Utilities#

`StrategyDatetimes`	A class containing string constants used when a portfolio table over a range of dates is built.
`StructureBasketBase`	Base strategy for structure baskets strategies.
`TradeQuantityType`	Collection of quantity types supported in trades
`CapWeightedFactorToWeight`	Similar to `DefaultFactorToWeight` but weight the stocks proportionally to their market cap.
`FactorToWeightBaseClass`	Class containing a factor_to_weight method to calculate stock weights from factor exposures.
`StandardFactorToWeightFunctions`	Class containing references to standard factor to weight conversion functions.
`RollingStrategyBase`	Base strategy for all rolling strategy variation.
`StrategyIndex`	A class representing strategy indices.

sigtech.framework.strategies.reinvestment_strategy.get_single_stock_strategy(ticker=Nonereinvestment_strategy_overrides=Noneexchange_ticker=Nonemic=('XNYS', 'XNAS')use_cache=Falsemost_liquid=Falsebuild=Truetickers=Noneexchange_tickers=None**kwargs)

Method used to generate default reinvestment strategies.

Parameters:

ticker – Tradable stock id, or list of tradable stock ids.
reinvestment_strategy_overrides – Dictionary of overrides for strategy creation.
exchange_ticker – Stock identifier, or list of stock identifier.
mic – Market identifier code (default is ('XNYS', 'XNAS')).
use_cache – Use the strategy service cache.
most_liquid –
If set to True, compute the most liquid listing given the tradable ticker or the exchange ticker (default is False). For more information please check get_most_liquid_stock(). The following keyword arguments are available:
- liquidity_function: The liquidity function to be used (mandatory).
- dt: Date used to compute the liquidity metric among the listings. If not provided, will be equal to the environment date.
- rolling_window: Rolling window value (default is 60).
- min_periods_ratio: Minimum number of observations in window required to have a value, as percentage of rolling_window (e.g. 0.75 for 75%). Default is 0.75.
- filters: Dict of additional SIGMaster filters.
build – If True, build the reinvestment strategy (default True).
tickers – List of ticker.
exchange_tickers – List of exchange_ticker.

Returns:

ReinvestmentStrategy object.

sigtech.framework.strategies.basket_strategies.basket(constituentsccystart_date=Noneend_date=Noneweights=Nonetotal_return=Falset_cost=Falserebalance_frequency='EOM')

Helper function to create a constant weighted basket default.

Parameters:

constituents – Basket constituents.
ccy – Currency identifier.
start_date – Start date (optional).
end_date – End date (optional).
weights – Weights (optional, default is uniform distribution).
total_return – Total return version of the strategy (optional, default is False).
t_cost – Include trading_costs (optional, default is False).
rebalance_frequency – Rebalance frequency, e.g. '1BD', '2BD', '1W', '2W', '1M'.

Returns:

BasketStrategy.

sigtech.framework.strategies.basket_strategies.variance_weighted_basket(constituentstarget_volvar_allocccy='USD'start_date=Noneend_date=Nonetotal_return=Falset_cost=Falserebalance_frequency='EOM')

Create a constant weighted basket to target a specified vol and incorporating a variance allocation.

Parameters:

constituents – Basket constituents.
target_vol – Target volatility.
var_alloc – Volatilities allocation.
ccy – Currency identifier (optional).
start_date – Start date (optional).
end_date – End date (optional).
total_return – Total return version of the strategy (optional, default is False).
t_cost – Include trading_costs (optional, default is False).
rebalance_frequency – Rebalance frequency, e.g. '1BD', '2BD', '1W', '2W', '1M'.

Returns:

BasketStrategy.

sigtech.framework.default_strategy_objects.utils.default_strategy_objects_df() → DataFrame

Return a DataFrame listing all default strategies available.

sigtech.framework.default_strategy_objects.utils.register_default_strategy(test_on_nightly_only: bool = False)→ Callable[[...], Any]

Decorator for registering a function to be default_strategy_object function.

Parameters:: test_on_nightly_only – The strategy object will not be tested on main CI (default is False).
Returns:: Wrapped function without any alteration.

sigtech.framework.default_strategy_objects.utils.search_default_strategies(search_string: Optional[str] = Noneregular_expression_string: Optional[str] = Nonesearch_name: Optional[bool] = Truesearch_path: Optional[bool] = Truesearch_docs: Optional[bool] = Falsecall_if_unique: Optional[bool] = False)→ Sequence[Callable]

Method to search the available default strategy objects. Either a simple string or regular expression can be supplied.

Example use:

from sigtech.framework.default_strategy_objects.utils import search_default_strategies

found_results = search_default_strategies('vg_index')

Parameters:

search_string – Optional string to search.
regular_expression_string – Optional regular expression string to search for matches.
search_name – bool flag to set whether names are included in search domain (default is True).
search_path – bool flag to set whether paths are included in search domain (default is True).
search_docs – bool flag to set whether doc strings are included in search domain (default is False).
call_if_unique – bool to call the found method. This is only applied if the result is unique. (default is False).

Returns:

List of callable functions that return strategies, If call_if_unique is True a strategy is returned.

sigtech.framework.strategies.sizing.register_sizing_method(name, method)

Allows the user to register a custom sizing method in addition to MODEL, TRADE etc. Example usage:

def percent_sizing(instrument_name, units, dt, strategy_name):
    return units / 100.0

sig.register_sizing_method('PERCENT', percent_sizing)

class MyStrategy(sig.DailyStrategy):

    def strategy_initialization(self, dt):
        # Order 200% of the stock
        self.add_position_target(dtm.date(2021,7,10),
                                 instrument_name='1003331.SINGLE_STOCK.TRADABLE',
                                 units=200.0,
                                 unit_type='PERCENT'
                                 )

sigtech.framework.strategies.analytics.label.asset_class_labelling_method(instrument_name)

Default equity sector labelling method.

sigtech.framework.strategies.analytics.label.continent_labelling_method(instrument_name)

Default continent labelling method.

sigtech.framework.strategies.analytics.label.country_code_labelling_method(instrument_name)

Default country code labelling method.

sigtech.framework.strategies.analytics.label.country_labelling_method(instrument_name)

Default country labelling method.

sigtech.framework.strategies.analytics.label.currency_labelling_method(instrument_name)

Default currency labelling method.

sigtech.framework.strategies.analytics.label.equity_sector_labelling_method(instrument_name, level)

Default equity sector labelling method.

sigtech.framework.strategies.analytics.label.get_label(label_name: str, instrument_name: str) → str

Obtain a string instrument label from a label and instrument name.

sigtech.framework.strategies.analytics.label.list_labels(label_name=None)

List available labelling methods or enter a labelling method string and get a list of available values.

sigtech.framework.strategies.analytics.label.register_labelling_method(label_name: str, method: callable)

def currency_label_method(instrument_name):
    return sig.obj.get(instrument_name).currency

sig.register_labelling_method('MY_CURRENCY_LABEL', currency_label_method)

label = sig.get_label('MY_CURRENCY_LABEL', 'ESZ20 INDEX')

sigtech.framework.strategies.analytics.label.remove_labelling_method(label_name: str)

Remove a labelling method.

sigtech.framework.strategies.analytics.label.sig_class_labelling_method(instrument_name)

Default class labelling method.

sigtech.framework.strategies.analytics.label.sig_group_labelling_method(instrument_name)

Default group labelling method.

sigtech.framework.strategies.analytics.label.sig_name_labelling_method(instrument_name)

Default class labelling method.