From 61a10637d0e594ef4f93daff4a524c71e6115f32 Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Wed, 15 May 2024 12:30:30 +0400 Subject: [PATCH] [auto commit] ftse100_daily reconciliation & execution on 2024-05-15 --- .../ftse100_daily_initial_holdings.json | 254 ++++++++++++++++-- .../ftse100_daily_target_weights.json | 103 +++++++ 2 files changed, 331 insertions(+), 26 deletions(-) diff --git a/examples/strategies/ftse100_daily_initial_holdings.json b/examples/strategies/ftse100_daily_initial_holdings.json index 4ce13fe4c..1922fd4ce 100644 --- a/examples/strategies/ftse100_daily_initial_holdings.json +++ b/examples/strategies/ftse100_daily_initial_holdings.json @@ -5965,24 +5965,24 @@ }, "2024-05-13 07:00:00+00:00": { "AAF.L": 19310.39950561523, - "AAL.L": 11324.038876017266, + "AAL.L": 11383.606648084105, "ABF.L": 10791.999999999996, "ADM.L": 11066.2458634362, - "AHT.L": 17886.000000000007, + "AHT.L": 17712.000000000004, "ANTO.L": 22794.115150689435, "AUTO.L": 10474.800170898445, - "AV.L": 26872.67634625279, - "AZN.L": 12444.168988520965, + "AV.L": 27258.69879471567, + "AZN.L": 12519.329656587459, "BA.L": 11164.471535142748, - "BARC.L": 10620.54192655059, + "BARC.L": 10685.468977160142, "BATS.L": 9973.238726411973, "BDEV.L": 10437.483168971316, "BEZ.L": 10971.178556406709, - "BKG.L": 10464.928032510772, + "BKG.L": 10545.504956726447, "BME.L": 10991.999511718752, "BNZL.L": 9558.000000000004, - "BP.L": 1.51924340959627e-12, - "BRBY.L": 10651.499999999996, + "BP.L": 1.5070131699777033e-12, + "BRBY.L": 10575.0, "BT-A.L": 0.0, "CCH.L": 0.0, "CNA.L": 10717.199523925778, @@ -5990,41 +5990,41 @@ "CRDA.L": 9858.562540641284, "CTEC.L": 2112.404515036375, "DCC.L": 23399.999999999945, - "DGE.L": 11446.129074072593, + "DGE.L": 11520.887551696716, "DPLM.L": 13020.000000000011, "ENT.L": 12623.230706755488, "EXPN.L": 10365.0, - "EZJ.L": 9914.199768066399, + "EZJ.L": 9974.999999999995, "FLTR.L": 32959.999999999956, "FRAS.L": 10816.0, "FRES.L": 10328.136649568125, "GBPOUND": 56880.632543249514, - "GLEN.L": 9713.341248065928, - "GSK.L": 10820.228796353838, + "GLEN.L": 9629.16854518914, + "GSK.L": 10886.870743027916, "HIK.L": 10201.125578116786, "HLMA.L": 11669.999999999998, "HLN.L": 0.0, "HSBA.L": 10588.741242894299, "HWDN.L": 10339.23777310754, - "IAG.L": 9365.200317382814, + "IAG.L": 9461.399841308597, "ICG.L": 10920.000000000007, "IHG.L": 16041.76563972622, - "IMB.L": 11136.000000000002, + "IMB.L": 11201.999999999998, "IMI.L": 11339.960173920193, "INF.L": 10185.599853515618, "ITRK.L": 10000.0, "JD.L": 10691.999999999995, "KGF.L": 10701.00000000001, "LAND.L": 0.0, - "LGEN.L": 10513.234973446659, + "LGEN.L": 10589.849771163459, "LLOY.L": 0.0, - "LSEG.L": 27454.460259138443, + "LSEG.L": 27702.61565389697, "MKS.L": 