v8 Framework

Framework v8 Latest

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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:
# Enable transaction costs
import sigtech.framework as sig
env = sig.init()
env['IGNORE_T_COSTS'] = False
See also

Latest release: v8.9.1 (Aug 2022)

In this release


Bug fixes

Fixes for strategies and instruments

  • Futures
    • For default LME rolling futures strategies, select correct contract when start date precedes first roll day.
    • For rolling futures strategies:
      • Fix monthly roll dates in BCOM roll schedule.
      • Add copper ('HG COMDTY') to BCOM rolling table.
  • Swaps
    • Add dependencies for asset swaps and rolling asset swaps.
    • Interest rate swaps: Ignore cash flows occurring before history start date.
  • Bonds
    • Fix issue with bond history start date in cases where mid price is missing, but bid and ask prices are present
  • FX
    • Fix issue with FX spot trade execution times in various strategy classes.
    • Ensure consistency between calculate_forward_rate and calculate_forward_rate_batch methods.
  • Options
    • In rolling options strategies, avoid creating options with maturity date in the past.
    • In rolling options strategies, enable PV or Delta sizing:
      • For option holidays.
      • When determining option strike with same market datapoint as order execution.

Fixes for utilities and analytics

  • Portfolio optimizer: Update weight distribution parameter to prevent memory error when creating histogram.
  • Equity universe filter: Fix EquityUniverseFilter.list output by avoiding overriding filters when executing them.
  • Data adapter: Fix issue requesting LastPrice field from projection curve.

Fixes for experimental features

  • Fix font warnings related to AlphaReport.
  • Enable saving images via capture_png cell magic.
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