v8 Framework

API reference

The API reference provides comprehensive documentation for interacting with each element of SigTech's Python framework. You can browse it as a website or access specific elements as you're coding:

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Init signature:
raw_data: Dict = None,
identifier: Union[sigtech.framework.infra.data_adapter.identifier.Identifier, NoneType] = None,
cache: bool = True,
env: Union[sigtech.framework.config.config.ConfiguredEnvironment, NoneType] = None,
ReinvestmentStrategy - class used for handling corporate actions for underliers.
Keyword arguments:
* ``currency``.
* ``start_date``.
* ``underlyer`` (string identifier/ticker).
* ``end_date`` (optional, default is date.max).
* ``reinvest_cash_dividends`` (optional: if True reinvests dividends at payment date, default is True).
* ``trade_swap_format`` (optional: if False trades cash equity otherwise equity swaps, default is False).
* ``swap_include_financing`` (optional: include financing costs, default is True).
* ``swap_reset_frequency`` (optional: determines frequency of swap reset: default is ``'SOM'``).
* ``enable_tracking`` (optional: place adjustments to minimize exposure slippage, default is False).
* ``tracking_threshold`` (optional: only need if 'enable_tracking' input is set to True, default is 1bps).
* ``tracking_frequency`` (optional: determines frequency of tracking check: default is ``'SOM'``).
* ``universe_filters`` (optional: list of filter names to be applied, default is False).
* ``final_trade_out`` (optional: if True will trigger order to trade out at before expiry_date, default is False).
* ``net_dividend_override`` (optional: net dividend, if None the corporate action data is used, default is None).
* ``withholding_tax_override`` (optional: dividend tax, if None the net or equity group rate is used, default is None).
* ``libor_instrument_name`` (optional: swap financing fixing source, default is ``'US0001M INDEX'``).
* ``libor_spread`` (optional: financing spread, default is 25bps).
* ``borrow_cost_ts`` (optional: fixed percentage rate or timeseries of percentage rates to use for shorting costs).
* ``initial_shares`` (optional: number of shares to start with, if cash is not required ``'initial_cash'`` should be set to zero).
* ``use_substrats`` (optional: if True will use reinvestment strategies for spinoffs/mergers, default is False).
Example object creation:
reinv = ReinvestmentStrategy(
start_date=dtm.date(2005, 12, 16),
underlyer='6027 EQUITY',
universe_filters=['compliance', 'internal', 'm_a_targets', 'special_shorts']
The underlying instrument can be traded in two formats:
* cash (outright).
* swap format (including financing leg).
Internally the strategy constructs holding periods of the underlyer based on the filter lists and expiry date
setting of the underlyer.
The building block schedules decisions for handling corporation actions throughout the lifetime of the strategy.
File: /opt/conda/envs/sig-env/lib/python3.7/site-packages/sigtech/framework/strategies/reinvestment_strategy.py
Type: DObjectModelMeta

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