enums module ¶

call_pre_segment method-wrapper ¶

call_seq method-wrapper ¶

call_seq_now method-wrapper ¶

See SegmentContext.call_seq_now.

cash_sharing method-wrapper ¶

close method-wrapper ¶

ffill_val_price method-wrapper ¶

fill_pos_record method-wrapper ¶

flex_2d method-wrapper ¶

from_col method-wrapper ¶

group method-wrapper ¶

group_len method-wrapper ¶

group_lens method-wrapper ¶

i method-wrapper ¶

init_cash method-wrapper ¶

last_cash method-wrapper ¶

last_debt method-wrapper ¶

last_free_cash method-wrapper ¶

last_lidx method-wrapper ¶

last_oidx method-wrapper ¶

last_pos_record method-wrapper ¶

last_position method-wrapper ¶

last_return method-wrapper ¶

last_val_price method-wrapper ¶

last_value method-wrapper ¶

log_records method-wrapper ¶

order_records method-wrapper ¶

second_last_value method-wrapper ¶

segment_mask method-wrapper ¶

target_shape method-wrapper ¶

to_col method-wrapper ¶

update_value method-wrapper ¶

GroupContext class ¶

GroupContext(
    target_shape,
    group_lens,
    init_cash,
    cash_sharing,
    call_seq,
    segment_mask,
    call_pre_segment,
    call_post_segment,
    close,
    ffill_val_price,
    update_value,
    fill_pos_record,
    flex_2d,
    order_records,
    log_records,
    last_cash,
    last_position,
    last_debt,
    last_free_cash,
    last_val_price,
    last_value,
    second_last_value,
    last_return,
    last_oidx,
    last_lidx,
    last_pos_record,
    group,
    group_len,
    from_col,
    to_col
)

A named tuple representing the context of a group.

A group is a set of nearby columns that are somehow related (for example, by sharing the same capital). In each row, the columns under the same group are bound to the same segment.

Contains all fields from SimulationContext plus fields describing the current group.

Passed to pre_group_func_nb and post_group_func_nb.

Example

Consider a group of three columns, a group of two columns, and one more column:

group	group_len	from_col	to_col
0	3	0	3
1	2	3	5
2	1	5	6

Superclasses

builtins.tuple

call_post_segment method-wrapper ¶

call_pre_segment method-wrapper ¶

call_seq method-wrapper ¶

cash_sharing method-wrapper ¶

close method-wrapper ¶

ffill_val_price method-wrapper ¶

fill_pos_record method-wrapper ¶

flex_2d method-wrapper ¶

from_col method-wrapper ¶

Index of the first column in the current group.

Has range [0, target_shape[1]).

group method-wrapper ¶

Index of the current group.

Has range [0, group_lens.shape[0]).

group_len method-wrapper ¶

Number of columns in the current group.

Scalar value. Same as group_lens[group].

group_lens method-wrapper ¶

init_cash method-wrapper ¶

last_cash method-wrapper ¶

last_debt method-wrapper ¶

last_free_cash method-wrapper ¶

last_lidx method-wrapper ¶

last_oidx method-wrapper ¶

last_pos_record method-wrapper ¶

last_position method-wrapper ¶

last_return method-wrapper ¶

last_val_price method-wrapper ¶

last_value method-wrapper ¶

log_records method-wrapper ¶

order_records method-wrapper ¶

second_last_value method-wrapper ¶

segment_mask method-wrapper ¶

target_shape method-wrapper ¶

to_col method-wrapper ¶

Index of the last column in the current group plus one.

Has range [1, target_shape[1] + 1).

If columns are not grouped, equals to from_col + 1.

Warning

In the last group, to_col points at a column that doesn't exist.

update_value method-wrapper ¶

Order class ¶

Order(
    size=inf,
    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
)

A named tuple representing an order.

Note

Currently, Numba has issues with using defaults when filling named tuples. Use order_nb() to create an order.

Superclasses

builtins.tuple

allow_partial method-wrapper ¶

Whether to allow partial fill.

Otherwise, the order gets rejected.

Does not apply when Order.size is np.inf.

direction method-wrapper ¶

See Direction.

fees method-wrapper ¶

Fees in percentage of the order value.

Negative trading fees like -0.05 means earning 0.05% per trade instead of paying a fee.

Note

0.01 = 1%.

fixed_fees method-wrapper ¶

Fixed amount of fees to pay for this order.

lock_cash method-wrapper ¶

Whether to lock cash when shorting.

If enabled, prevents free_cash from turning negative when buying or short selling. A negative free_cash means one column used collateral of another column, which is generally undesired.

log method-wrapper ¶

Whether to log this order by filling a log record.

Remember to increase max_logs.

max_size method-wrapper ¶

Maximum size in both directions.

