PortfolioConstructionModel

tradeexecutor.strategy.qstrader.portfolio_construction_model.PortfolioConstructionModel Python class in Trading Strategy framework.

class PortfolioConstructionModel

Bases: object

Portfolio construction model.

Encapsulates the process of generating a target weight vector for a universe of assets, based on input from an AlphaModel, a RiskModel and a TransactionCostModel.

__init__(universe, state, order_sizer, optimiser, pricing_model, reserve_currency, alpha_model, risk_model=None, cost_model=None)

Parameters:

• universe (Universe) –

• state (State) –

• order_sizer (CashBufferedOrderSizer) –

• pricing_model (PricingModel) –

• reserve_currency (AssetIdentifier) –

• alpha_model (AlphaModel) –

Methods

__init__(universe, state, order_sizer, ...)
get_all_prices()	Get prices for all asssets.

__init__(universe, state, order_sizer, optimiser, pricing_model, reserve_currency, alpha_model, risk_model=None, cost_model=None)

Parameters:

• universe (Universe) –

• state (State) –

• order_sizer (CashBufferedOrderSizer) –

• pricing_model (PricingModel) –

• reserve_currency (AssetIdentifier) –

• alpha_model (AlphaModel) –

get_all_prices()

Get prices for all asssets.

__call__(dt, stats=None, debug_details=None)

Execute the portfolio construction process at a particular provided date-time.

Use the optional alpha model, risk model and cost model instances to create a list of desired weights that are then sent to the target weight generator instance to be optimised.

Parameters:

• dt (Timestamp) –

• debug_details (Optional[Dict]) –

Return type:

List[TradeExecution]