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TradableTSIndex

TradableTSIndex#

class sigtech.framework.indices.tradable_index.TradableTSIndex

Baseclasses: CalculatedIndex

A class implementing a tradable wrapper over a timeseries.

Keyword arguments:

  • timeseries: Pandas-like series or dataframe containing data points.

  • cost_multiplier: Transaction cost applied to valuation point, (default is 2bps).

  • direction: If 'long', it produces long underlying series. If 'short', it produces short underlying (optional).

cost_multiplier: Optional[float]
direction: Optional[Literal['long', 'short']]
timeseries: Union[Series, DataFrame]
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.