TradableInstrument

class sigtech.framework.instruments.base.TradableInstrument

Baseclasses: Instrument

Subclasses: OTCInstrument, BondBase, Future, RollingForward, FutureSpreadContract, LMEOTCInstrument, EquityInstrument, OptionBase, OTCVolBasedBase, TotalReturnSwap, VarianceSwap, VarianceSwapReplicator, IndexSwap

An instrument that is directly tradable.

activity_fields: Optional[list[str]]

property bbg_ticker: str

Ticker for Bloomberg data vendor.

description: Optional[str]

property exchange_code: str

Exchange code for traded instruments belonging to this instrument.

group_name: Optional[str]

property instrument_type: str

Returns:

Classification using class name of instruments.

property position_type: str

Display trade type.

property size_type: str

Returns:

Type of trade size for tradable instrument, either units or notional.

property valuation_time

Valuation time for the instrument.

calendar_schedule() → Schedule

A calendar schedule - a schedule that is corresponding to a history schedule, but without min and max dates set.

Returns:

Calendar schedule instance for the instrument.

exchange() → Any

Object for exchange (or substitute, e.g. 'OTCLN') on which instrument trades.

classmethod print_add_trade_kwargs()

Print the keyword arguments for the Strategy add_trade method.

trade_line(units, dt, rounded_units=True)

Trade entry containing information about units and string representation.

Parameters:

• units – Number of units.

• dt – Size date.

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

Returns:

Scaled units and trade description.

trade_schedule() → Schedule

Schedule giving trade dates + last time at which we can trade for that date (i.e. notice time for funds).

Returns:

Trade schedule instance for the instrument.