- rebalance_portfolio_old(position_manager, new_weights, portfolio_total_value, min_trade_threshold=10.0)[source]#
Rebalance a portfolio based on alpha model weights.
This is old deprecated method. Do not use anymore.
This will generate
Sells for the existing assets
Buys for new assetes or assets where we want to increase our position
portfolio – Portfolio of our existing holdings
Each weight tells how much a certain trading pair we should hold in our portfolio. Pair id -> weight mappings.
Each weight must be normalised in the range of 0…1 and the total sum of the weights must be 1.
portfolio_total_value (float) – Target portfolio value in USD
min_trade_threshold (float) – If the notional value of a rebalance trade is smaller than this USD amount don’t make a trade.
position_manager (PositionManager) –
List of trades we need to execute to reach the target portfolio. The sells are sorted always before buys.
- Return type: