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dispatch module

Engine-neutral dispatch wrappers for portfolio functions.

approx_order_value function

approx_order_value(
    size,
    size_type,
    direction,
    cash_now,
    position,
    free_cash,
    val_price,
    value,
    engine=None
)

Engine-neutral approx_order_value_nb().

asset_flow function

asset_flow(
    target_shape,
    order_records,
    col_map,
    direction,
    engine=None
)

Engine-neutral asset_flow_nb().

asset_returns function

asset_returns(
    cash_flow,
    asset_value,
    engine=None
)

Engine-neutral asset_returns_nb().

asset_value function

asset_value(
    close,
    assets,
    engine=None
)

Engine-neutral asset_value_nb().

asset_value_grouped function

asset_value_grouped(
    asset_value,
    group_lens,
    engine=None
)

Engine-neutral asset_value_grouped_nb().

assets function

assets(
    asset_flow,
    engine=None
)

Engine-neutral assets_nb().

benchmark_value function

benchmark_value(
    close,
    init_cash,
    engine=None
)

Engine-neutral benchmark_value_nb().

benchmark_value_grouped function

benchmark_value_grouped(
    close,
    group_lens,
    init_cash_grouped,
    engine=None
)

Engine-neutral benchmark_value_grouped_nb().

build_call_seq function

build_call_seq(
    target_shape,
    group_lens,
    call_seq_type=0,
    engine=None
)

Engine-neutral build_call_seq_nb().

buy function

buy(
    exec_state,
    size,
    price,
    direction=2,
    fees=0.0,
    fixed_fees=0.0,
    slippage=0.0,
    min_size=0.0,
    max_size=inf,
    size_granularity=nan,
    lock_cash=False,
    allow_partial=True,
    percent=nan,
    engine=None
)

Engine-neutral buy_nb().

cash function

cash(
    cash_flow,
    init_cash,
    engine=None
)

Engine-neutral cash_nb().

cash_flow function

cash_flow(
    target_shape,
    order_records,
    col_map,
    free,
    engine=None
)

Engine-neutral cash_flow_nb().

cash_flow_grouped function

cash_flow_grouped(
    cash_flow,
    group_lens,
    engine=None
)

Engine-neutral cash_flow_grouped_nb().

cash_grouped function

cash_grouped(
    target_shape,
    cash_flow_grouped,
    group_lens,
    init_cash_grouped,
    engine=None
)

Engine-neutral cash_grouped_nb().

cash_in_sim_order function

cash_in_sim_order(
    cash_flow,
    group_lens,
    init_cash_grouped,
    call_seq,
    engine=None
)

Engine-neutral cash_in_sim_order_nb().

check_group_init_cash function

check_group_init_cash(
    group_lens,
    n_cols,
    init_cash,
    cash_sharing,
    engine=None
)

Engine-neutral check_group_init_cash_nb().

check_group_lens function

check_group_lens(
    group_lens,
    n_cols,
    engine=None
)

Engine-neutral check_group_lens_nb().

close_position function

close_position(
    price=inf,
    fees=0.0,
    fixed_fees=0.0,
    slippage=0.0,
    min_size=0.0,
    max_size=inf,
    size_granularity=nan,
    reject_prob=0.0,
    lock_cash=False,
    allow_partial=True,
    raise_reject=False,
    log=False,
    engine=None
)

Engine-neutral close_position_nb().

execute_order function

execute_order(
    state,
    order,
    engine=None
)

Engine-neutral execute_order_nb().

final_value function

final_value(
    total_profit,
    init_cash,
    engine=None
)

Engine-neutral final_value_nb().

get_entry_trades function

get_entry_trades(
    order_records,
    close,
    col_map,
    engine=None
)

Engine-neutral get_entry_trades_nb().

get_exit_trades function

get_exit_trades(
    order_records,
    close,
    col_map,
    engine=None
)

Engine-neutral get_exit_trades_nb().

get_free_cash_diff function

get_free_cash_diff(
    position_before,
    position_now,
    debt_now,
    price,
    fees,
    engine=None
)

Engine-neutral get_free_cash_diff_nb().

get_group_value function

get_group_value(
    from_col,
    to_col,
    cash_now,
    last_position,
    last_val_price,
    engine=None
)

Engine-neutral get_group_value_nb().

get_long_size function

get_long_size(
    position_before,
    position_now,
    engine=None
)

Engine-neutral get_long_size_nb().

get_positions function

get_positions(
    trade_records,
    col_map,
    engine=None
)

Engine-neutral get_positions_nb().

get_short_size function

get_short_size(
    position_before,
    position_now,
    engine=None
)

Engine-neutral get_short_size_nb().

get_trade_stats function

get_trade_stats(
    size,
    entry_price,
    entry_fees,
    exit_price,
    exit_fees,
    direction,
    engine=None
)

Engine-neutral get_trade_stats_nb().

gross_exposure function

gross_exposure(
    asset_value,
    cash,
    engine=None
)

Engine-neutral gross_exposure_nb().

init_cash function

init_cash(
    init_cash,
    group_lens,
    cash_sharing,
    engine=None
)

Engine-neutral init_cash_nb().

init_cash_grouped function

init_cash_grouped(
    init_cash,
    group_lens,
    cash_sharing,
    engine=None
)

Engine-neutral init_cash_grouped_nb().

is_grouped function

is_grouped(
    group_lens,
    engine=None
)

Engine-neutral is_grouped_nb().