Higher than that will be partly filled.

min_size method-wrapper ¶

Minimum size in both directions.

Lower than that will be rejected.

price method-wrapper ¶

Price per unit.

Final price will depend upon slippage.

If -np.inf, replaced by the current open (if available) or the previous close (≈ the current open in crypto).
If np.inf, replaced by the current close.

Note

Make sure to use timestamps that come between (and ideally not including) the current open and close.

raise_reject method-wrapper ¶

Whether to raise exception if order has been rejected.

Terminates the simulation.

reject_prob method-wrapper ¶

Probability of rejecting this order to simulate a random rejection event.

Not everything goes smoothly in real life. Use random rejections to test your order management for robustness.

size method-wrapper ¶

Size in units.

Behavior depends upon Order.size_type and Order.direction.

For any fixed size:

Set to any number to buy/sell some fixed amount or value. Longs are limited by the current cash balance, while shorts are only limited if Order.lock_cash.
Set to np.inf to buy for all cash, or -np.inf to sell for all free cash. If Order.direction is not Direction.Both, -np.inf will close the position.
Set to np.nan or 0 to skip.

For any target size:

Set to any number to buy/sell an amount relative to the current position or value.
Set to 0 to close the current position.
Set to np.nan to skip.

size_granularity method-wrapper ¶

Granularity of the size.

For example, granularity of 1.0 makes the quantity to behave like an integer. Placing an order of 12.5 shares (in any direction) will order exactly 12.0 shares.

Note

The filled size remains a floating number.

size_type method-wrapper ¶

See SizeType.

slippage method-wrapper ¶

Slippage in percentage of Order.price.

Slippage is a penalty applied on the price.

Note

0.01 = 1%.

OrderContext class ¶

OrderContext(
    target_shape,
    group_lens,
    init_cash,
    cash_sharing,
    call_seq,
    segment_mask,
    call_pre_segment,
    call_post_segment,
    close,
    ffill_val_price,
    update_value,
    fill_pos_record,
    flex_2d,
    order_records,
    log_records,
    last_cash,
    last_position,
    last_debt,
    last_free_cash,
    last_val_price,
    last_value,
    second_last_value,
    last_return,
    last_oidx,
    last_lidx,
    last_pos_record,
    group,
    group_len,
    from_col,
    to_col,
    i,
    call_seq_now,
    col,
    call_idx,
    cash_now,
    position_now,
    debt_now,
    free_cash_now,
    val_price_now,
    value_now,
    return_now,
    pos_record_now
)

A named tuple representing the context of an order.

Contains all fields from SegmentContext plus fields describing the current state.

Passed to order_func_nb.

Superclasses

builtins.tuple

call_idx method-wrapper ¶

Index of the current call in SegmentContext.call_seq_now.

Has range [0, group_len).

call_post_segment method-wrapper ¶

call_pre_segment method-wrapper ¶

call_seq method-wrapper ¶

call_seq_now method-wrapper ¶

See SegmentContext.call_seq_now.

cash_now method-wrapper ¶

SimulationContext.last_cash for the current column/group.

cash_sharing method-wrapper ¶

close method-wrapper ¶

col method-wrapper ¶

Current column.

Has range [0, target_shape[1]) and is always within [from_col, to_col).

debt_now method-wrapper ¶

SimulationContext.last_debt for the current column.

ffill_val_price method-wrapper ¶

fill_pos_record method-wrapper ¶

flex_2d method-wrapper ¶

free_cash_now method-wrapper ¶

SimulationContext.last_free_cash for the current column/group.

from_col method-wrapper ¶

group method-wrapper ¶

group_len method-wrapper ¶

group_lens method-wrapper ¶

i method-wrapper ¶

init_cash method-wrapper ¶

last_cash method-wrapper ¶

last_debt method-wrapper ¶

last_free_cash method-wrapper ¶

last_lidx method-wrapper ¶

last_oidx method-wrapper ¶

last_pos_record method-wrapper ¶

last_position method-wrapper ¶

last_return method-wrapper ¶

last_val_price method-wrapper ¶

last_value method-wrapper ¶

log_records method-wrapper ¶

order_records method-wrapper ¶

pos_record_now method-wrapper ¶

SimulationContext.last_pos_record for the current column.

position_now method-wrapper ¶

SimulationContext.last_position for the current column.

return_now method-wrapper ¶

SimulationContext.last_return for the current column/group.

second_last_value method-wrapper ¶

segment_mask method-wrapper ¶

target_shape method-wrapper ¶

to_col method-wrapper ¶

update_value method-wrapper ¶

val_price_now method-wrapper ¶

SimulationContext.last_val_price for the current column.

value_now method-wrapper ¶

SimulationContext.last_value for the current column/group.

