Ctrl+K

TradingManager

TradingManager#

class sigtech.framework.schedules.trading_manager.TradingManager

A class implementing a trading manager. Calendar, timezone, open/close times information are used to provide a collection of trading functionalities.

Example of usage:

import datetime as dtm

tm = sig.TradingManager.instance()
xmas_date = dtm.datetime(2020, 12, 25)
next_business_date = tm.current_next_trading_date(xmas_date)
property trading_holidays

Return the calendar identifier.

adjusted_delivery_dt(delivery_dt)

Return an adjusted delivery datetime after considering open and close time.

Parameters:

delivery_dt – Input datetime.

Returns:

datetime.

adjusted_notice_dt(notice_dt)

Return an adjusted notice datetime after considering open and close time.

Parameters:

notice_dt – Input datetime.

Returns:

datetime.

adjusted_trade_schedule(schedule)

Return an adjusted trade schedule using the schedule provided.

Parameters:

schedule – Input schedule.

Returns:

Schedule object.

check_trade_dt(dt: datetime, instrument: sigtech.framework.instruments.base.Instrument) → bool

Check the execution time for an instrument sits in the open hours.

Parameters:

  • dt – Proposed execution time.

  • instrument – Instrument object.

Returns:

True if the instrument is available to trade at the proposed time and False otherwise.

close_datetime(d)

Return the close datetime using the date provided.

Parameters:

d – Input date.

Returns:

datetime.

close_time()

Return the close time.

current_next_trading_date(d)

Return the closest business day to [d, …, future), inclusive, i.e. d if it is a business day, or the closest business day after d.

Parameters:

d – Input date.

Returns:

date.

current_previous_trading_date(d)

Returns the closest business day to (past, …, d], inclusive, i.e. d if it is a business day, or the closest business day before d.

Parameters:

d – Input date.

Returns:

date.

data_point_from_time(dt: ~datetime.datetime, data_points: list[sigtech.framework.infra.data_adapter.common.DataPoint], instrument=None, calendar=None) -> (<class 'sigtech.framework.infra.data_adapter.common.DataPoint'>, typing.Union[datetime.date, datetime.datetime])

Return the best data point available for this instrument to use to query a value at dt. It will use a daily time-series data point (e.g.: EOD, LONDON_1600) if there is an exact match.

  • Failing that it will use an intra-day dataset.

  • Failing that it will use the closest available daily time-series.

If a daily data point is returned, then the other value returned is the date to use. If an intra-day data point is selected, then the other value returned will be the input datetime.

Parameters:

  • dt – Input datetime.

  • data_points – List of data points available for this instrument.

  • instrument – Instrument object if available.

  • calendar – Calendar if available.

Returns:

tuple(DataPoint, union(date, datetime)).

data_point_from_time_daily(t: time, tz: timezone, data_points, instrument=None, calendar=None) → list[sigtech.framework.infra.data_adapter.common.DataPoint]

Return the data points required for this instrument to use to query a value daily at time t (under timezone tz) It will use a daily time-series data point (e.g.: EOD, LONDON_1600) if there is an exact match.

  • Failing that it will use an intra-day dataset.

  • Failing that it will use the closest available daily time-series.

Parameters:

  • t – Input time.

  • tz – Input timezone.

  • data_points – List of data points available for this instrument.

  • instrument – Instrument object if available.

  • calendar – Calendar if available.

Returns:

list(DataPoint).

datetime_from_date_and_time(date: date, time: time, timezone=None, before: Optional[datetime] = None, after: Optional[datetime] = None, use_trading_manager_calendar: bool = True, calendar: str = 'None', instrument=None)

Return a datetime given date, time and timezone inputs. If before or after are supplied, then the resulting datetime will be bumped forward or back such that the constraint is satisfied.

Parameters:

  • date – Input date.

  • time – Input time.

  • timezone – Input timezone (pytz.tzinfo).

  • before – Constrain on latest date accepted (optional).

  • after – Constrain on earliest date accepted (optional).

  • use_trading_manager_calendar – If True, the internal calendar is used (optional, default is True).

  • calendar – Calendar identifier (optional).

  • instrument – Instrument identifier (optional).

Returns:

datetime.

get_data_point(default_data_point, data_points)

Return the available data points.

Parameters:

  • default_data_point – Default data points returned if none of the internal ones are in data_points.

  • data_points – List of data points checked against the internal list.

Returns:

Data point identifier/s.

get_default_data_point(available_data_points)

Return the available default data points.

Parameters:

available_data_points – List of data points checked against the internal list.

Returns:

Data point identifier/s.

static instance()

Singleton instance of a trading manager.

is_trading_date(d)

Check if the provided date is a trading date.

Parameters:

d – Input date.

Returns:

bool.

next_trading_date(d)

Return the closest next business day from d.

Parameters:

d – Input date.

Returns:

date.

open_datetime(d)

Return the open datetime using the date provided.

Parameters:

d – Input date.

Returns:

datetime.

open_time()

Return the open time.

previous_trading_date(d)

Return the closest previous business day from d.

Parameters:

d – Input date.

Returns:

date.

static reset_instance()

Reset singleton instance of a trading manager.

static set_global_trade_manager(calendar='London,CHR CALENDAR', timezone='Europe/London', open=datetime.time(7, 30), close=datetime.time(18, 0))

Set the internal attributes of the trading manager.

Parameters:

  • calendar – Calendar identifier.

  • timezone – Timezone identifier.

  • open – Open time.

  • close – Close time.

timezone()

Timezone identifier.

trade_execution_dt_from_date(instrument, d)

Find the closest execution datetime for a given instrument after or on the supplied date.

Parameters:

  • instrument – Instrument object.

  • d – Reference date.

Returns:

datetime.

trade_execution_dt_from_datetime(instrument, dt, always_use_intraday=False)

Find the closest execution datetime for a given instrument after the supplied datetime.

Parameters:

  • instrument – Instrument object.

  • dt – Reference datetime.

  • always_use_intraday – Always consider intraday points, defaults to False.

Returns:

datetime.

trade_schedule()

Return the trade schedule.

tzinfo()

datetime.tzinfo implementation for the given timezone.