New framework version

Released in May 2022, SigTech framework v8 provides faster calculations, TensorFlow support, and the latest features of Python and pandas.
To try out the new framework:
1.​Log in to the SigTech platform.
2.Set up a Research environment.
At Framework Version, select V8-Latest.
v7 release notes have moved.
See Release notes | SigTech framework v7 for information about older versions of the framework.
On this page
​Important changes in v8​
​v8.1.0 (Jun 2022)​
​v8.0.0 (May 2022)​
Important changes in v8
SigTech framework v8 ignores transaction costs by default.
To enable transaction costs, initialize the framework environment and then set the IGNORE_T_COSTS environment variable to False:
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# Enable transaction costs
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​
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import sigtech.framework as sig
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env = sig.init()
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env['IGNORE_T_COSTS'] = False
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See also
​Changes to the framework environment​
​User Guide | Transaction costs​
v8.1.0 (Jun 2022)
In this release
​Improve chart formatting in notebook files​
​Retrieve spot dollar duration series​
​Add position targets for CVaR and VaR​
Improve chart formatting in notebook files
In notebook (.ipynb) files, after initializing the framework environment, you can enable improved chart formatting.
To enable improved chart formatting in notebook files:
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# Enable improved chart formatting in notebook files
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​
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import sigtech.framework as sig
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env = sig.init()
5
​
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sig.set_plot_mode()
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See also
​API Reference | set_plot_mode​
Retrieve spot dollar duration series
For a RollingFutureStrategy or RFPriceIndex with underlying BondFuture or InterestRateFuture, spot_dv01 returns a series of spot dollar duration (DV01) values for the history of the instrument:
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# Retrieve spot dollar duration values
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​
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ty = sig.RFPriceIndex(
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    currency='USD',
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    start_date=dtm.date(2020,1,4),
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    contract_code='TY',
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    contract_sector='COMDTY',
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    rolling_rule='front',
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    front_offset='-6:-5')
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ty.spot_dv01()
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See also
​API Reference | RollingFutureStrategy​
​API Reference | RFPriceIndex​
Add position targets for CVaR and VaR
Add position targets for Conditional Variable at Risk (CVaR) and Value at Risk (VaR) to strategies.
To add a position target for CVaR, call strat.add_position_target with parameter unit_type='HISTORICAL_CVAR':
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# Add a position target for CVaR
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​
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class MyStrategy(sig.DailyStrategy):
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  def strategy_initialization(self, dt):
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    self.add_position_target(
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      dtm.date(2021,7,10),
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      instrument_name='1003331.SINGLE_STOCK.TRADABLE',
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      units=0.5,
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      unit_type='HISTORICAL_CVAR'
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    )
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To add a position target for VaR, call strat.add_position_target with parameter unit_type='HISTORICAL_VAR':
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# Add a position target for VaR
2
​
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class MyStrategy(sig.DailyStrategy):
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  def strategy_initialization(self, dt):
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    self.add_position_target(
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      dtm.date(2021,7,10),
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      instrument_name='1003331.SINGLE_STOCK.TRADABLE',
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      units=0.5,
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      unit_type='HISTORICAL_VAR'
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    )
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See also
​API Reference | add_position_target​
v8.0.0 (May 2022)
In this release
​New features and package upgrades​
​Changes to the framework environment​
​Changes to the magnitude of Greek variables​
​New syntax for custom classes​
​Deprecations​
New features and package upgrades
TensorFlow support
From version 8.0, the SigTech framework supports TensorFlow 2.8.0.
To install TensorFlow in Jupyter Lab:
1.In the SigTech Research environment, create or open a Jupyter Lab workspace.
At Set up your Research environment > Framework version, select V8-latest.
