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Timeline
The centre piece of all strategies created on the SigTech platform is the Timeline, which in its simplest form is a priority queue of processes - where a processes could be any form of action such as trades, reconciliations, corporate actions, user-defined actions, etc. The processes are scheduled via functionality provided by the Python package SigTech Framework between a defined start_date and end_date (start_dt and end_dt for intraday strategies).
There are two discernible advantages to this approach:
  • A process-driven approach correctly models the granular actions being taken throughout a strategy, and
  • Due to the inherited compatibility of the processes, modular strategy construction is possible. This allows for multiple levels of strategies to be assigned to the same timeline (e.g. netting cash flows and positions within an overall portfolio comprising multiple strategies).
A critical step in learning how to construct custom strategies are to get accustomed to the Base class, which is where all critical functionality is inherited from.
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