Framework v8
v8.27.0
New class: RollingSpreadOptionsStrategy
RollingSpreadOptionsStrategyCreate options trading strategies based on spread direction (Bull or Bear) and option type (Call or Put).
Example:
New class: RollingButterflyOptionsStrategy
RollingButterflyOptionsStrategyCreate butterfly spread options trading strategies based on butterfly direction ('long' or 'short') and option type (Call or Put).
Example:
New feature: Target the net of a target quantity
Set net_target_quantity to True to target net of target quantity in options trading strategies.
You can force target quantity by adjusting the ratio of option legs.
Example:
This change applies to strategies created with the following classes:
DynamicMultiOptionsStrategy
DynamicMultiSwaptionsStrategy
DynamicOptionsStrategy
DynamicSwaptionsStrategy
RollingButterflyOptionsStrategy
RollingOptionStrategy
RollingSpreadOptionsStrategy
RollingStraddleOptionStrategy
RollingStrangleOptionStrategy
RollingVarianceSwapStrategy
Any custom class inheriting from RollingOptionsStrategyBase
Improved transaction cost handling for IR and OIS OTC swaps
Transaction costs for IR and OIS OTC swaps can now be handled separately from the valuation price of the swap. This is in line with market conventions for modeling transaction costs.
To use this functionality, set INCLUDE_OTC_T_COSTS_IN_CASH to True.
Example:
New method for OISSwap class: swap_details
OISSwap class: swap_detailsGet information about a swap for a specified reference date.
Example:
New method for discounting and projection curves: yield_curve
yield_curveThis change adds the yield_curve method to display forward and zero rates for a given discounting or projection curve.
Example:
Pass a list of holiday calendars when creating a dynamic strategy
Add non-trading days to a dynamic strategy by passing the extra_holidays parameter on creation.
The extra_holidays parameter can be a string or a list of strings. It must contain the object names of the holiday calendars you want the strategy to use.
Example:
v8.26
Swaps: New attributes for interest rate swaps
Added the following attributes to InterestRateSwap instruments:
fixed_day_count: Fixed leg day count convention.float_day_count: Floating leg day count convention.fixing_lag: Delay in days between the fixing date and effective date of an interest rate.index: Swap fixing index.
Example:
Various strategies: New parameter to close all positions at end date
Added trade_out_end parameter to various strategies. When trade_out_end is set to True, the strategy closes all positions upon end date.
The trade_out_end parameter is supported for strategies based on the following classes:
BasketStrategyRollingAssetSwapRollingButterflyBondsRollingButterflySwapsRollingCurveSteepenerBondsRollingCurveSteepenerSwapsRollingFutureStrategyRollingStructureBasketSignalStrategy
Example: Close out all trades at the end of a rolling future strategy
Swaps: Added methods for swap rate shift
Examples 1, 2, and 3 in this section use the following setup code:
Example 1: Shift 5Y tenor of forecasting and discounting curve by 10 bps.
Example 2:
Shift forward and zero rates for all tenors individually by 10bps.
Perform same shift simultaneously (in parallel) forecasting and discounting curve.
Evaluate change in NPV.
Example 3:
Shift forward and zero rates for all tenors individually by 10bps.
Perform same shift simultaneously (in parallel) forecasting and discounting curve.
Evaluate change in PV01.
Options: New strike type 'Premium'
Options can now be retrieved from option groups using 'Premium' as the strike type. For example:
Analytics: Added functionality to get explicit information on daily trades for execution
You can now get more explicit information on which trades to execute each day. To use the new functionality, call Strategy.inspect.evaluate_trades with the following new parameters:
summary: Show summarized output with only'CURRENT','TARGET', and'TRADE'. Defaults toFalse.dt_orders_only: Show only the trades ondt.date; exclude subsequent days. Defaults toFalse.rounded_units: Round the trade quantities. Default depends on the type of instrument.
Example:
v8.25
All objects
This release improves the formatting of the data frame returned by the data_df method. All framework objects, including strategies, instruments, and instrument groups, have this functionality.
This feature is disabled by default. To enable the improved formatting, pass pretty_print=True to data_df:
Added new property alias to all instruments. Added position information to the strategy portfolio table.
Strategies: Option to simplify plot portfolio tables
To simplify plot portfolio tables when composing a strategy from other strategies, use flatten_strategy_orders. When set to True, only the bottom level trades for each order are shown.
Methods affected:
Strategy.plot.portfolio_table
Strategy.plot.portfolio_tree
Example:
Strategy analytics: Improvements to help validate trade size
Added new parameter display_sizing_data to trade_timings_df. To use it, call Strategy.inspect.trade_timings_df with display_sizing_data=True.
For example:
New bonds strategy classes
Added new curve steepener bonds and butterfly bonds strategy classes:
v8.24
Futures: New syntax for front_offset, month_end_offset, monthly_roll_days
For improved consistency, interval boundaries are now included in the interval.
For example, to roll a third of the contract each of the 3 days from 4th to 2nd day before contract expiry:
Strategies: Add option to remove string formatting in portfolio_table
In Strategy.plot.portfolio_table, you can now pass str_format=False to prevent string formatting in the resulting data frame.
v8.23
Futures: Added custom_rolling_table to RollingFutureStrategy
Strategies: Added stop_trigger allocation function and stop_trigger parameters
Fixes
TRBC operators in
EquityUniverseFilternow perform partial matchingSingle-letter futures codes no longer need padding with an extra space
v8.22
CustomViewcan now accessPerformanceReportproperties.Added new class
MarketCapWeightedIndex.Added new class
DynamicStrategy.Bond futures: Added
ffillinput to bond futures strategy methodspot_dv01.Bond futures strategy method
spot_dv01now has an additional argument,ffill, with default set toTrue.This parameter behaves similarly to pandas.DataFrame.ffill.
When
ffillis set toTrueandDV01is requested for aDatetimeIndexd, then theDV01series is reindexed usingdand anyNaNvalue is filled by propagating the last valid observation to the next valid one.
v8.21.1
Enhanced print_dependencies method
print_dependencies methodThe print_dependencies method has been significantly improved to offer users more control and clarity when printing dependency trees. Here's a breakdown of its features:
root_dependency: allows users to specify the starting dependency of the tree.resolve_future_dependencies: ensures that future dependencies are resolved before printing. If set toFalse, the method will not print anything, ensuring that users only see resolved dependencies in their output.fields: Users can now select additional fields to extract from the dependencies object. While the default fields includeproduct_type,currency,frequency, anddata_source, this enhancement allows users to include other relevant fields from the dependency object. To determine which fields are available for an object, users can utilize thedata_dictmethod.