2.In a notebook, install and import TensorFlow:
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# Install and import TensorFlow
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​
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!pip install tensorflow
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import tensorflow as tf
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print("TensorFlow version:", tf.__version__)
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See also
​TensorFlow API documentation​
Python package upgrades
To support newer features of Python, pandas, TensorFlow, and other packages, SigTech framework v8 upgrades the version requirement of the following dependencies:
Package
v7 requirement (Python 3.7.10)
v8 requirement (Python 3.9)
cvxpy
1.0.15
1.1.18
matplotlib
3.2.2
3.5.1
numpy
1.18.4
1.22.2
pandas
1.0.5
1.4.1
scipy
1.5.4
1.8.0
scikit-learn
0.23.2
1.0.2
Breaking changes in pandas upgrade
For pandas data frames indexed by a pandas DatetimeIndex, DataFrame.loc is no longer subscriptable with a basic Python datetime.date object. Instead, use pandas.to_datetime to convert a Python date object to a pandas datetime object:
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# `DataFrame.loc` not subscriptable with `datetime.date` in pandas 1.4
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# Use `pd.to_datetime` to convert `datetime.date` to pandas datetime object
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​
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import pandas as pd
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import numpy as np
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import datetime as dtm
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​
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index = pd.date_range(dtm.date(2021, 1, 1), dtm.date(2021, 1, 31))
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​
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df = pd.DataFrame(
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    index = index,
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    data = {'Zeros': np.zeros(len(index))},
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)
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​
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# Not supported in pandas 1.4
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# df.loc[dtm.date(2021, 1, 1)]
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​
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df.loc[pd.to_datetime(dtm.date(2021, 1, 1))]
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See also
​pandas release notes​
New strategy performance visualization
To display an interactive visualization of a strategy's performance, use plot.performance:
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# Display interactive strategy performance visualization
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​
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import sigtech.framework as sig
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import datetime as dtm
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env = sig.init()
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​
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strat = sig.ReinvestmentStrategy(
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    currency='USD',
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    start_date=dtm.date(2021, 1, 1),
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    underlyer='1000045.SINGLE_STOCK.TRADABLE',
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)
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strat.plot.performance()
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In SigTech framework v8, plot.performance uses a new visualization with improved interface design and UX controls. The v8 framework also adds a Share button to the interface, so you can share the visualization as an image or embed the interactive chart anywhere on the web.
Use the v7 performance visualization in v8
To use the v7 performance visualization in v8, pass fallback=True to Strategy.plot.performance:
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# Use v7 strategy performance visualization in v8
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​
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import sigtech.framework as sig
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import datetime as dtm
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env = sig.init()
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​
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strat = sig.ReinvestmentStrategy(
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    currency='USD',
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    start_date=dtm.date(2021, 1, 1),
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    underlyer='1000045.SINGLE_STOCK.TRADABLE',
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)
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strat.plot.performance(fallback=True)
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plot.performance no longer accepts deprecated inline parameter
Passing the deprecated inline parameter to plot.performance raises an error in v8. Remove the inline parameter from calls to plot.performance:
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# Remove `inline` parameter from calls to `plot.performance`
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​
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import sigtech.framework as sig
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import datetime as dtm
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env = sig.init()
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​
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strat = sig.ReinvestmentStrategy(
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    currency='USD',
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    start_date=dtm.date(2021, 1, 1),
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    underlyer='1000045.SINGLE_STOCK.TRADABLE',
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)
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​
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# Raises `TypeError` in v8
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# strat.plot.performance(inline=True)
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​
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# Works correctly in v8
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strat.plot.performance()
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See also
​API Reference | Strategy.plot​
​API Reference | PlotWrapper.performance​
Changes to the framework environment
Initialize and configure the framework environment
To initialize the v8 framework environment, use sig.init:
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# Initialize the SigTech framework
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​
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import sigtech.framework as sig
4
env = sig.init()
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In the example above, env points to the configured environment that sig.init creates.
Re-initialize the framework environment
By default, calling sig.init when the framework is already initialized has no effect in v8. To destroy the existing configured environment and initialize a new one, pass repeat_mode='reinit':
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# Re-initialize the SigTech framework
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​
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import sigtech.framework as sig
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env = sig.init()
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​
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# No effect on configured environment
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env = sig.init()
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​
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# Destroys existing configured environment; initializes new one
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env = sig.init(repeat_mode='reinit')
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See also
​API Reference | sig.init​
Configure the framework environment
You can change the framework environment configuration settings immediately after calling sig.init:
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# Change framework environment config settings
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​
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import sigtech.framework as sig
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import datetime as dtm
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​
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settings = [
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    ('TM_TIMEZONE', 'Australia/Sydney'),
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    ('TM_CALENDAR', 'SYDNEYB CALENDAR'),
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    ('TM_INTRADAY_OUT_OF_HOURS', True),
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]
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​
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env = sig.init()
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for (setting, value) in settings:
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    env[setting] = value
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See also
​User Guide | Environment​
Environment property _quant_bridge replaced by quant_bridge
The configured environment has a property that refers to the quant analytics library.
