IntradayInstrument

class sigtech.framework.indices.tradable_index.IntradayInstrument

Baseclasses: CalculatedIndex

A class implementing a tradable wrapper over an index with ability to generate intraday orders.

cost_multiplier: Optional[float]

property data_point

Field used when retrieving history.

underlying: str

calendar_schedule()

Return the schedule for a history of this strategy.

intraday_history_dt(dt, field)

Intraday history for a specific datetime.

Parameters:

• dt – Input datetime.

• field – Data field.

Returns:

Intraday history.

trade_schedule()

Return the schedule for a history of this strategy.