0.0, "MNDI.L": 9831.547510200735, "MNG.L": 10633.91321770531, "MRO.L": 46979.67249907984, - "NG.L": 11099.99999999999, - "NWG.L": 10894.106398689111, + "NG.L": 11209.99999999999, + "NWG.L": 10812.731391350639, "NXT.L": 9290.000000000015, "OCDO.L": 10448.999633789062, "PHNX.L": 0.0, @@ -6032,10 +6032,10 @@ "PSN.L": 11380.0, "PSON.L": 15.760069427215953, "REL.L": 10519.243401418822, - "RIO.L": 11493.483567740583, - "RKT.L": 9505.919767244954, + "RIO.L": 11564.328100246596, + "RKT.L": 9423.70640709581, "RMV.L": 10999.761757385091, - "RR.L": 10655.000305175781, + "RR.L": 10557.499694824224, "RS1.L": 4961.999999999999, "RTO.L": 10745.123708824789, "SBRY.L": 0.0, @@ -6044,15 +6044,15 @@ "SGRO.L": 0.0, "SHEL.L": 0.0, "SKG.L": 11684.701160980328, - "SMDS.L": 10956.000366210934, + "SMDS.L": 10889.999999999998, "SMIN.L": 0.0, - "SN.L": 1066.2059479078162, + "SN.L": 1079.6616456088495, "SPX.L": 9381.889292507898, - "SSE.L": 10805.999999999985, + "SSE.L": 10904.999999999985, "STAN.L": 11140.71523745461, "STJ.L": 10843.288138854641, - "SVT.L": 10283.999999999995, - "TSCO.L": 6802.4002685546875, + "SVT.L": 10376.0, + "TSCO.L": 6842.0, "TW.L": 10767.192063846293, "ULVR.L": 8641.731969621247, "UTG.L": 10866.247933884302, @@ -6061,5 +6061,207 @@ "WEIR.L": 10680.524798590997, "WPP.L": 10969.399841308597, "WTB.L": 9212.999999999987 + }, + "2024-05-14 07:00:00+00:00": { + "AAF.L": 19587.999999999996, + "AAL.L": 11276.795470584939, + "ABF.L": 10748.0, + "ADM.L": 10840.896856762589, + "AHT.L": 17736.0, + "ANTO.L": 22824.439915856638, + "AUTO.L": 10416.0, + "AV.L": 30246.49013960179, + "AZN.L": 12517.298287180256, + "BA.L": 10900.775804843232, + "BARC.L": 10692.960999585133, + "BATS.L": 10079.86052200683, + "BDEV.L": 10938.368792059366, + "BEZ.L": 10938.550516090254, + "BKG.L": 10485.072263564683, + "BME.L": 10503.199768066412, + "BNZL.L": 9420.000000000016, + "BP.L": 1.5141723590562374e-12, + "BRBY.L": 10493.999999999998, + "BT-A.L": 0.0, + "CCH.L": 0.0, + "CNA.L": 10721.09976196289, + "CPG.L": 0.0, + "CRDA.L": 9751.206096290749, + "CTEC.L": 2112.404515036375, + "DCC.L": 23599.999999999927, + "DGE.L": 11425.924080120118, + "DPLM.L": 12155.999999999995, + "ENT.L": 13364.171640119645, + "EXPN.L": 10293.00000000001, + "EZJ.L": 10491.999511718748, + "FLTR.L": 31579.99999999994, + "FRAS.L": 10757.499999999998, + "FRES.L": 11079.772260394255, + "GBPOUND": 46337.862131373644, + "GLEN.L": 9662.634725974358, + "GSK.L": 10935.337613336325, + "HIK.L": 10318.96881683938, + "HLMA.L": 11520.000000000004, + "HLN.L": 0.0, + "HSBA.L": 10721.84654750334, + "HWDN.L": 10210.137627189255, + "IAG.L": 10276.750335693356, + "ICG.L": 10970.000000000002, + "IHG.L": 16021.505769001626, + "IMB.L": 11192.999999999998, + "IMI.L": 