New position_value_series and get_cash_valuation methods
position_value_series and get_cash_valuation methodsposition_value_series returns the valuation of position holdings (excluding cash) in the strategy's currency. Users can specify various options for the datetime points (dts) to include in the series enabling granular analysis of your strategy's performance at critical moments, such as when orders are executed or when top-level holdings change.
get_cash_valuation returns the value of cash positions in a strategy at a specified time.
Enhanced RollingSwapStrategy with swap_rate and swap_rate_series methods
RollingSwapStrategy with swap_rate and swap_rate_series methodsYou can now view the swap rate of a RollingSwapStrategy at any given datetime (using swap_rate) or the historical swap rates across the lifetime of a strategy using swap_rate_series.
Enhanced InterestRateSwap with data_df and fair_rate methods and InterestRateSwapGroup with data_df and fair_rate_df
InterestRateSwap with data_df and fair_rate methods and InterestRateSwapGroup with data_df and fair_rate_dfInterest Rate Swap
Deprecated the static method
fair_swap_rate.Introduced new methods:
fair_rateanddata_df.data_df: returns a dataframe containing all the data available for this interest rate swap. Typically, this includes theLastPrice,RateandPV01.fair_rate: returns the fair swap rate for an interest rate swap for a particular date. Note that unlikefair_swap_rate,envandcurrencyare not required arguments.
Interest Rate Swap Group
Deprecated the static method
fair_swap_rate.Introduced two new methods:
fair_rate_df(static) anddata_df(non-static).data_df: returns a dataframe containing all the data available for this interest rate swap group.fair_rate_df: returns a dataframe containing all the fair rate data for the interest rate swap group.
Fixes
Replaced hard-coded OBJECT_CLASS_REGISTER with automated logic to fetch framework classes and corresponding modules; exceptions may apply.
The start date of rolling future strategies will be computed using the first contract in the roll table to ensure accuracy.
All relevant greeks are now available when using the
portfolio_greeksmethod.Fixed a data concatenation issue in the intraday history retrieval for
fx_otc.Updated the timeline to the latest version (6.18.7) for live foreign exchange orders.
Enhanced the rolling logic to fetch open interest data only when it's available.
Implemented additional checks on callability features within
session_datamethods.Expanded the historical data available for the Chinese Yuan (CNY) cash index.
Optimized the application of price factors on intraday price data columns.
Improved error notifications for incorrect valuation time inputs, making them more user-friendly.
Introduced a new calculation method for dv01, specifically for bonds quoted by yield.
Added further callability checks within the trading manager
get_exchange_open_close_dtmethod.destroy_envprocedure added to final step inFunctionJobandStrategyJobdecorators.
v8.20.0
New custom_hedge_exposure parameter for FXForwardHedgingStrategy and additional maturity options in roll_offset
custom_hedge_exposure parameter for FXForwardHedgingStrategy and additional maturity options in roll_offsetThe custom_hedge_exposure parameter allows you to customize the hedge exposure for each currency in your FXForwardHedgingStrategy, enabling you to hedge specific portions of the underlying strategy's exposure based on your unique requirements. By passing a dictionary of currency exposures as {"CCY": exposure}, you can now specify the desired hedge percentages for individual currencies. For example, you can hedge 50% of the GBP exposure and 20% of the JPY exposure by passing {"GBP":0.5, "JPY":0.2}. This new feature empowers users to tailor their hedging approach to better align with their risk management strategies and investment goals.
Additionally, this update introduces further maturity options for the roll_offset parameter in the FXForwardHedgingStrategy. The roll_offset parameter allows you to specify the tenor of the FX forwards used for hedging.
New size_from_first_roll_trade parameter for RollingFutureStrategy
size_from_first_roll_trade parameter for RollingFutureStrategyWith the size_from_first_roll_trade parameter, you now have the option to adjust how roll trades are sized in the strategy. By default, this feature is activated, meaning that all roll trades will be sized based on the first trade of the roll. This ensures a consistent sizing approach across roll trades.
However, with the size_from_first_roll_trade parameter, you have the flexibility to customize trade sizes individually for each roll trade. When set to True, each roll trade will be sized based on the first trade of the roll. On the other hand, if set to False, you can size each trade separately, allowing for more fine-grained control over the trade sizes.
SchedulePeriodic now has business day of the month frequency
SchedulePeriodic now has business day of the month frequencyBy entering an integer appended by BDOM you can specify a specific business day of the month as for your schedule.
For example 16BDOM represents the 16th business day of the month.
Fixes
Implemented a workaround to ensure accurate CVaR (Conditional Value at Risk) calculation for small datasets and a new trigger has been introduced to generate comprehensive summary reports for single transactions.
Added support for AUDUSD cross-currency swap
fx_datapoint.The framework now performs a thorough check of initial rolls and automatically adjusts the first contract forward, if necessary.
Added commodity futures groups to
F_0_tableEnhanced the data parsing mechanism to ensure correct string ID extraction when the data source is available.
Added informative error messages for early trading scenarios within
SignalStrategy.The computation of spot DV01 series now utilizes valuation points.
Fixed an issue that caused potential field availability discrepancies during the reindexing process in
get_series. The system now ensures that all relevant fields are available and correctly aligned.The default value of
closing_onlyin thebottom_trades_pnl_dffunction has been updated.
v8.19.0
More statistics have been added to the performance report
New trade related statistics have been added to the performance report. These can be found within the trade_statistics table method. The new statistics added are as follows:
Trades (number),
Win (number),
Loss (number),
Win/loss ratio,
Win probability
Kelly Criterion
See the code example below for an example of how to run this new table.
Also available is a new inspect wrapper view called bottom_trade_pnl_df.
Code Example:
To run the new trade_statistics method: strat.analytics.trades_statistics() New inspect wrapper view: strat.inspect.bottom_trades_pnl_df(closing_only=False)
Upgrade QuantLib to 1.30
The QuantLib dependency has been updated from v1.28 to v1.30. For more information on this release, see the QuantLib release notes.
