CashBasketStrategy

class sigtech.framework.strategies.basket_strategies.CashBasketStrategy

Baseclasses: BasketStrategy

Extension of BasketStrategy that allows trading of FX spot (xxx CASH instruments).

Example of getting equally weighted exposure to GBPEUR and GBPUSD, rebalancing daily:

import datetime as dtm

sig.CashBasketStrategy(
     currency='GBP',
     start_date=dtm.date(2010, 1, 4),
     constituent_names=[
         'EUR CASH',
         'USD CASH',
     ],
     weights=[0.5, 0.5],
     rebalance_frequency='1BD'
)