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actions.py
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actions.py
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"""
Copyright 2019 Goldman Sachs.
Licensed under the Apache License, Version 2.0 (the "License");
you may not use this file except in compliance with the License.
You may obtain a copy of the License at
http://www.apache.org/licenses/LICENSE-2.0
Unless required by applicable law or agreed to in writing,
software distributed under the License is distributed on an
"AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
KIND, either express or implied. See the License for the
specific language governing permissions and limitations
under the License.
"""
from collections import namedtuple
import copy
from dataclasses import dataclass, field
from dataclasses_json import dataclass_json
from typing import TypeVar, Callable
from gs_quant.backtests.backtest_utils import *
from gs_quant.backtests.backtest_objects import ConstantTransactionModel, TransactionModel
from gs_quant.base import Priceable
from gs_quant.common import RiskMeasure
from gs_quant.markets.portfolio import Portfolio
from gs_quant.markets.securities import *
from gs_quant.risk.transform import Transformer
from gs_quant.target.backtests import BacktestTradingQuantityType
action_count = 1
def default_transaction_cost(obj):
return field(default_factory=lambda: copy.copy(obj))
@dataclass_json
@dataclass
class Action(object):
_needs_scaling = False
_calc_type = CalcType.simple
_risk = None
_transaction_cost = ConstantTransactionModel(0)
name = None
def __post_init__(self):
self.set_name(self.name)
@property
def calc_type(self):
return self._calc_type
@property
def risk(self):
return self._risk
def set_name(self, name: str):
global action_count
if self.name is None:
self.name = 'Action{}'.format(action_count)
action_count += 1
@property
def transaction_cost(self):
return self._transaction_cost
@transaction_cost.setter
def transaction_cost(self, value):
self._transaction_cost = value
TAction = TypeVar('TAction', bound='Action')
@dataclass_json
@dataclass
class AddTradeAction(Action):
"""
create an action which adds a trade when triggered. The trades are resolved on the trigger date (state) and
last until the trade_duration if specified or for all future dates if not.
:param priceables: a priceable or a list of pricables.
:param trade_duration: an instrument attribute eg. 'expiration_date' or a date or a tenor or timedelta
if left as None the
trade will be added for all future dates
:param name: optional additional name to the priceable name
:param transaction_cost: optional a cash amount paid for each transaction, paid on both enter and exit
"""
priceables: Union[Priceable, Iterable[Priceable]] = None
trade_duration: Union[str, dt.date, dt.timedelta] = None
name: str = None
transaction_cost: TransactionModel = default_transaction_cost(ConstantTransactionModel())
def __post_init__(self):
self._dated_priceables = {}
named_priceables = []
for i, p in enumerate(make_list(self.priceables)):
if p.name is None:
named_priceables.append(p.clone(name=f'{self.name}_Priceable{i}'))
else:
named_priceables.append(p.clone(name=f'{self.name}_{p.name}'))
self.priceables = named_priceables
def set_dated_priceables(self, state, priceables):
self._dated_priceables[state] = make_list(priceables)
@property
def dated_priceables(self):
return self._dated_priceables
AddTradeActionInfo = namedtuple('AddTradeActionInfo', 'scaling')
EnterPositionQuantityScaledActionInfo = namedtuple('EnterPositionQuantityScaledActionInfo', 'not_applicable')
HedgeActionInfo = namedtuple('HedgeActionInfo', 'not_applicable')
ExitTradeActionInfo = namedtuple('ExitTradeActionInfo', 'not_applicable')
RebalanceActionInfo = namedtuple('RebalanceActionInfo', 'not_applicable')
@dataclass_json
@dataclass
class EnterPositionQuantityScaledAction(Action):
"""
create an action which enters trades when triggered. The trades are executed with specified quantity and
last until the trade_duration if specified, or for all future dates if not.
:param priceables: a priceable or a list of pricables.
:param trade_duration: an instrument attribute eg. 'expiration_date' or a date or a tenor if left as None the
trade will be added for all future dates
:param name: optional additional name to the priceable name
:param trade_quantity: the amount, in units of trade_quantity_type to be traded
:param trade_quantity_type: the quantity type used to scale trade. eg. quantity for units, notional for
underlier notional
"""
priceables: Union[Priceable, Iterable[Priceable]] = None
trade_duration: Union[str, dt.date, dt.timedelta] = None
name: str = None
trade_quantity: float = 1
trade_quantity_type: Union[BacktestTradingQuantityType, str] = BacktestTradingQuantityType.quantity
def __post_init__(self):
named_priceables = []
for i, p in enumerate(make_list(self.priceables)):
if p.name is None:
named_priceables.append(p.clone(name=f'{self.name}_Priceable{i}'))
else:
named_priceables.append(p.clone(name=f'{self.name}_{p.name}'))
self.priceables = named_priceables
@dataclass_json
@dataclass
class ExitPositionAction(Action):
name: str = None
@dataclass_json
@dataclass
class ExitTradeAction(Action):
priceable_names: Union[str, Iterable[str]] = None
name: str = None
def __post_init__(self):
self.priceables_names = make_list(self.priceable_names)
@dataclass_json
@dataclass
class ExitAllPositionsAction(ExitTradeAction):
"""
Fully exit all held positions
"""
def __post_init__(self):
self._calc_type = CalcType.path_dependent
@dataclass_json
@dataclass
class HedgeAction(Action):
risk: RiskMeasure = None
priceables: Optional[Priceable] = None
trade_duration: Union[str, dt.date, dt.timedelta] = None
name: str = None
csa_term: str = None
scaling_parameter: str = 'notional_amount'
transaction_cost: TransactionModel = default_transaction_cost(ConstantTransactionModel())
risk_transformation: Transformer = None
def __post_init__(self):
self._calc_type = CalcType.semi_path_dependent
if isinstance(self.priceables, Portfolio):
named_priceables = []
for i, priceable in enumerate(self.priceables):
if priceable.name is None:
named_priceables.append(priceable.clone(name=f'{self.name}_Priceable{i}'))
else:
named_priceables.append(priceable.clone(name=f'{self.name}_{priceable.name}'))
named_priceable = Portfolio(named_priceables)
elif isinstance(self.priceables, Priceable):
if self.priceables.name is None:
named_priceable = self.priceables.clone(name=f'{self.name}_Priceable0')
else:
named_priceable = self.priceables.clone(name=f'{self.name}_{self.priceables.name}')
else:
raise RuntimeError('hedge action only accepts one trade or one portfolio')
self.priceables = named_priceable
@property
def priceable(self):
return self.priceables
@dataclass_json
@dataclass
class RebalanceAction(Action):
priceable: Priceable = None
size_parameter: Union[str, float] = None
method: Callable = None
transaction_cost: TransactionModel = default_transaction_cost(ConstantTransactionModel())
name: str = None
def __post_init__(self):
self._calc_type = CalcType.path_dependent
if self.priceable.unresolved is None:
raise ValueError("Please specify a resolved priceable to rebalance.")
if self.priceable is not None:
if self.priceable.name is None:
self.priceable = self.priceable.clone(name=f'{self.name}_Priceable0')
else:
self.priceable = self.priceable.clone(name=f'{self.name}_{self.priceable.name}')