OrderResult class ¶

OrderResult(
    size,
    price,
    fees,
    side,
    status,
    status_info
)

A named tuple representing an order result.

Superclasses

builtins.tuple

fees method-wrapper ¶

Total fees paid for this order.

price method-wrapper ¶

Filled price per unit, adjusted with slippage.

side method-wrapper ¶

See OrderSide.

size method-wrapper ¶

Filled size.

status method-wrapper ¶

See OrderStatus.

status_info method-wrapper ¶

See OrderStatusInfo.

PostOrderContext class ¶

PostOrderContext(
    target_shape,
    group_lens,
    init_cash,
    cash_sharing,
    call_seq,
    segment_mask,
    call_pre_segment,
    call_post_segment,
    close,
    ffill_val_price,
    update_value,
    fill_pos_record,
    flex_2d,
    order_records,
    log_records,
    last_cash,
    last_position,
    last_debt,
    last_free_cash,
    last_val_price,
    last_value,
    second_last_value,
    last_return,
    last_oidx,
    last_lidx,
    last_pos_record,
    group,
    group_len,
    from_col,
    to_col,
    i,
    call_seq_now,
    col,
    call_idx,
    cash_before,
    position_before,
    debt_before,
    free_cash_before,
    val_price_before,
    value_before,
    order_result,
    cash_now,
    position_now,
    debt_now,
    free_cash_now,
    val_price_now,
    value_now,
    return_now,
    pos_record_now
)

A named tuple representing the context after an order has been processed.

Contains all fields from OrderContext plus fields describing the order result and the previous state.

Passed to post_order_func_nb.

Superclasses

builtins.tuple

call_idx method-wrapper ¶

See OrderContext.call_idx.

call_post_segment method-wrapper ¶

call_pre_segment method-wrapper ¶

call_seq method-wrapper ¶

call_seq_now method-wrapper ¶

See SegmentContext.call_seq_now.

cash_before method-wrapper ¶

OrderContext.cash_now before execution.

cash_now method-wrapper ¶

OrderContext.cash_now after execution.

cash_sharing method-wrapper ¶

close method-wrapper ¶

col method-wrapper ¶

See OrderContext.col.

debt_before method-wrapper ¶

OrderContext.debt_now before execution.

debt_now method-wrapper ¶

OrderContext.debt_now after execution.

ffill_val_price method-wrapper ¶

fill_pos_record method-wrapper ¶

flex_2d method-wrapper ¶

free_cash_before method-wrapper ¶

OrderContext.free_cash_now before execution.

free_cash_now method-wrapper ¶

OrderContext.free_cash_now after execution.

from_col method-wrapper ¶

group method-wrapper ¶

group_len method-wrapper ¶

group_lens method-wrapper ¶

i method-wrapper ¶

init_cash method-wrapper ¶

last_cash method-wrapper ¶

last_debt method-wrapper ¶

last_free_cash method-wrapper ¶

last_lidx method-wrapper ¶

last_oidx method-wrapper ¶

last_pos_record method-wrapper ¶

last_position method-wrapper ¶

last_return method-wrapper ¶

last_val_price method-wrapper ¶

last_value method-wrapper ¶

log_records method-wrapper ¶

order_records method-wrapper ¶

order_result method-wrapper ¶

Order result of type OrderResult.

Can be used to check whether the order has been filled, ignored, or rejected.

pos_record_now method-wrapper ¶

OrderContext.pos_record_now after execution.

position_before method-wrapper ¶

OrderContext.position_now before execution.

position_now method-wrapper ¶

OrderContext.position_now after execution.

return_now method-wrapper ¶

OrderContext.return_now after execution.

second_last_value method-wrapper ¶

segment_mask method-wrapper ¶

target_shape method-wrapper ¶

to_col method-wrapper ¶

update_value method-wrapper ¶

val_price_before method-wrapper ¶

OrderContext.val_price_now before execution.

val_price_now method-wrapper ¶

OrderContext.val_price_now after execution.

If SimulationContext.update_value, gets replaced with the fill price, as it becomes the most recently known price. Otherwise, stays the same.

value_before method-wrapper ¶

OrderContext.value_now before execution.

value_now method-wrapper ¶

OrderContext.value_now after execution.

If SimulationContext.update_value, gets updated with the new cash and value of the column. Otherwise, stays the same.

ProcessOrderState class ¶

ProcessOrderState(
    cash,
    position,
    debt,
    free_cash,
    val_price,
    value,
    oidx,
    lidx
)

State before or after order processing.