In v7, the configured environment's quant library property was _quant_bridge.
In v8, the configured environment's quant library property is quant_bridge. Using the v7 property name raises an error in v8.
See also
​API Reference | ConfiguredEnvironment​
Changes to default configured environment settings
Version 8 of the SigTech framework changes the following default environment configuration settings:
Setting
Property name
v7 default
v8 default
​Trading calendar​
'TM_CALENDAR'
London Christmas
None
​Ignore transaction costs​
'IGNORE_T_COSTS'
False
True
​Auto manage custom strategy margins​
'AUTOMATIC_MARGIN_CLEANUP'
False
True
​Single-stock strategy history start date​
'DEFAULT_RS_START_DATE'
Jan 02, 2008
Jan 02, 2009
See also
​API Reference | Config​
Trading calendar
The v7 framework set the trading calendar to the London Christmas calendar by default. The v8 framework does not set a trading calendar.
You can set a trading calendar immediately after you call sig.init. To set the trading calendar to the London Christmas calendar:
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# Set a trading calendar
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​
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import sigtech.framework as sig
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env = sig.init()
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env['TM_CALENDAR'] = 'London,CHR CALENDAR'
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See also
​User Guide | Calendars and timezones​
Ignore transaction costs
The v7 framework assigned a transaction cost model and calculated transaction costs by default. The v8 framework also assigns a transaction cost model, but ignores transaction costs by default.
To calculate transaction costs for new and existing strategies in v8, enable transaction costs immediately after you call sig.init:
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# Enable transaction costs
2
​
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import sigtech.framework as sig
4
env = sig.init()
5
env['IGNORE_T_COSTS'] = False
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See also
​User Guide | Transaction costs​
Auto manage custom strategy margins
The v7 framework automatically managed end-of-day margin cleanup for SigTech building blocks. However, if you built a custom strategy that directly traded an instrument with margins, you needed to schedule margin cleanup yourself.
The v8 framework automatically manages end-of-day margin cleanup for all strategies. When building new custom strategies in v8, you no longer need to schedule margin cleanup.
If you are troubleshooting performance issues in a custom strategy, switching off automatic end-of-day margin cleanup might help in some cases.
To switch off automatic end-of-day margin cleanup for custom strategies:
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# Switch off automatic end-of-day margin cleanup for custom strategies
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​
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import sigtech.framework as sig
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env = sig.init()
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​
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env['AUTOMATIC_MARGIN_CLEANUP'] = False
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See also
​API Reference | config​
​API Reference | Strategy.add_margin_cleanup​
Single-stock strategy history start date
When you retrieve a single stock strategy with sig.get_single_stock_strategy, the framework caps the start date of the strategy's history to the DEFAULT_RS_START_DATE environment configuration setting.
The v7 framework set DEFAULT_RS_START_DATE to Jan 02, 2008. The v8 framework sets DEFAULT_RS_START_DATE to Jan 02, 2009. This change avoids possible conversion problems with older data.
You don't need to change your code unless you want sig.get_single_stock_strategy to include data from before Jan 02, 2009.
If you want sig.get_single_stock_strategy to include data from before Jan 02, 2009, change the DEFAULT_RS_START_DATE environment configuration setting immediately after you initialize the framework.
For example, to set DEFAULT_RS_START_DATE to Jan 02, 2008:
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# Set `DEFAULT_RS_START_DATE` to Jan 02, 2008
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​
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import sigtech.framework as sig
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import datetime as dtm
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​
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env = sig.init()
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env[sig.config.DEFAULT_RS_START_DATE] = dtm.date(2008, 1, 2)
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See also
​API Reference | config​
​API Reference | get_single_stock_strategy​
Changes to the magnitude of Greek variables
Greek variables indicate risk assumptions for options and swaptions.