11303.575274966433, + "INF.L": 11029.20031738281, + "ITRK.L": 9831.999999999989, + "JD.L": 10841.599731445309, + "KGF.L": 10865.000000000004, + "LAND.L": 0.0, + "LGEN.L": 10449.389416927746, + "LLOY.L": 0.0, + "LSEG.L": 27527.091106384858, + "MKS.L": 0.0, + "MNDI.L": 11438.155492282, + "MNG.L": 10639.075626569513, + "MRO.L": 47261.92495332979, + "NG.L": 11119.99999999999, + "NWG.L": 10850.028571513083, + "NXT.L": 9248.000000000022, + "OCDO.L": 10546.200378417969, + "PHNX.L": 0.0, + "PRU.L": 10447.42935344854, + "PSN.L": 11300.000000000005, + "PSON.L": 15.494663472451322, + "REL.L": 10379.472980718272, + "RIO.L": 11468.479615091408, + "RKT.L": 9454.536417151736, + "RMV.L": 10854.070530173272, + "RR.L": 10465.00015258789, + "RS1.L": 4842.000000000002, + "RTO.L": 10558.032297384145, + "SBRY.L": 0.0, + "SDR.L": 10732.629013002255, + "SGE.L": 39434.99999999997, + "SGRO.L": 0.0, + "SHEL.L": 0.0, + "SKG.L": 11579.265959421595, + "SMDS.L": 10613.999999999998, + "SMIN.L": 0.0, + "SN.L": 1074.8560299755752, + "SPX.L": 9280.627670354555, + "SSE.L": 10829.999999999984, + "STAN.L": 10344.355725429567, + "STJ.L": 10874.678827482896, + "SVT.L": 10324.000000000002, + "TSCO.L": 8440.200164794927, + "TW.L": 10681.382159562585, + "ULVR.L": 8698.240259006905, + "UTG.L": 10804.18732782369, + "UU.L": 10909.999999999989, + "VOD.L": 10890.880187988276, + "WEIR.L": 10589.583717051431, + "WPP.L": 10979.799682617191, + "WTB.L": 9308.999999999982 + }, + "2024-05-15 07:00:00+00:00": { + "AAF.L": 20023.30025482176, + "AAL.L": 10954.307876981693, + "ABF.L": 10808.0, + "ADM.L": 10869.065482596796, + "AHT.L": 17778.0, + "ANTO.L": 23329.852668643558, + "AUTO.L": 10603.600341796873, + "AV.L": 30171.9141041035, + "AZN.L": 12509.172809551443, + "BA.L": 11091.448102136725, + "BARC.L": 10780.362593306842, + "BATS.L": 10194.683994185913, + "BDEV.L": 10560.526410778943, + "BEZ.L": 11093.533707593395, + "BKG.L": 10515.288610145572, + "BME.L": 10316.999999999998, + "BNZL.L": 9306.000000000013, + "BP.L": 1.5126808575384577e-12, + "BRBY.L": 10368.000000000004, + "BT-A.L": 0.0, + "CCH.L": 0.0, + "CNA.L": 10943.400238037104, + "CPG.L": 0.0, + "CRDA.L": 9793.74355537303, + "CTEC.L": 2151.644378004477, + "DCC.L": 23159.999999999945, + "DGE.L": 11401.67808737716, + "DPLM.L": 12395.999999999995, + "ENT.L": 13570.674427555916, + "EXPN.L": 10806.000000000005, + "EZJ.L": 9914.199768066399, + "FCIT.L": 0.0, + "FLTR.L": 32149.999999999964, + "FRAS.L": 10783.500000000004, + "FRES.L": 10590.869950302753, + "GBPOUND": 50449.14223626663, + "GLEN.L": 10030.763952563935, + "GSK.L": 10971.687766067638, + "HIK.L": 10318.96881683938, + "HLMA.L": 11714.999999999993, + "HLN.L": 0.0, + "HSBA.L": 10847.302132695808, + "HWDN.L": 10344.850822930071, + "IAG.L": 