Add risk reversal method to vol surfaces
Before this release, the risk_reversal method was available only for FX vol surfaces. (this method returns the history of Call Vol minus Put Vol for a given vol surface).
With this release, the risk_reversal method has been extended and is now available for equity and commodity vol surfaces.
In addition, two optional parameters, start_date and end_date have been added, allowing you to specify a date range for the returned historical date. This is useful if you want to get a small date range as it makes the calculations much quicker.
Code Example
Fixes
Any override of the rolling parameters is now correctly applied in the
RollingFutureStrategyconstructor.The dependencies for the FX objects used in a basket strategy or signal strategy are now correctly updated according to their expected evaluation start date and end date.
Strategies no longer fail when basktesting times are approaching midnight UTC.
When using
CapADVOrderTransformthe volume parameter is now case-insensitive.Before this release, the
optimized_allocationsandinstrument_mappingparameters within theSignalStrategywere not compatible. With this release,instrument_mappingcan be a parameter of the optimization function.With this release, the
data_dfmethod no longer restructures the internal history data.
v8.18.0
This release combines versions 8.18.0 and 8.17.0.
Breaking change to swap tickers
With this release, a # character has been added to swap tickers to distinguish if only valuing pre-start. If you have hard-coded the name of a swap, this could break your analysis notebook. For example, the following function obj.get('USD LIBIMM S3M 0.0254578 2010-06-15 U10X5Y IRS') needs to be changed to obj.get('USD LIBIMM S3M 0.0254578 2010-06-15 U10X5Y # IRS') to continue working.
Two new child-classes (StopLossStrategy and TakeProfitStrategy) have been added to the StopStrategy building block
StopLossStrategy and TakeProfitStrategy) have been added to the StopStrategy building blockWith this release, two child classes have been added to the StopStrategy building block, allowing you to create stop loss orders and take profit events. Below are code examples for StopLossStrategy and TakeProfitStrategy.
New threshold function added to achieve dynamic rebalancing in the SignalStrategy
SignalStrategyIn previous releases, the threshold function returned a boolean value that was passed into the SignalStrategy, serving as an "on/off switch" that controlled if the strategy rebalanced or not.
In this release, the threshold output can either be a boolean value or a dictionary of strategy weighting, giving you greater control of the threshold you wish to apply.
A built-in threshold function called signal_threshold_rebalance_dict has been introduced. This requires an additional keyword argument in the form of a dictionary which contains float values that represent:
A threshold for a change in the weighting.
How much of the strategy to rebalance (as a percentage).
For example, to achieve the following dynamic rebalancing of:
10% deviated from the target position, rebalance 100%,
30% deviated from the target position, rebalance 70%,
50% deviated from the target position, rebalance 50%.
Pass the following dictionary:
rebalance_dict = {0.1: 1.0, 0.3: 0.7, 0.5: 0.5, 1.0: 0.0}
To use this new threshold function, import it from the signal_rebalancing library.
Below is a code example of this new threshold function used within a signal strategy.
Added get_yield_curve and data_df methods to the BondYieldCurve objects
get_yield_curve and data_df methods to the BondYieldCurve objectsWith this release, two new methods have been added that return yield curve data from a BondYieldCurve object.
get_yield_curve(date, tenor)creates the yield curve for a reference date up to a specified tenor. By default, this tenor is 30Y.data_df()returns a DataFrame containing all history dates for bonds that have aotr_tenor(2Y, 3Y, 5Y, 7Y, 10Y, 30Y). As this function returns a lot of data, it may affect your runtimes.
Below is a code example of how to call these new methods:
New parameter min_periods added to rolling statistics methods
min_periods added to rolling statistics methodsWith this release a new parameter min_periods has been added to the following performance metrics summary methods:
summary_rolling_seriessummary_rolling_ccy_series
min_periods is the minimum number of observations in the period window that require a value.
If this parameter is not set, the default value of 252 is used instead - this is the same value as the previous period parameter, where 252 is the number of business days in a year.
description property now available for CommodityIndex objects
description property now available for CommodityIndex objectsIn previous releases, the description property was missing from the CommodityIndex sub-asset class, and was only available for EquityIndex objects.
With this release, the property has been moved to the parent class Index so all sub-classes can inherit this property. Therefore, the description property can be called for all types of Index objects.
Below is a code example of how to call this property.
More statistics have been added to the Performance Report
The following statistics have been added to the report function found in the PerformanceReport class:
Calmar Ratio
VaR - 99% and 95% (both 1day)
cVaR - 99% and 95% (both 1day)
To view these new parameters, run the following code:
Fixes
The
object_servicedocstring has been updated.Before this release, there were errors when creating an equity index option after a vol surface was assessed the with
data_df()method. With this release, theDataLoadErrorissues have been resolved.The deprecated
exchange_openproperty has been removed from theinfo()method and replaced withexchange_open_on_day.Certain methods now cannot be accessed while a strategy is being built.
The price series index has been converted to a
datetimeindex in theRollingFutureStrategybuilding block.When plotting a volatility surface, adjustments have to be made to improve the ticks on the tenor axis.
Decimal values have replaced commas in prices. For example,
1000,00is now displayed as1000.00.Missing credibility fields have been added to
available_fieldsmethod when usingDataCredibilityAdapter.
v8.17.0
This release was merged with 8.18. Please refer to the release notes for version v8.18.0 to see what was included in version 8.17.0.
v8.16.0
Enhanced sig.object.get can now query all cross pairs
sig.object.get can now query all cross pairsWith this release, you can use sig.obj.get() to query FX spot rates for any currency pair, even those which are not available in our data browser. Previously, sig.obj.get() you could only query FX spot rates for currency pairs in our data browser.
A couple of examples are shown below:
Store and load environment configs from a file
You can save your Sigtech environment in your JupyterLab instance. This saves any variables or attributes that you have configured in your environment. JSON serialisable attributes are saved in a .JSON format and non-JSON serialisable attributes are saved in .PKL. Once an environment is saved, you can easily reload it in a new notebook.
