YieldDecisionInput

API documentation for tradeexecutor.strategy.pandas_trader.yield_manager.YieldDecisionInput Python class in Trading Strategy framework.

class YieldDecisionInput

Bases: object

Required inputs to decide yield management rebalances for a single strategy cycle

__init__(execution_mode, cycle, timestamp, total_equity, pending_redemptions, directional_trades, size_risk_model=None)

Parameters:

• execution_mode (ExecutionMode) –

• cycle (int) –

• timestamp (datetime.datetime | None) –

• total_equity (float) –

• pending_redemptions (float) –

• directional_trades (list[tradeexecutor.state.trade.TradeExecution]) –

• size_risk_model (tradeexecutor.strategy.tvl_size_risk.BaseTVLSizeRiskModel | None) –

Return type:

None

Methods

__init__(execution_mode, cycle, timestamp, ...)

Attributes

execution_mode	Backtesting or live trading
cycle	Strategy cycle number
timestamp	When we make the decision
total_equity	Total equity of our portfolio
pending_redemptions	How much USD worth of pending redemptions we have and we need to satisfy.
directional_trades	Directional trades decided in this cycle
size_risk_model	The size risk model we use to limit the participation in the pool size

execution_mode: ExecutionMode

Backtesting or live trading

cycle: int

Strategy cycle number

timestamp: datetime.datetime | None

When we make the decision

Must be filled for backtesting.

total_equity: float

Total equity of our portfolio

pending_redemptions: float

How much USD worth of pending redemptions we have and we need to satisfy.

The withdrawal queue read from the Lagoon vault.

directional_trades: list[tradeexecutor.state.trade.TradeExecution]

Directional trades decided in this cycle

size_risk_model: tradeexecutor.strategy.tvl_size_risk.BaseTVLSizeRiskModel | None

The size risk model we use to limit the participation in the pool size

__init__(execution_mode, cycle, timestamp, total_equity, pending_redemptions, directional_trades, size_risk_model=None)

Parameters:

• execution_mode (ExecutionMode) –

• cycle (int) –

• timestamp (datetime.datetime | None) –

• total_equity (float) –

• pending_redemptions (float) –

• directional_trades (list[tradeexecutor.state.trade.TradeExecution]) –

• size_risk_model (tradeexecutor.strategy.tvl_size_risk.BaseTVLSizeRiskModel | None) –

Return type:

None