9696.349838256838, + "ICG.L": 11050.000000000002, + "IHG.L": 15932.362337813462, + "III.L": 0.0, + "IMB.L": 11382.000000000004, + "IMI.L": 11467.307320258333, + "INF.L": 10214.400146484368, + "ITRK.L": 9807.999999999987, + "JD.L": 10526.400131225584, + "KGF.L": 10844.000244140634, + "LAND.L": 0.0, + "LGEN.L": 10803.798677792596, + "LLOY.L": 0.0, + "LSEG.L": 27723.740543875716, + "MKS.L": 0.0, + "MNDI.L": 11601.195402688294, + "MNG.L": 10690.696564519538, + "MRO.L": 47464.12836402234, + "NG.L": 11234.999999999989, + "NWG.L": 10760.372946514935, + "NXT.L": 9240.00000000001, + "OCDO.L": 11302.600189208979, + "PHNX.L": 0.0, + "PRU.L": 10524.385107625705, + "PSH.L": 0.0, + "PSN.L": 11387.999999999998, + "PSON.L": 15.500983052135052, + "REL.L": 10525.320376231883, + "RIO.L": 11678.92954988869, + "RKT.L": 9444.259747133088, + "RMV.L": 11121.17193676042, + "RR.L": 10609.974670410154, + "RS1.L": 4935.000000000001, + "RTO.L": 10598.484682130382, + "SBRY.L": 0.0, + "SDR.L": 10988.444292466334, + "SGE.L": 39550.49999999999, + "SGRO.L": 0.0, + "SHEL.L": 0.0, + "SKG.L": 11622.680454181076, + "SMDS.L": 10753.199645996094, + "SMIN.L": 0.0, + "SMT.L": 0.0, + "SN.L": 1094.0784925086712, + "SPX.L": 9655.295672321941, + "SSE.L": 11027.999999999984, + "STAN.L": 10578.902774002161, + "STJ.L": 11278.275155100817, + "SVT.L": 10547.999999999998, + "TSCO.L": 8469.900329589846, + "TW.L": 10744.806821921817, + "ULVR.L": 8716.403637738007, + "UTG.L": 10775.97796143251, + "UU.L": 11139.999999999995, + "VOD.L": 10947.499999999996, + "WEIR.L": 10640.106540128969, + "WPP.L": 11078.600158691399, + "WTB.L": 9329.999999999989 } } \ No newline at end of file diff --git a/examples/strategies/ftse100_daily_target_weights.json b/examples/strategies/ftse100_daily_target_weights.json index 657e77925..0fa7ad50f 100644 --- a/examples/strategies/ftse100_daily_target_weights.json +++ b/examples/strategies/ftse100_daily_target_weights.json @@ -5869,5 +5869,108 @@ "WEIR.L": 0.009999998828109953, "WPP.L": 0.009999997868677349, "WTB.L": 0.009999968074947452 + }, + "2024-05-15 07:00:00+00:00": { + "AAF.L": 0.018866944623058903, + "AAL.L": 0.009999999682100023, + "ABF.L": 0.009999954413154169, + "ADM.L": 0.010000010467837309, + "AHT.L": 0.017295678792907422, + "ANTO.L": 0.02151358904943472, + "AUTO.L": 0.010000000730116249, + "AV.L": 0.028162637518752948, + "AZN.L": 0.010000012593688327, + "BA.L": 0.010000003211234424, + "BARC.L": 0.009999999158577933, + "BATS.L": 0.009999999496470277, + "BDEV.L": 0.010000000896439105, + "BEZ.L": 0.010000005744309683, + "BKG.L": 0.010000001379501047, + "BME.L": 0.009999998607287772, + "BNZL.L": 0.009999989544894061, + "BP.L": 1.0432703671080423e-07, + "BRBY.L": 0.009999996661050075, + "BT-A.L": 