SigTech framework v8 changes the magnitude of some Greek variables to follow market conventions. Modify your custom strategy classes where necessary to adjust for the changes.
Options
For equity index options, commodity options, and FX options, the magnitudes of Greek variables have changed as follows:
Variable
v7 magnitude
v8 magnitude
Indicates
Vega
100%
1%
Option price sensitivity to change in underlying asset price volatility
Gamma
100%
1% of underlying asset price
Delta sensitivity to change in underlying asset price
Dollar Gamma
50% of underlying asset price (including pnl explain scaling factor of 0.5)
1% of underlying asset price
Dollar Delta sensitivity to change in underlying asset price
See also
​User Guide | Options​
Swaptions
For swaptions, the magnitudes of Greek variables have changed as follows:
Variable
v7 magnitude
v8 magnitude
Indicates
Vega
10,000bps
1bps
Swaption price sensitivity to change in underlying asset price volatility
Delta
10,000bps
1bps
Swaption price sensitivity to a change in swap rate
Gamma
10,000^2 bps
1bps
Delta sensitivity to a change in swap rate
See also
​User Guide | Swaptions​
New syntax for custom classes
SigTech framework v8 introduces new type syntax and object instantiation hooks for custom classes that extend SigTech classes.
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# Define a custom strategy in v8
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​
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from typing import Optional, List
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from typing_extensions import Literal
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from sigtech.framework.strategies.strategy import Strategy
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​
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class NewStyle(Strategy):
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     __aliases__ = {'b': 'another_b'}
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​
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    a: Optional[int] = 100
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    b: float = 3.0
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    c: List[str]
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    d: Literal['long', 'short'] = 'long'
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Convert your existing custom classes to the v8 syntax, and use the updated v8 syntax when defining new custom classes.
See also
​API Reference | Strategy​
​API Reference | Objects​
Deprecations
To improve the performance and quality of the framework codebase, v8 deprecates some classes, methods, and properties. This section describes how to update your code for v8.
Using deprecated functionality raises an error in v8.
Update your code to remove deprecated functionality and use the v8 equivalents in the following sections.
In this section
​Deprecations in sig.analytics​
​Deprecations in sig.infra.calendar​
​Deprecations in sig.instruments​
​Deprecations in sig.strategies​
​Deprecations in the Strategy class​
​Deprecations in other modules​
Deprecations in sig.analytics
In sig.analytics, v8 deprecates and replaces the following classes:
Module
Deprecated v7 class
Replacement v8 class
optimization.optimizer
FactorOptimizer
Optimizer
optimization.optimization_problem
FactorOptimizationProblem
OptimizationProblem
performance.performance_report
TsPerformance
PerformanceReport
performance.performance_report
CustomReport
PerformanceReport
See also
​API Reference | Optimization​
​API Reference | Performance​
Deprecations in sig.infra.calendar
In sig.infra.calendar, v8 deprecates and replaces the following classes:
Module
Deprecated v7 class
Replacement v8 class
business_calendar
Calendar
CustomCalendar
calendar
Calendar
HolidayCalendar
See also
​API Reference | calendar​
Deprecations in sig.instruments
Deprecated type-checking methods
In sig.instruments, v8 deprecates the following type-checking methods:
Module
Class
Method
base
Instrument
is_future
base
Instrument
is_synthetic_swap
base
Instrument
is_equity_swap
base
Instrument
is_bond_repo
base
Instrument
is_bond_swap
base
Instrument
is_ir_swap
base
Instrument
is_index_swap
base
Instrument
is_ir_bh_swap
base
Instrument
is_tr_swap
base
Instrument
is_bond
base
Instrument
is_fx_forward
base
Instrument
is_order
base
Instrument
is_equity_single_stock
base
Instrument
is_etf
bonds
BondBase
is_bond
bonds
GovernmentBondRepo
is_bond_repo
bonds
GovernmentBondSwap
is_bond_swap
fx_otc
FXForward
is_fx_forward
index_swap
IndexSwap
is_index_swap
ir_otc
InterestRateSwap
is_ir_swap
The deprecated type-checking methods are not replaced in v8. Instead, use the built-in Python function isinstance to check the type of an object:
