Performance Attribution API

Alpaca Trading
1

Is there an API to gather performance attribution for various positions? I have a paper portfolio running with around 450 stock positions. The portfolio has recently experience an outsized loss and I’m trying to understand which security (or securities) on a particular day lead to this huge move.

Currently the web POSITIONS page leaves a lot to be desired in terms of your ability to understand how the aggregate portfolio P&L was driven each day, historically. As far as I can tell, the POSITIONS page, for example, while purporting to show TOTAL P&L doesn’t seem to be accurate, since if I add up all the losses they don’t come close to what the HOME page shows on the line chart (i’m assuming this line chart is unrealized P&L? But there’s no tittle so it’s not obvious either).

Thanks

2

I would extract all orders and connect it via symbol.

3

Could you go into a bit more detail?

4

  1. You extract the closed orders:
    Orders | Alpaca Docs

  2. Put the order values into a pandas data frame.

  3. Calculate order value for each order: (qty * filled_avg_price) (*-1 for buy order)

  4. Export it into a csv

  5. Make a pivot table in Excel

  6. Group by symbol and calculate PnL via order value

(5.+6. can also be done in python instead of Excel)

5

Thanks, so basically you’re saying to manually extract all the orders and avg fill prices, then merge this with price data to compute P&L.

1 Like
6

Yes but no need to merge with price data because you getting all fill prices with the orders.