See the code example below for an example:
Added minimalist attributes view to BuildingBlockBrowser widget
BuildingBlockBrowser widgetA new Minimalist View option is available on the BuildingBlockBrowser widget. Selecting this option reduces the list of the class attributes shown in the BuildingBlockBrowser by only showing you the mandatory attributes. Not selecting/deselecting this option will result in all the attributes available for a class is visible.
New data_df method added and history_df method deprecated
data_df method added and history_df method deprecatedA new method data_df() has been added to all framework instruments. The data_df() method replaces the history_df() method as it returns improved data. This new method returns a pandas DataFrame containing all data available for this object.
The data_df() method takes the following optional arguments:
data_point: Choose the data point from which to return the history of the object.
multi_index: Set to
Trueto index rows uniquely by a multi-index (if applicable). Default isFalse.drop_nan_cols: Set to
Trueto drop all NaN columns. Default isFalse.
data_df() is an improvement over the previous history_df method as it can perform clean-up operations as the data is queried. Such clean-up operations include column rearrangement and renaming, reset of indices and forward filling of values when placeholders are set.
See the code example below for how to use data_df:
Lists of holidays and instruments can be passed into SchedulePeriod method
SchedulePeriod methodWith this release, you can now pass a single or a mixed list of holiday calendar names and instruments objects into the holidays parameter of the SchedulePeriod method. This generates a calendar that accommodates all the holidays in the passed list. If a list of instruments has been passed, then the calendar will accommodate the holidays for each of the instruments in the list. This is particularly useful if the list consists of different indices.
See the code example below for how to create a weekly schedule:
New back_adjusted feature and equivalent get_rf_price_index method added to RollingFutureStrategy
back_adjusted feature and equivalent get_rf_price_index method added to RollingFutureStrategyA back_adjusted parameter has been added to the price_series method (belonging to the RollingFutureStrategy class). This parameter calculates the back-adjusted prices for underlying futures.
Furthermore, a new method get_rf_price_index has been added to RollingFutureStrategy, it returns the corresponding rolling future price index object. Likewise, an additional method get_rolling_future_strategy has been added to the RFPriceIndex class, it returns the corresponding rolling future strategy.
See the code example below for how to pass the back_adjusted parameter:
The following example queries the rolling future price index from a back-adjusted rolling future strategy.
The following example gets a rolling futures strategy from the back-adjusted price index.
New parameters added to SignalStrategy that allow for order execution delays
SignalStrategy that allow for order execution delaysYou can now pass an execution_delay argument to a signal strategy.
This allows you to delay an order execution by a set period. In addition, you can use the bump_execution_delay parameter to ensure the order execution falls within trading hours. Set bump_execution_delay to False to ignore orders that would be executed out of trading hours. This means the order will not be executed if the delay causes it to execute outside of trading hours. Set bump_execution_delay to True (default) to ensure the order will be executed within trading hours by moving the execution time forward to the next available data point (that falls within trading hours).
For example:
Fixes
The
copy codeissues inBuildingBlockBrowserhave been resolved.Overridden attributes in the
BuildingBlockBrowserhave been updated.The
data_dateandenv_datein the intraday notebook have been updated so that they no longer return errors.Bugs involving
abe_encryption_keyandstream_accessendpoints have been resolved.Timeline retrieval is now prevented before a strategy is run.
OTC instruments can now trade before the instrument's start date.
Use holidays to check the exchange open/close times and skip trades that occur outside of trading hours.
FX forwards now include the current date in the history time series.
The timestamp behaviour of the FX
convert_at_dmethod has been corrected.An attribute filter has been added to the
DataBrowserwidget.The intraday argument can now be used in stoploss allocation functions.
The
trading_decision_timeargument has been removed following its deprecation.Interactive optimizers now clear correctly.
v8.16.1
Fixes
Grouped strategy orders now execute at EOD.
Conversion errors on FX objects causing FXFix datapoint retrieval issues have been fixed.
The behavior of the
back_adjustedparameter in theprice_seriesfunction of theRollingFutureStrategybuilding block has been fixed.
v8.15.0
New curve CollateralizedOISCurve added
CollateralizedOISCurve addedA new discount curve called CollateralizedOISCurve has been added to the framework. This new curve implements discounting on-the-fly using a collateral OIS discount curve and FX forwards. The curve applies the discounts based on collateral posted in a different currency (USD by default). The future cash flows are converted to the collateral currency using FX forwards and discounted using the collateral OIS curve.
The following code creates a curve that discounts JPY cash flows assuming that USD collateral is used for the instrument.
Date range parameters added to pnl_explain()
pnl_explain()Two new start_date and end_date parameters have been added to the portfolio_greeks and pnl_explain functions (these functions belong to the rolling options/swaption strategies and also the DeltaHedgingStrategy).
Pass the start and end dates as a datetime. For example, start_date=datetime.date(2020,1,1).
This new feature has been introduced to increase the computation speeds. If a small date range is entered then the greeks and pnl are calculated for just this small date range, making the calculations faster.
New input data_points added to portfolio_greeks function
data_points added to portfolio_greeks functionA new optional parameter data_points has been added to the portfolio_greeks function. When using this parameter in the rolling options strategies and the DeltaHedgingStrategy, the reported greek times will be overridden with the times specified by the data points list passed to the data_points parameter.
An example of this is shown below:
Transaction costs updates
The interface for the defined transaction costs has been improved. These improvements include:
When entering parameters into a model, you must now enter them as a dictionary of parameter values. Previously, this was supported for only some transaction cost models but with this release, it is now available for all models.
The docstrings for each model have been updated and now also provide an example of how these transaction costs work.
Previously, some instruments (such as bonds and single stocks) used cost models defined on the objects instead of being defined via configured models. This made it harder to get additional information on the cost models. With this release, these cost models are now included.
Limits removed when plotting portfolio_table
portfolio_tablePreviously, when calling plot.portfolio_table with more than 100 rows the table would error.
With this release, if there are more than 100 rows the table is still plotted but a warning message is provided telling you that only the last 100 rows of the portfolio_table have been plotted.
If you want to view a DataFrame version of the portfolio_table, pass the argument as_df=True. In previous releases, the DataFrame would also error if there were more than 100 nows. With this release, the DataFrame returns every row available, even if there are more than 100 rows.
