CashBufferedOrderSizer

tradeexecutor.strategy.qstrader.order_sizer.CashBufferedOrderSizer Python class in Trading Strategy framework.

class CashBufferedOrderSizer

Bases: OrderSizer

Creates a target portfolio of quantities for each Asset using its provided weight and total equity available in the Broker portfolio.

Includes an optional cash buffer due to the non-fractional amount of share/unit sizes. The cash buffer defaults to 5% of the total equity, but can be modified.

Parameters

cash_buffer_percentagefloat, optional

The percentage of the portfolio equity to retain in cash to avoid generating Orders that exceed account equity (assuming no margin available).

__init__(state, pricing_model, cash_buffer_percentage=0.05)

Parameters:

• state (State) –

• pricing_model (PricingModel) –

Methods

__init__(state, pricing_model[, ...])

__init__(state, pricing_model, cash_buffer_percentage=0.05)

Parameters:

• state (State) –

• pricing_model (PricingModel) –

__call__(dt, weights, debug_details)

Creates a dollar-weighted cash-buffered target portfolio from the provided target weights at a particular timestamp.

Parameters

dtpd.Timestamp

The current date-time timestamp.

weightsdict{Asset: float}

The (potentially unnormalised) target weights.

Parameters:

• dt (Timestamp) –

• weights (Dict[int, float]) –

• debug_details (dict) –

Return type:

Tuple[Dict, Dict]