Superclasses

builtins.tuple

cash method-wrapper ¶

Cash in the current column or group with cash sharing.

debt method-wrapper ¶

Debt from shorting in the current column.

free_cash method-wrapper ¶

Free cash in the current column or group with cash sharing.

lidx method-wrapper ¶

Index of log record.

oidx method-wrapper ¶

Index of order record.

position method-wrapper ¶

Position in the current column.

val_price method-wrapper ¶

Valuation price in the current column.

value method-wrapper ¶

Value in the current column or group with cash sharing.

RejectedOrderError class ¶

RejectedOrderError(
    *args,
    **kwargs
)

Rejected order error.

Superclasses

builtins.BaseException
builtins.Exception

RowContext class ¶

RowContext(
    target_shape,
    group_lens,
    init_cash,
    cash_sharing,
    call_seq,
    segment_mask,
    call_pre_segment,
    call_post_segment,
    close,
    ffill_val_price,
    update_value,
    fill_pos_record,
    flex_2d,
    order_records,
    log_records,
    last_cash,
    last_position,
    last_debt,
    last_free_cash,
    last_val_price,
    last_value,
    second_last_value,
    last_return,
    last_oidx,
    last_lidx,
    last_pos_record,
    i
)

A named tuple representing the context of a row.

A row is a time step in which segments are executed.

Contains all fields from SimulationContext plus fields describing the current row.

Passed to pre_row_func_nb and post_row_func_nb.

Superclasses

builtins.tuple

call_post_segment method-wrapper ¶

call_pre_segment method-wrapper ¶

call_seq method-wrapper ¶

cash_sharing method-wrapper ¶

close method-wrapper ¶

ffill_val_price method-wrapper ¶

fill_pos_record method-wrapper ¶

flex_2d method-wrapper ¶

group_lens method-wrapper ¶

i method-wrapper ¶

Index of the current row.

Has range [0, target_shape[0]).

init_cash method-wrapper ¶

last_cash method-wrapper ¶

last_debt method-wrapper ¶

last_free_cash method-wrapper ¶

last_lidx method-wrapper ¶

last_oidx method-wrapper ¶

last_pos_record method-wrapper ¶

last_position method-wrapper ¶

last_return method-wrapper ¶

last_val_price method-wrapper ¶

last_value method-wrapper ¶

log_records method-wrapper ¶

order_records method-wrapper ¶

second_last_value method-wrapper ¶

segment_mask method-wrapper ¶

target_shape method-wrapper ¶

update_value method-wrapper ¶

SegmentContext class ¶

SegmentContext(
    target_shape,
    group_lens,
    init_cash,
    cash_sharing,
    call_seq,
    segment_mask,
    call_pre_segment,
    call_post_segment,
    close,
    ffill_val_price,
    update_value,
    fill_pos_record,
    flex_2d,
    order_records,
    log_records,
    last_cash,
    last_position,
    last_debt,
    last_free_cash,
    last_val_price,
    last_value,
    second_last_value,
    last_return,
    last_oidx,
    last_lidx,
    last_pos_record,
    group,
    group_len,
    from_col,
    to_col,
    i,
    call_seq_now
)

A named tuple representing the context of a segment.

A segment is an intersection between groups and rows. It's an entity that defines how and in which order elements within the same group and row are processed.

Contains all fields from SimulationContext, GroupContext, and RowContext, plus fields describing the current segment.

Passed to pre_segment_func_nb and post_segment_func_nb.

Superclasses

builtins.tuple

call_post_segment method-wrapper ¶

call_pre_segment method-wrapper ¶

call_seq method-wrapper ¶

call_seq_now method-wrapper ¶

Sequence of calls within the current segment.

Has shape (group_len,).

Each value in this sequence should indicate the position of column in the group to call next. Processing goes always from left to right.

You can use pre_segment_func_nb to override call_seq_now.

Example

[2, 0, 1] would first call column 2, then 0, and finally 1.

cash_sharing method-wrapper ¶

close method-wrapper ¶

ffill_val_price method-wrapper ¶

fill_pos_record method-wrapper ¶

flex_2d method-wrapper ¶

from_col method-wrapper ¶

group method-wrapper ¶

group_len method-wrapper ¶

group_lens method-wrapper ¶

i method-wrapper ¶

init_cash method-wrapper ¶

last_cash method-wrapper ¶

last_debt method-wrapper ¶

last_free_cash method-wrapper ¶

last_lidx method-wrapper ¶

last_oidx method-wrapper ¶

last_pos_record method-wrapper ¶

last_position method-wrapper ¶

last_return method-wrapper ¶

last_val_price method-wrapper ¶

last_value method-wrapper ¶

log_records method-wrapper ¶

order_records method-wrapper ¶

second_last_value method-wrapper ¶

segment_mask method-wrapper ¶

target_shape method-wrapper ¶

to_col method-wrapper ¶

update_value method-wrapper ¶