New parameter basket_creation_kwargs added to DynamicOptionsStrategy
basket_creation_kwargs added to DynamicOptionsStrategyYou can now pass additional keyword arguments for the basket creation strategy when creating a DynamicOptionsStrategy. Pass the optional keyword arguments as a dictionary. An example of how to pass these arguments is shown in the code below:
Added ability aggregate trades in bottom_trades_df
bottom_trades_dfA new parameter net_trades has been added to the inspect.bottom_trades_df method. If set to True, you can now see the aggregated orders for trades happening at the same time for the same instrument.
An example of this is shown below:
New parameter profit_metrics_only added to performance reports
profit_metrics_only added to performance reportsPreviously, the metrics used in the performance report and strategy widget were calculated using percentage returns or returns relative to a provided AUM.
With this release, these metrics are now calculated using the absolute P&L (with the P&L calculated in the strategy currency). By default, these metrics are chosen if the strategy valuation is negative at any point.
To access the metrics directly, use the profit_metrics_only parameter. An example of how to get the parameter is as follows:
This new performance parameter can be included in the following custom report views:
Please note, these views are independent of the entered reference AUM.
FX spot trades can now be generated using cross identifiers
Previously, FX spot trades had to be entered by setting a trade of the cash instrument. If you were using a custom strategy, these FX spot trades have to be entered using an add_fx_spot_trade method.
With this release, FX spot trades can be entered with an FX cross identifier, which are mapped to the cash exchange. This can then control which currencies are exchanged. Additional labels have also been added to FX orders to show the FX cross gaining exposure.
An example of this new input is shown for a basket strategy below:
Python typings upgrades
Prior to this release and when the framework was created, Python did not have native type hinting syntax. This meant that SigTech had to use custom type hints (defined in sigtech.framework.infra.objects.dtypes).
With this release, a more up-to-date version of python has been utilized and we have now ported all typings to Python's native type hinting.
In addition to using these native types, we have also enforced the use of beartype. This is a strict, runtime type checker. If you pass an unexpected value into a class using the beartype, an error will appear telling you the correct variable type to use instead.
The logic in our codebase tries to match an input and its type. An edge case for this logic involves the Union type. This Union type is usually used to indicate a single variable can hold multiple types of values, for example, the date variable can hold a date as a str or as a dt.datetime, hence the date can be represented as date: Union[str, dt.datetime].
However, the order of these inputs is important in the framework, as it would try to cast the variable to the type in the order given in the Union.
For example, with Union[str, dt.datetime], the framework would try to cast the variable to a string first, then to the datetime. This behaviour can be incorrect if, for example, you used a dt.datetime only as the framework would cast the variable to a string first. This may interfere with your code and cause errors.
Fixes
If a strategy attempts to size a trade prior to the strategy start date, the framework will then change to sizing date to the valid start date of the strategy.
If you exceed the time point limit when plotting a
portfolio_table, the number of time points displayed is reduced to fit within this limit. The time points that are reduced are from the start of the table.The
transaction_costnotebook has been updated.A new option group,
trading_group, has been added to the rolling option strategies. Thetrading_grouplets you specify the type of traded options to use in the strategy.Fill added to futures methods to fill
ctddata inreindexso that it can matchasofcalls for individual dates.Corrections were added to several default dictionary inputs for strategies and signals.
Several new calendars (
HolidayCalendar,AuctionCalendar,EconomicCalendar) have been added to the API.
v8.14.0
Ensure strategy names are unique
In previous releases, if different strategies were assigned the same name, the notebook could error when rerunning certain cells.
With this release, a version number is automatically added to the name of the strategy if the name provided is not unique. For example, if we have two rolling future strategies with the same ticker, "RFS 2023 Q1", then the first strategy keeps this name, but the second strategy is renamed to "RFS 2023 Q1 V2".
Local objects are also returned when using get_names method
get_names methodWith this release, when calling the get_names method for strategies and instruments, you can return an ordered list of object names associated with the class.
This method now accepts the following parameters:
include_db- set this toTrueto include objects from the database (default isTrue).include_local- set this toTrueto include objects available in the local environment or cache (default isTrue).include_children- set this toTrueto include objects from the child classes (default isFalse).ignore_unmapped- set this toTrueto ignore errors caused by unmapped database objects (default isTrue).
Add unit_type input to positions_df methods
unit_type input to positions_df methodsPreviously, when using the inspect.bottom_trades_df method, the trade_price column in the returned DataFrame was incorrect and displayed values from PricingResult objects instead.
With this release, the error has been fixed and the trade_price column now displays the correct data.
Added new curve class MultiDiscountCurve
MultiDiscountCurveA new discounting curve MultiDiscountCurve has been added. This new curve is a mix of previously defined curves that are used at different times. The standard required arguments are currency, group_name, curve_name, and a new parameter curves_dict. This new parameter requires a dictionary of curves names, where the keys are dates from which the curves should be used.
For example:
The code above creates a curve that uses:
USD.F3M CURVEfor discounting from 2006-01-01 to 2020-12-31.USD.D CURVEfor discounting from 2021-01-01 onwards.
This curve behaves as the other curves within the SigTech framework.
New OIS swaption added
With this release, OIS swaptions have been added. They are similar to regular LIBOR swaptions, the only difference being the underlying swap is an OIS swap instead of LIBOR. The functionality is the same as for regular swaptions; just use the prefix OIS in the class names. For example:
Unlike LIBOR swaptions, the OIS swaptions do not support old-style cash-settlement (such as the EUR standard pre November 2018), and the only cash settlement is the par market value of the underlying swap (this is the new EUR standard).
The vol surface expected for the OIS swaptions uses the relevant OIS SABR parameters USD OIS SWAPTION SABR VOLSURFACE (or any other currency).
Add dv01_exposure support for rolling future strategies on bond futures
dv01_exposure support for rolling future strategies on bond futuresWith this release, it is now possible to set dv01_exposure for rolling future strategies using bond futures.
Example:
Fixes
Fallback added to close trade if open is missing in stocks.
Un-built strategies in
get_many_with_historyare now allowed.Default rolling bond strategies have been updated.