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# Use `isinstance` to check type of an object
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​
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import sigtech.framework as sig
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from sigtech.framework.instruments import Instrument
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from sigtech.framework.instruments.equities import EquityInstrument
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​
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env = sig.init()
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​
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obj = sig.obj.get('1000045.SINGLE_STOCK.TRADABLE')
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​
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print(isinstance(instr, Instrument))
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print(isinstance(instr, EquityInstrument))
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See also
​Python docs | isinstance​
Other deprecated instruments methods
In sig.instruments, v8 also deprecates the following methods and properties:
Module
Deprecated v7 method or property
Replacement v8 method or property
base
ContractGroup.contract_product_type
ContractGroup.item_product_type
base
HistoricalFrameworkObject.underlying_str
HistoricalFrameworkObject.asset_description
fixes
IntradayFix.underlying_name
Not replaced
lme_otc
create_lme_forward
LMEUtils.create_lme_forward
options
CommodityFutureOption.underlying_name
Not replaced
options
OptionBase.pnl_breakdown
OptionBase.pnl_explain
See also
​API Reference | instruments​
Deprecations in sig.strategies
Classes
In sig.strategies, v8 deprecates and replaces the following classes:
Module
Deprecated v7 class
Replacement v8 class
basket_strategies
DynamicGlobalBasket
BasketStrategy
fx_forward_rolling_strategy
FXForwardRollingStrategy
RollingFXForwardStrategy
fx_forward_rolling_strategy
DynamicFXForwardRollingStrategy
DynamicRollingFXForwardStrategy
See also
​API Reference | BasketStrategy​
​API Reference | RollingFXForwardStrategy​
​API Reference | DynamicRollingFXForwardStrategy​
Methods
In sig.strategies, v8 deprecates and replaces the following methods:
Module
Deprecated v7 method
Replacement v8 method
reinvestment_strategy
get_single_stock_strategy_name_parallel
get_single_stock_strategy
reinvestment_strategy
get_reinvestment_strategy
get_single_stock_strategy
rolling_bond_strategy
RollingBondStrategy.get_roll_schedule
RollingBondStrategy.rolling_schedule
See also
​API Reference | reinvestment_strategy​
​API Reference | rolling_bond_strategy​
Decorators
In sig.strategies, v8 deprecates and replaces the following decorators:
Module
Deprecated v7 decorator
Replacement v8 decorator
runner.metaflow.decorators.function_flow
FunctionFlow
FunctionJob
runner.metaflow.decorators.strategy_flow
StrategyFlow
StrategyJob
See also
​API Reference | FunctionJob​
​API Reference | StrategyJob​
Deprecations in the Strategy class
In sig.strategies, v8 deprecates the following methods in the strategy.Strategy class:
Module
Deprecated v7 method
Replacement v8 method
strategy
Strategy.clean_up_margin
Strategy.add_margin_cleanup
strategy
Strategy.get_object
sig.obj.get
Note: You might not need to use Strategy.add_margin_cleanup.
By default, v8 automatically manages end-of-day margins in custom strategies. See Changes to the framework environment on this page.
See also
​User Guide | sig.obj.get​
​API Reference | Strategy.add_margin_cleanup​
Strategy.analytics interface
In v8, the Strategy.analytics interface replaces the following deprecated methods:
Strategy.excess_return_history
Strategy.pnl_breakdown
Strategy.turnover
Strategy.intraday_turnover
Strategy.cash_turnover
Strategy.turnover_stats
Strategy.approximate_rounding_impact
Strategy.approximate_rounding_summary
Strategy.relative_attribution
Strategy.total_return_valuation_history
See also
​API Reference | Strategy.analytics​
Strategy.inspect interface
In v8, the Strategy.inspect interface replaces the following deprecated methods:
Strategy.evaluate_trades
Strategy.evaluate_positions
Strategy.historic_positions
Strategy.display_holdings
Strategy.display_run_details
Strategy.positions_df
Strategy.weights_df
Strategy.cash_df
Strategy.bottom_positions_df
Strategy.bottom_cash_df
Strategy.timeline_data
Strategy.tree_df
See also
​API Reference | Strategy.inspect​
Strategy.plot interface
In v8, the Strategy.plot interface replaces the following deprecated methods:
Strategy.interactive_tree_plot
Strategy.interactive_portfolio_table()
Strategy.interactive_timeline_plot()
Strategy.interactive_performance
In the Strategy.plot.performance method, the parameter inline is deprecated.
