ValuationModel

API documentation for tradeexecutor.strategy.valuation.ValuationModel Python class in Trading Strategy framework.

class ValuationModel

Bases: ABC

Revalue an open position.

Each protocol has its own way to value the position: how much free cash we will receive if we close the position.

• Spot positions are valued at their sell price - fees

• Loan based positions are valued at the loan NAV

__init__()

Methods

__init__()

abstract __call__(ts, position)

Set the new position value and reference price for an asset.

• The implementation must check if the position protocol is correct for this valuation model.

• The implementation must update valuation_updates

• The implementation must set legacy last_token_price and last_pricing_at variables.

Parameters:

• ts (datetime) – When to revalue. Used in backesting. Live strategies may ignore.

• position (TradingPosition) – Open position

Returns:

(revaluation date, position net value) tuple. Note that revaluation date may differ from the wantead timestamp if there is no data available.

Return type:

ValuationUpdate