LMEOTCInstrument#

class sigtech.framework.instruments.lme_otc.LMEOTCInstrument

Base class for LME tradable instruments. Not supposed to be used on its own.

The commonly used parameters have the following meaning:

delivery_date: physical settlement date (ignored for spread contracts)
strike: the agreed delivery price (or the agreed spread for the spread contracts). If not supplied, the fair strike on the start_date is obtained from the market
start_date: trade date of the instrument. Used for strike derivation, or to start the history time series
underlying_ticker: ticker of the underlying metal, e.g. 'LA' for aluminium, 'LL' for lead, 'LN' for Nickel, 'LP' for Copper, 'LT' for Tin, 'LX' for Zinc.
contract_size: size of the underlying in single contract (usually in tons, but all depending on the strike) if not supplied, obtained from the relevant corresponding market contract (most common 25 tons)

contract_size: Optional[float]

currency: str

delivery_date: Optional[date]

property holidays

List of holiday calendars for this instrument.

start_date: Optional[date]

strike: Optional[float]

underlying_ticker: str

fair_strike(d)

Fair strike value.

sizing_price(sizing_dt, ccy=None, execution_dt=None)

Fair strike as a best estimate for the position currency equivalent size