See also
​API Reference | Strategy.plot​
DailyStrategy replaces some deprecated functionality in Strategy
In v8, the DailyStrategy class replaces some deprecated functionality in the Strategy class.
To update your code for v8, extend DailyStrategy instead of Strategy, and replace the deprecated methods below with their v8 equivalents.
The following methods are deprecated in the Strategy class, but implemented in DailyStrategy:
Deprecated v7 method
Replacement v8 method
Strategy.add_method
DailyStrategy.add_method
Strategy.add_position_target
DailyStrategy.add_position_target
Strategy.add_trade
DailyStrategy.add_trade
Strategy.add_break_point
DailyStrategy.add_break_point
Strategy.add_fx_spot_trade
DailyStrategy.add_fx_spot_trade
Strategy.size_date_from_decision_dt
DailyStrategy.size_date_from_decision_dt
Strategy.size_dt_from_date
DailyStrategy.size_dt_from_date
Strategy.size_date_from_date
DailyStrategy.size_date_from_date
Strategy._decision_time
DailyStrategy._decision_time
Strategy._decision_tzinfo
DailyStrategy._decision_tzinfo
Strategy.size_time
DailyStrategy.size_time
Strategy.size_tzinfo
DailyStrategy.size_tzinfo
Strategy.execution_time
DailyStrategy.execution_time
Strategy.execution_tzinfo
DailyStrategy.execution_tzinfo
Strategy._size_dt_from_decision_dt_
DailyStrategy._size_dt_from_decision_dt_
Strategy._instrument_execution_dt_from_datetime
DailyStrategy._instrument_execution_dt_from_datetime
Strategy.decision_dt_from_execution_dt
DailyStrategy.decision_dt_from_execution_dt
Strategy.decision_dt_from_date
DailyStrategy.decision_dt_from_date
Use DailyStrategy.add_method instead of the following methods:
Strategy.add_method
Strategy.add_processor
Strategy.add_processor_with_priority
Use DailyStrategy.add_position_target instead of the following methods:
Strategy.add_position_target
Strategy.set_position
Strategy.set_weight
Use DailyStrategy.add_trade instead of the following methods:
Strategy.add_trade
Strategy.add_position
Strategy.ir_swap_trade
Strategy.tr_swap_trade
Strategy.index_swap_trade
Strategy.fx_forward_trade
Strategy.lme_forward_trade
Strategy.lme_spread_trade
Strategy.index_forward_trade
Strategy.brl_swap_trade
Strategy.credit_index_trade
Strategy.xccy_swap_trade
Use DailyStrategy.add_break_point instead of the following methods:
Strategy.add_break_point
Strategy.stop_processing
Use DailyStrategy.add_fx_spot_trade instead of the following methods:
Strategy.add_fx_spot_trade
Strategy.fx_spot_trade
See also
​API Reference | DailyStrategy​
​API Reference | Strategy​
Deprecations in other modules
SigTech framework v8 also deprecates the following methods and properties:
Module
Deprecated method or property
Replacement method or property
sig.config.config
ConfiguredEnvironment._quant_bridge
ConfiguredEnvironment.quant_bridge
sig.infra.analytics.fx.cross
FXCross.is_flipped_cross
FXCross.is_flipped
sig.indices.tradable_index
IntradayInstrument.intraday_db_field
Not replaced
sig.signal.library.allocation
factor_optimized_allocations
optimized_allocations
sig.sig_master
SIGMasterBase.filter_to_last_corporate_event
SIGMasterBase.filter_to_last_pit_record
See also
​API Reference​