120519P00017000 at price 1.375; PnL: -4733.69; VXX: 20.07
2012-05-16 00:00:00 strategy [INFO] Portfolio Amount:112130.395 Allotted Portfolio Amount: 11213.0395
2012-05-16 00:00:00 strategy [INFO] Enter Position: +8430.85676692 VXX120616P00022000 -8430.85676692 VXX120616P00020000 at price 1.33; VXX: 20.07
2012-05-18 00:00:00 strategy [INFO] Exit 8430 VXX120616P00022000 -8430 VXX120616P00020000 at price 0.965; PnL: -1854.6; VXX: 22.36
2012-05-18 00:00:00 strategy [INFO] Portfolio Amount:113732.095 Allotted Portfolio Amount: 11373.2095
2012-05-18 00:00:00 strategy [INFO] Enter Position: +8816.44147287 VXX120616P00024000 -8816.44147287 VXX120616P00022000 at price 1.29; VXX: 22.36
2012-05-29 00:00:00 strategy [INFO] Exit 8816 VXX120616P00024000 -8816 VXX120616P00022000 at price 1.75; PnL: 1322.4; VXX: 19.22
2012-05-29 00:00:00 strategy [INFO] Portfolio Amount:113379.455 Allotted Portfolio Amount: 11337.9455
2012-05-29 00:00:00 strategy [INFO] Enter Position: +17578.2100775 VXX120616P00020000 -17578.2100775 VXX120616P00019000 at price 0.645; VXX: 19.22
2012-05-30 00:00:00 strategy [INFO] Exit 17578 VXX120616P00020000 -17578 VXX120616P00019000 at price 0.46; PnL: 0.0; VXX: 20.55
2012-05-30 00:00:00 strategy [INFO] Portfolio Amount:112588.445 Allotted Portfolio Amount: 11258.8445
2012-05-30 00:00:00 strategy [INFO] Enter Position: +19752.3587719 VXX120616P00021000 -19752.3587719 VXX120616P00020000 at price 0.57; VXX: 20.55
2012-06-01 00:00:00 strategy [INFO] Exit 19752 VXX120616P00021000 -19752 VXX120616P00020000 at price 0.34; PnL: -4147.92; VXX: 22.58
2012-06-01 00:00:00 strategy [INFO] Portfolio Amount:109329.365 Allotted Portfolio Amount: 10932.9365
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TO-DO: Get PyAlgoTrade to fill on the same bar
See also https://groups.google.com/forum/#!searchin/pyalgotrade/next$20bar|sort:relevance/pyalgotrade/beybdpkfWNc/CBiVIUbNBgAJ
TO-DO: Verify the spread; add a hedge order
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