CZK,HUFandPLNcash strategies have been added with fallback.Serialization of
IntradayHistoryContainerhas been fixed.American and Barrier options have been disabled for Vol index group.
navalues that are introduced through the batchtermstructureretrieval are now dropped.Bond errors with early start dates or
NaNin OTR have been resolved.Column names used for session data have been updated.
The use of custom NumPy methods in cvxpy solver is now prevented.
The correct future and rolling strategy
dv01has been implemented.class_namein turnover grouping to allow for cash can now be used.Details have been added to the
infomethod for futures and futures contract groups.Intraday history DataFrame now works with missing fields.
Trade price from
PricingResultinbottom_trades_dfnow displays correct values.QuantLib has been updated to version 1.28.
v8.14.1
Fixes
The volatility option instruments and group have been renamed.
Correction of del item in
IntradayHistoryContainer.The Swaption vol surface
prior_indexhas been fixed.Vol index options are now redirected into a new class
VolIndexOTCOption.A fix has been added to the fx forward when the input is
pd.Timestamp.
v8.13.0
Additions to portfolio optimizer and optimized_allocations function
optimized_allocations functionThe following additions have been added to the portfolio optimizer and optimized_allocations function.
A check has been added to the time-varying signal allocation input
Inbuilt correlation data source has been provided
Initial parameter specification
Allow time-varying problems
This change allows you to add your own objectives and constraints to a problem. Below is an example of specifying a custom objective for an optimiser:
New input as_df added to portfolio_table() that displays the table as a DataFrame
as_df added to portfolio_table() that displays the table as a DataFrameWith this release, you can pass the input as_df=True to the portfolio_table() method to return the portfolio table as a DataFrame.
Fixes
The SGD fix delay has been corrected and the
DB CashIndextest usage has been removed
v8.12.0
Return fundamental data on EquityIndex objects
EquityIndex objectsIn previous releases, fundamental data could only be retrieved for single stocks. With this release, fundamental data can be retrieved for equity indices also.
You can call the following for EquityIndex objects
fundamentals()- this returns a DataFrame of fundamental data for the equity index.fundamental_fields- this returns the a list of fundamental fields for which you can collect data. You can enter these fields into thefundamental_series()input.fundamental_series(field)- this return a fundamental series available for the entered field.
Use real-time intraday data if available
Previously, only data up until midnight from the day before is returned when calling data from the framework. With this release, you can get real-time data (or at least data from 30 minutes ago. To access this latest, intraday data, append .intraday_history() to the object on which you want to collect data. For example:
The code above gets the history data between midnight last night and the latest data available.
User-defined benchmarks in the Performance Report now rebase correctly
Previously, when a user-defined benchmark was used in the Performance report that was using the AUM parameter, the benchmark series was not correctly rebased relative to the AUM level.
With this release, a new parameter adjust_benchmark_by_aum has been added to the PerformanceReport constructor to fix this issue. Set this parameter to True, and the benchmark history series is considered relative to the constant AUM level (assuming a benchmark history series is provided).
Logic added to backtests to handle unfilled or partial filled orders
Trade pricer methods can now optionally return a PricingResult(price, executed_quantity) object instead of a price (but only where executed_quantity is less than or equal to the quantity given to the trade pricer method).
In this situation, the method simulates a scenario where it was not possible to execute the full quantity due to low liquidity in the market.
When the strategy calls any of the methods to add to the trade, it is possible to use a callback method. This callback method allows the strategy to decide how to proceed and whether to trade now with less than the expected quantity or to wait to trade at a point in the future.
Look-through position-based risk analytics have been added to strategies
In previous releases, risk-based portfolios were based on just historical strategy level performance. With this release, the portfolio strategy uses look-through position-based risk analytics. These new analytics include:
parametric_var()- calculates the value at risk (VaR) for a timeseries using the parametric (Gaussian) covariance-variance approach.historical_var()- computes the VaR for a timeseries using the historical timeseries.portfolio_var()- computes the portfolio's VaR, where the portfolio is represented as a list of tuples containing portfolio units and timeseries.portfolio_var_historical()- computes the portfolio's VaR using the historical timeseries and correlations from portfolio components.portfolio_var_parametric()- computes the portfolio's VaR using the parametric (gaussian) covariance-variance approach.var_portfolio_sizing()- is a sizing method based on the historical portfolio VaR of the strategy. It requires a target VaR and VaR estimation time.
Walk-forward grid optimization helper class has been added to strategies
A new helper class has been added that enables repeated grid optimization of a strategy as well as the subsequent use of optimized parameters. This walk-forward A new helper class has been added that enables repeated grid optimization of a strategy as well as the subsequent use of optimized parameters. This walk-forward optimization can help to reduce overfitting since each optimization uses the same lookback method. Additionally, this method avoids in-sample fitting since each optimization at time t only uses data available up to t.
These walk-forward grid optimization parameters include:
strategy_generator- the method called to return the strategy.parameter_space- this is a dictionary (keyed by parameter names) and contains a list of possible values that will be iterated over at each optimization step.fitting_metric- the metric method that evaluates each parameter combination.fitting_lookback- the lookback of training data used at each optimization step. This can be input as a tenor string (e.g.'1M','2W-MON') or pandas offset.fitting_frequency- the time elapsed between each optimization step. This can be input as a tenor string (e.g.'1M','2W-MON'), or as a list of dates.
Fixes
Ensure intraday delta hedged
portfolio_greeks()is intraday.The
SOFRstart date has been removed from the calculation of earliest start date in strategies that useCashIndex.Inconsistencies with the End of Day (EOD) price lookup have been resolved.
META ticker is now used for facebook's default strategy.
TRBCcodes have been updated.RollingFutureStrategy.spot_dv01()has been changed so it is now based on positions instead of weights.The use of
PricingResulthas been removed when usingdirect trade_price calls.Portfolio table exposure weight now uses the current time.
The
FXforwardhistory now starts at the earliest available datapoint.allow get_tc_modelnow runs for strategies.Division by zero is prevent when computing
RSI.Ensure negative strikes work in SABR.
v8.11.0
Intraday history data cleared when the environment is low on memory
When using the IntradayHistoryContainer and the research environment is low on memory, the intraday history data (which has not been used recently) is cleared. This happens automatically and you do not need to input or action anything.
Use Regex to find the names of the transaction cost models
With this release when searching for transaction cost you can use Regular Expressions (Regex) to find the names of the transaction cost models.