6.095564191635062e-09, + "CCH.L": 1.604738826680428e-08, + "CNA.L": 0.009999996476663364, + "CPG.L": 5.248657132060784e-08, + "CRDA.L": 0.009999995940553464, + "CTEC.L": 0.0020011186600963475, + "DCC.L": 0.021047403770852263, + "DGE.L": 0.009999974696524475, + "DPLM.L": 0.010000236086899908, + "ENT.L": 0.012785182551011923, + "EXPN.L": 0.01000000102956866, + "EZJ.L": 0.009401116844503433, + "FCIT.L": 1.1466961039764665e-08, + "FLTR.L": 0.028138673383233552, + "FRAS.L": 0.010000001575350831, + "FRES.L": 0.009999996180687738, + "GBPOUND": 1.4301629283619555e-08, + "GLEN.L": 0.009572689946147198, + "GSK.L": 0.009999998216242725, + "HIK.L": 0.010000001700680652, + "HLMA.L": 0.010000002066041515, + "HLN.L": 3.6187076137045488e-09, + "HSBA.L": 0.00999999948446119, + "HWDN.L": 0.009999999471092582, + "IAG.L": 0.009408390326756413, + "ICG.L": 0.010000004819511079, + "IHG.L": 0.01481787586275691, + "III.L": 0.0100000009093519, + "IMB.L": 0.010000001377617977, + "IMI.L": 0.009999996584869612, + "INF.L": 0.00967752872026282, + "ITRK.L": 0.009999997689693424, + "JD.L": 0.01000000346055481, + "KGF.L": 0.00999999473510049, + "LAND.L": 5.842381320515979e-09, + "LGEN.L": 0.009999999496549223, + "LLOY.L": 1.2859388495181778e-08, + "LSEG.L": 0.025786267149881616, + "MKS.L": 9.84089584629246e-09, + "MNDI.L": 0.00999999972951325, + "MNG.L": 0.00999999895579595, + "MRO.L": 0.04441991480160963, + "NG.L": 0.009999991746865841, + "NWG.L": 0.009999995354740592, + "NXT.L": 0.01000000317114973, + "OCDO.L": 0.01000000604420381, + "PHNX.L": 7.576536677671978e-09, + "PRU.L": 0.009999998103447203, + "PSH.L": 0.025555983522161246, + "PSN.L": 0.010000000087359748, + "PSON.L": 1.0790892180799183e-05, + "REL.L": 0.009999996257250461, + "RIO.L": 0.01000000083135172, + "RKT.L": 0.009999992055617806, + "RMV.L": 0.01034399806200942, + "RR.L": 0.009999997065329976, + "RS1.L": 0.004637388568416085, + "RTO.L": 0.009999998433779656, + "SBRY.L": 1.2689086954563093e-08, + "SDR.L": 0.009999997778983355, + "SGE.L": 0.03716032057365582, + "SGRO.L": 1.2317110275069e-08, + "SHEL.L": 1.6476269032624699e-07, + "SKG.L": 0.009999999347030598, + "SMDS.L": 0.009999995877705772, + "SMIN.L": 2.549990071134802e-08, + "SMT.L": 0.009313637260221467, + "SN.L": 0.0010353008298111023, + "SPX.L": 0.009999990337370025, + "SSE.L": 0.009999997263605785, + "STAN.L": 0.009999995492061691, + "STJ.L": 0.009999996779476708, + "SVT.L": 0.009999999886288946, + "TSCO.L": 0.009999927852232048, + "TW.L": 0.009999995922401967, + "ULVR.L": 0.009047088141501096, + "UTG.L": 0.010000005634194179, + "UU.L": 0.009999994376106987, + "VOD.L": 0.010000006566826076, + "WEIR.L": 0.00999999859544178, + "WPP.L": 0.00999999798132365, + "WTB.L": 0.00999996830479621 } } \ No newline at end of file