Framework v8
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Environment setup

This tutorial guides you through configuring an environment within the SigTech platform before you begin your analysis.

Prerequisites

This page assumes you have started a research environment on the Sigtech platform. If you have not:
  1. 1.
    Login to Sigtech.
  2. 2.
    Select Research.
  3. 3.
    Select the workspace you want to initialize a research environment in. To configure a new workspace, refer to Workspaces.
  4. 4.
    Configure your research environment using the Set up your Research Environment window.
  5. 5.
    Select Start Research Environment.
  6. 6.
    Open an instance of your preferred IDE.

Import our framework

You are required to import the sigtech.framework library.
import sigtech.framework as sig

Import additional python libraries

Import any python libraries you require. For example:
import datetime as dtm
import pandas as pd
import numpy as np
import seaborn as sns
If you attempt to import a library and encounter the ModuleNotFoundError, you will need to install the library in your research environment. See Python packages for more information.
To see the complete list of libraries you can import without installing, run help('modules'). To see a list of the supported libraries and versions run %pip install. Please note that %pip install does not show all supported Python libraries.

Initialize your environment

After importing the necessary libraries, you must initialize your environment. Initialization is performed with the command sig.init().
sig.init(env_date=dtm.datetime(2020, 7, 1, 11))
# this sets the env_date to July 1st 2020, at 11:00am

Configuration parameters

The following parameters can be used during environment initialization:
Parameter
Default
Description
env_date
"today"
A Python date, datetime or string, for example ‘today’ or ‘yesterday’. This parameter sets the last date for which results will be calculated.
data_date
"today"
A Python date, datetime or string, for example 'today' or 'yesterday'. This parameter sets the as-of date of the data being used. For example, if the env_date is set to 2010/01/01 and the data_date is set to 2011/01/01 results will be calculated up till 2010/01/01 but will be based on data for that timeframe that was refreshed or updated as late as 2011/01/01. Any changes made to the data after the data_date will not be included.
log_level
"ERROR"
The log level determines the type of log message to display and the granularity of information to provide the user. For a list of the different log_levels, see the section below.

Arguments for log_level

When configuring your environment, the log_level argument lets you set log messages and exactly what kind of information is displayed. There are four log levels:
  1. 1.
    'ERROR' - displays error messages that are fatal to the code operation.
  2. 2.
    'WARNING' - displays information that can explain application oddities or issues. These issues are not 'fatal' and will not disrupt the code.
    • Selecting this level will cause both 'ERROR' and 'WARNING' messages to be displayed.
  3. 3.
    'DEBUG' - displays information that is diagnostically helpful. For example, a debug message could be 'stopping Strategy Service'.
    • Selecting this level will cause 'ERROR','WARNING' and 'DEBUG' messages to all be displayed..
  4. 4.
    'INFO' - displays all useful information such as configuration assumptions, success messages, etc.
    • This level displays all log_level messages.

Post initialization configuration

After the initialization of the environment, several additional configurations can be made.
In the following code block, FORCE_OFFSETTING_OTC_TRADES and TM_TIMEZONE have been included:
sig.config.set(sig.config.FORCE_OFFSETTING_OTC_TRADES, True)
sig.config.set(sig.config.TM_TIMEZONE, 'Europe/London')
The following parameters can be used to further configure the environment:
Parameter
Default value
Explanation
HISTORY_SCHEDULE_BUILD_FROM_DATA
False
Determines whether to use calendars to build the history schedule of instruments.
HISTORY_DATA_FILL_MISSING
True
Determines whether to provide values for missing data points. If True, copies previous value.
IGNORE_T_COSTS
True
Determines whether to ignore transaction costs when running strategies.
DISABLE_T_COST_NETTING
False
Determines whether to treat all orders individually by disabling transaction cost netting.
ALLOWED_DAY_CA_DATA_GAP
10
Sets number of days before gathering data following a corporate action.
ALLOWED_MISSING_CA_DATA
False
Determines whether to ignore corporate actions with no adjustment factor or resulting stock symbol.
TM_CALENDAR
'London, CHR Calendar'
Sets trading manager calendar.
TM_TIMEZONE
'Europe/London'
Sets trading manager timezone.
TM_OPEN
datetime.time(7, 30, 0)
Sets trading manager opening time.
TM_CLOSE
datetime.time(18, 0, 0)
Sets trading manager closing time.
TM_DEFAULT_DATA_POINTS
['LONDON_1600', 'EOD']
Sets data point defaults according to Trading Manager Calendar.
TM_INTRADAY_OUT_OF_HOURS
False
Determines valuation when intraday data is available. If True use intraday data outside of instrument exchange trading hours, if False use EOD data.
TM_PREFERRED_DATA_POINTS
[ ]
Sets list of data points to prioritize over others.
T_COST_OVERRIDES
{ }
Facilitates overriding of transaction cost values.
T_COST_WARN_ON_DEFAULT
False
Determines whether to warn user if default transaction costs are used.
FORWARD_DISCOUNTING_INSTRUMENT
'FEDL01 INDEX'
Determines discounting instrument to be used for base currency discounting in FX forwards. Can be a curve of overnight index.
FORWARD_BASE_CURRENCY
'USD'
Sets base currency to use in FX forward market.
FORWARD_SPLINE_POINTS
3
Sets order of the spline interpolation used by the point based FX forward market.
FORCE_ORDER_ROUNDING
False
Determines whether to force the rounding of all units for strategy generated orders.
FORCE_OFFSETTING_OTC_TRADES
False
Determines whether to force entry into offsetting trades for FX forwards and other initial zero-value trades when trading out of them.
DIVIDEND_TAX_OVERRIDE
{ }
Override dividend tax for equity groups.
CUSTOM_DATA_SOURCE_CONFIG
[ ]
Configure data providers. List of pairs: regex matching instrument names, data_source.
FUTURE_GROUP_SPLITS
{ }
Dict of splits occurring in futures groups to consider when constructing rolling future strategies.
HISTORY_START_DATE
None
Sets a date before which no history for any instrument will be returned.
RESTRICT_TO_CUSTOM_PROVIDER
False
Determines whether to restrict time series data retrieval to a specified data provider.
FX_SPOT_EXECUTION_DELAY
datetime.timedelta(0)
Sets time between the decision and execution of an FX Spot transaction.
FX_CROSS_DIRECT_PAIRS
[ ]
Trades FX pairs directly, as opposed to triangulating through USD.

Re-initializing your environment

Note: to destroy your configured environment and clear the cache in preparation for initializing a new environment, use sig.de_init().
Sometimes, you may want to re-initialize an environment with new parameters. Attempts to re-initialize an already initialized environment will produce different behaviour based on the value of the repeat_mode parameter. This parameter controls how the environment behaves if init() is called more than once (i.e. you reinitialize an environment). The three repeat_mode options are as follows:
  • 'reinit' - runs the de_init() command (destroying the environment) and then runs init() again (creating a new environment).
  • 'error' - if a second init() command is called, this command is terminated and an error is displayed explaining why.
  • 'warning' - the second init() command is allowed to finish and a warning is displayed that another environment has been created.
Note: Entering sig.de_init followed by sig.init() performs the same function as sig.init(repeat_mode='reinit').
These behaviors are described in the code block below:
sig.init()
# The environment is now initialized
sig.init()
# The call above has no effect (default is 'warning')
sig.init(repeat_mode='reinit')
# The call above destroys the current environment and creates a new one
sig.init(repeat_mode='error')
# The execution terminates with an error
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