Currency input no longer mandatory for applicable default strategies
Previously, you had to input the currency of the underlying instruments used by a strategy. With this release, strategies can now infer the currency from the futures group, equity instrument, bond group, etc that is being used in the strategy.
Intraday portfolio greeks are now calculated using intraday FX data
A new input intraday has been added to the FX portfolio_greeks function. If intraday=True, the greeks are calculated using the most recent intraday data. This new input is supported for FX options only, so when intraday=True, the relevant FX forwards are calculated using the latest available FX spot and the latest available forward curves (although these forward curves are less granular).
For example, here is the new input for a rolling options strategy ro that is already defined.
This will calculate the different greeks at 5pm and once again at 6pm on 2019-01-08.
By default, intraday=False.
Fixes
The index error in live streaming has been fixed.
Errors with copy overrides in the ticker loop for
get_single_stock_strategyhave been fixed.Checks put in place to make sure intraday delta is always computed using intraday data in delta hedging strategy.
The short conversion error has been changed to a warning with additional information.
Unsupported pandas logic has been removed.
v8.10.0
New function trade_timings_df() added to inspect wrapper
trade_timings_df() added to inspect wrapperA new function trade_timings_df() has been added to the inspect wrapper. Append this function to an object and a DataFrame is returned that contains the timings associated with each trade in the strategy. For example, run the following code to get the trade timing DataFrame.
The DataFrame contains the following columns:
instrument_name- the instrument traded.decision_dt- the datetime for when the decision to trade was made.execution_dt- the datetime for when the trade was executed.default_instrument_size_dt- the time the trade was likely to have been sized (unless this was overridden at the time).default_strategy_size_dt- the time the strategy value was likely to have been sized for the purposes of a weight calculation (unless this was overridden at the time).trade_size- the size of the trade.
New sizing methods added to strategies
Previously, the default sizing method targeted model units. Some strategies (i.e. BasketStrategy) could override the default sizing method.
With this release, the default sizing methods can be over ridden in all general strategies. Use sizing_quantity and default_sizing_method to configure the sizing method with values such as AUM, INITIAl_AUM or any fixed values.
New mixin strategy incorporated into existing strategies
A new strategy RatesStrategyMixin has been added. This strategy inherits aspects of the RatesStrategy, RatesStrategyBasket and RatesSignalStrategy strategies. This incorporation now provides the strategies with a pv01_exposure method, which gives a breakdown of exposures, and also changes the default sizing methods so that traded quantities should be entered in terms of pv01.
New allocation function called stop_loss added to SignalStrategy building block
stop_loss added to SignalStrategy building blockWith this release, SigTech has introduced a new allocation function called stop_loss to the SignalStrategy building block. This new allocation function places a stop order each time a new position is entered. This is equivalent to creating a stop strategy every time the signal changes. See the example below for how to configure the input and the required keyword arguments (allocation_kwargs).
Strategies can now treat listed options as OTC
When passing an exchange-traded option group as an input to any of the rolling options strategies, the options could be priced using exchange prices, stored in a database.
Alternatively, these options can also be priced from the relevant volatility surface (as over-the-counter (OTC) options created from the option's static data). To use options priced from the relevant volatility surface, pass price_listed_as_model='VolSurface' as an input.
If you need to use the database prices as well as calculate the "Greeks" for the options, pass price_listed_as_model='VolFromPrice' as an input. (The Greeks are a collective term for delta, gamma, vega, and theta of the option positions which provide a way to measure the sensitivity of an option's price to observable factors).
Strategies can now be used as sizing method inputs
With this release, an extra input has been added to the sizing_method call. This input looks at information from the strategy being used and allows this information to be incorporated in the sizing method which converts the traded units. An example of using this available input is weight based sizing, where the valuation of the strategy is required to complete the conversions.
Earliest available start date is now used when creating a strategy
It is now optional to specify a certain start date when creating a strategy (the start date used to be a mandatory input). If you do not enter a start date, SigTech scans all the market data required for the strategy to run and finds the earliest, valid start date.
You can find this start date by appending .earliest_start_date() to the end of your strategy. For example, the following prints the earliest useable start date for the 5-year US treasury notes:
Allow position sizing at execution for rolling options and swaptions
A new input, size_at_execution, has been added to all rolling option and swaption strategies.
Set size_at_execution=True to force the strategy to calculate the position sizing at the execution time instead of the standard position sizing time which is calculated using parameters from the previous day.
By default, size_at_execution=False as the execution time may occur after market close and therefore the strategy will error.
You can use the same size_at_execution input in the DeltaHedgingStrategy.
Add custom FX forward transaction costs using the environment configuration
To add custom FX forward transaction costs to your SigTech environment, enter a dictionary value containing the outright and roll values. These dictionary values should be entered as forward base points per maturity, on a monthly basis.
An example of how to input these FX forward trading costs is shown below:
Fixes
The
has_preloaded_historyfunction in BondBase for calculated fields has been adjusted.The
fx_spot_inversefunction has been fixed.Fix added for shorter underlying strategy inside of delta hedged strategy.
Allow delta at execution in delta hedged strategy.
Remove exception in strategy performance viewer.
Allow choice of option exercise type in rolling option strategies.
Fix dynamic option basket dependency.
Default values of AlphaReport metrics based on input features have been updated.
Datetime error in vol surface corrected.
Fix for xccy
swap_infoin resettable swaps for periods prior to first reset.History start date added to swaption name, if different from the start date.
Removed the wrong swap start date in rolling asset swap.
Allow different start date and history start date for variance swap.
Fix added for performance plot for
aumequal to zero case.QuantLib has been upgraded to the latest version (1.27).
history_startadded toget_swaptionin line with options functionality.Propagate exceptions which occur while loading dependencies in a thread pool.
v8.9.0
Analytics
Set and add timezones to display methods
This release introduces a new environment variable TM_DISPLAY_TIMEZONE and a new property display_tz.
Use the TM_DISPLAY_TIMEZONE variable to change the timezone for times display in analytics interfaces. This feature can be used if the trading manager timezone (TM_TIMEZONE) differs from the timezone in which you want to display time data. The following code is an example of how to add these two separate timezones when initializing your SigTech environment:
The display_tz property ensures a timezone is always displayed and uses the timezone provided to TM_DISPLAY_TIMEZONE. However, if TM_DISPLAY_TIMEZONE was not set, the TM_TIMEZONE is used.