order function

order(
    size=nan,
    price=inf,
    size_type=0,
    direction=2,
    fees=0.0,
    fixed_fees=0.0,
    slippage=0.0,
    min_size=0.0,
    max_size=inf,
    size_granularity=nan,
    reject_prob=0.0,
    lock_cash=False,
    allow_partial=True,
    raise_reject=False,
    log=False,
    engine=None
)

Engine-neutral order_nb().

order_not_filled function

order_not_filled(
    status,
    status_info,
    engine=None
)

Engine-neutral order_not_filled_nb().

order_nothing function

order_nothing(
    engine=None
)

Engine-neutral order_nothing_nb().

order_record_array_compatible_with_rust function

order_record_array_compatible_with_rust(
    records
)

Return whether order records have the exact Rust-compatible dtype.

raise_rejected_order function

raise_rejected_order(
    order_result,
    engine=None
)

Engine-neutral raise_rejected_order_nb().

returns_in_sim_order function

returns_in_sim_order(
    value_iso,
    group_lens,
    init_cash_grouped,
    call_seq,
    engine=None
)

Engine-neutral returns_in_sim_order_nb().

sell function

sell(
    exec_state,
    size,
    price,
    direction=2,
    fees=0.0,
    fixed_fees=0.0,
    slippage=0.0,
    min_size=0.0,
    max_size=inf,
    size_granularity=nan,
    lock_cash=False,
    allow_partial=True,
    percent=nan,
    engine=None
)

Engine-neutral sell_nb().

shuffle_call_seq function

shuffle_call_seq(
    call_seq,
    group_lens,
    seed=None,
    engine=None
)

Engine-neutral shuffle_call_seq_nb().

simulate_from_orders function

simulate_from_orders(
    target_shape,
    group_lens,
    init_cash,
    call_seq,
    size=array(inf),
    price=array(inf),
    size_type=array(0),
    direction=array(2),
    fees=array(0.),
    fixed_fees=array(0.),
    slippage=array(0.),
    min_size=array(0.),
    max_size=array(inf),
    size_granularity=array(nan),
    reject_prob=array(0.),
    lock_cash=array(False),
    allow_partial=array(True),
    raise_reject=array(False),
    log=array(False),
    val_price=array(inf),
    close=array(nan),
    auto_call_seq=False,
    ffill_val_price=True,
    update_value=False,
    max_orders=None,
    max_logs=0,
    flex_2d=True,
    seed=None,
    engine=None
)

Engine-neutral simulate_from_orders_nb().

simulate_from_signals function

simulate_from_signals(
    target_shape,
    group_lens,
    init_cash,
    call_seq,
    entries=array(False),
    exits=array(False),
    direction=array(0),
    long_entries=array(False),
    long_exits=array(False),
    short_entries=array(False),
    short_exits=array(False),
    size=array(inf),
    price=array(inf),
    size_type=array(0),
    fees=array(0.),
    fixed_fees=array(0.),
    slippage=array(0.),
    min_size=array(0.),
    max_size=array(inf),
    size_granularity=array(nan),
    reject_prob=array(0.),
    lock_cash=array(False),
    allow_partial=array(True),
    raise_reject=array(False),
    log=array(False),
    accumulate=array(0),
    upon_long_conflict=array(0),
    upon_short_conflict=array(0),
    upon_dir_conflict=array(0),
    upon_opposite_entry=array(4),
    val_price=array(inf),
    open=array(nan),
    high=array(nan),
    low=array(nan),
    close=array(nan),
    sl_stop=array(nan),
    sl_trail=array(False),
    tp_stop=array(nan),
    stop_entry_price=array(3),
    stop_exit_price=array(0),
    upon_stop_exit=array(0),
    upon_stop_update=array(1),
    use_stops=True,
    auto_call_seq=False,
    ffill_val_price=True,
    update_value=False,
    max_orders=None,
    max_logs=0,
    flex_2d=True,
    seed=None,
    engine=None
)

Engine-neutral simulate_from_signals_nb().

sum_grouped function

sum_grouped(
    a,
    group_lens,
    engine=None
)

Engine-neutral sum_grouped_nb().

total_benchmark_return function

total_benchmark_return(
    benchmark_value,
    engine=None
)

Engine-neutral total_benchmark_return_nb().

total_profit function

total_profit(
    target_shape,
    close,
    order_records,
    col_map,
    engine=None
)

Engine-neutral total_profit_nb().

total_profit_grouped function

total_profit_grouped(
    total_profit,
    group_lens,
    engine=None
)

Engine-neutral total_profit_grouped_nb().

total_return function

total_return(
    total_profit,
    init_cash,
    engine=None
)

Engine-neutral total_return_nb().

trade_losing_streak function

trade_losing_streak(
    records,
    engine=None
)

Engine-neutral trade_losing_streak_nb().

trade_record_array_compatible_with_rust function

trade_record_array_compatible_with_rust(
    records
)

Return whether trade records have the exact Rust-compatible dtype.

trade_winning_streak function

trade_winning_streak(
    records,
    engine=None
)

Engine-neutral trade_winning_streak_nb().

update_value function

update_value(
    cash_before,
    cash_now,
    position_before,
    position_now,
    val_price_before,
    order_price,
    value_before,
    engine=None
)

Engine-neutral update_value_nb().

value function

value(
    cash,
    asset_value,
    engine=None
)

Engine-neutral value_nb().

value_in_sim_order function

value_in_sim_order(
    cash,
    asset_value,
    group_lens,
    call_seq,
    engine=None
)

Engine-neutral value_in_sim_order_nb().