TradableIndex

class sigtech.framework.indices.tradable_index.TradableIndex

Baseclasses: CalculatedIndex

A class implementing a tradable wrapper over an index.

Keyword arguments:

• underlying: Underlying index.

• cost_multiplier: Price adjustment multiplier.

Example of object creation:

ti = sig.TradableIndex(underlying='SPX INDEX',
                   ticker='SPX',
                   db_sector='TRADABLE',
                   cost_multiplier=0.02)

cost_multiplier: Optional[float]

underlying: str

property valuation_time

Valuation time for the index.

calendar_schedule()

Return the schedule for a history of this strategy.

trade_line(units, size_date, rounded_units=False)

Trade entry containing information about units and string representation.

Parameters:

• units – Number of units.

• size_date – Size date.

• rounded_units – If True, use rounded units to get positions (optional True by default).

Returns:

Scaled units and trade description.

trade_schedule()

Return the schedule for a history of this strategy.