Currently, the TM_DISPLAY_TIMEZONE variable only works on the analytics interfaces such as strategy.plot. By default, the portfolio_table and .diagnostics.to_dataframe() display times using the UTC timezone, however, if a TM_TIMEZONE is provided, the trading manager timezone is used to display time in these interfaces.
(Experimental) Custom metrics for AlphaReport
You can now create customised metrics for the experimental AlphaReport. The new metric will be available in the report's Metrics view.
Example usage:
Strategies: Currency parameters no longer case-sensitive in public methods
The currency parameter is no longer case-sensitive in a variety of public class constructors and methods, including:
When creating strategies
When using
Strategy.analytics.pnl_breakdownandStrategy.analytics.total_return_valuation_historyWhen using strategy trading methods (e.g.
Strategy.add_position_target,Strategy.add_trade)When creating strategy instruments such as FX forwards, swaps, and rolling swaptions
Options and Swaptions: Determine rolling options/swaptions strikes at execution
When you create a new strategy based on rolling options or rolling swaptions, you can now use the t0_option_selection flag to specify that option strikes should be determined using the same market data point as order execution:
Warning: t0_option_selection can cause inconsistencies in some circumstances.
Use
t0_option_selectionfor backtesting research only; avoid using it in production strategies.Avoid using
t0_option_selectionif you customize thedata_datewhen initializing the framework environment.
To see all classes with the t0_option_selection option:
Bonds: New options to load reduced bond history
When you call a method or create a strategy that uses a bond instrument's history, by default, SigTech loads the whole history. If the history data is not already cached, SigTech computes and caches it.
Framework v9.1 introduces new functionality to load reduced bond histories, which can help speed up some strategies.
Reduced bond history functionality for bond instruments
Set limits for computing and caching bond history data
Use set_history_limits to limit the start and/or end dates when SigTech computes and caches history data for a particular bond instrument:
Bond history limits are ignored when history is already cached beyond them
The start and/or end date parameters of set_history_limits are ignored if the cached history already exceeds them:
Reset bond history limits when history is already cached
To force SigTech to recompute and re-cache the history, call set_history_limits with parameter reset_all=True. This applies the history limits you specify, even if history was already cached:
View existing bond history limits
To view any existing history limits on a bond instrument, call its history_limits method. The history_limits method returns an object with attributes start_date and end_date:
Clear bond history limits
To clear the limits and load the full history, call set_history_limits and pass reset_all=True with no other parameters:
Reduced bond history functionality for bond strategies
To set bond history limits to the date range used by a a SingleBondStrategy, pass optional parameter reduce_bond_history=True when you create the strategy:
To set bond history limits to the date range used by a a RollingBondHistory, pass optional parameter reduce_bond_histories=True when you create the strategy:
Both
reduce_bond_historyandreduce_bond_historiesare optional andFalseby default.If a cached history already exists beyond the start or end date, the date is ignored and the limit is not enforced.
To reset, view, or clear the history limits on an instrument in a SingleBondStrategy or RollingBondStrategy, see the sections above on this page.
Deprecations
Rename objective-based optimization methods
In the Portfolio Optimizer (sig.analytics.optimization.portfolio_optimizer.PortfolioOptimzer), the following methods have been renamed for clarity:
| Old method name | New method name |
|---|---|
require_equal_risk_contribution | prefer_equal_risk_contribution |
require_inverse_vol_weighting | prefer_inverse_vol_weighting |
require_maximum_diversification | prefer_maximum_diversification |
require_maximum_return | prefer_maximum_return |
require_mean_variance | prefer_mean_variance |
require_minimum_turnover | prefer_minimum_turnover |
require_minimum_variance | prefer_minimum_variance |
require_target_return | prefer_target_return |
require_weights_l1_penalty | prefer_weights_l1_penalty |
require_weights_l2_penalty | prefer_weights_l2_penalty |
The old method names are deprecated; you should convert your code to use the new method names listed above. The behavior of the renamed functions has not changed.
Example using new method names:
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_rateandcalculate_forward_rate_batchmethods.
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.listoutput by avoiding overriding filters when executing them.Data adapter: Fix issue requesting
LastPricefield from projection curve.
Fixes for experimental features
Fix font warnings related to AlphaReport.
Enable saving images via
capture_pngcell magic.
v8.8.0
Analytics (experimental): Improved AlphaReport replaces SignalReport
AlphaReport replaces SignalReportFramework v8.8 deprecates SignalReport (sig.experimental.analytics.signal_design.SignalReport) and replaces it with improved and expanded AlphaReport (sig.experimental.analytics.alpha_report.alpha_report.AlphaReport).
Strategy inspection: More flexibility for cash methods
The base Strategy class provides a range of cash methods via the inspect interface:
Strategy.inspect.bottom_cash_dfStrategy.inspect.cash_dfStrategy.inspect.weights_dfStrategy.inspect.positions_dfStrategy.inspect.bottom_positions_df
These methods previously only gave values at action points (points where the strategy simulation performs an action). To make these methods more flexible, framework v8.8 adds an optional parameter, dts.
The dts parameter can be:
One of the following strings, specifying a set of times:
'ACTION_PTS': Every point where the strategy simulation performs an action on any level.'EXECUTION_PTS': Points where orders are executed.'HOLDING_CHG_PTS': Points where the strategy's top level holdings change (excluding orders).'TOP_ORDER_PTS': Points where the strategy enters and executes top level orders.'TOP_POSITION_CHG_PTS': Points where the strategy's top level holdings change.'VALUATION_PTS': Valuation points.
A
DatetimeAn iterable of
Datetimes
Default values are as follows:
bottom_cash_df:'ACTION_PTS'cash_df:'HOLDING_CHG_PTS'weights_df:'TOP_POSITION_CHG_PTS'positions_df:'HOLDING_CHG_PTS'bottom_positions_df:'ACTION_PTS'
Deprecations
Framework v8.8.0 deprecates the following classes:
sig.experimental.analytics.signal_design.SignalReportUse
sig.experimental.analytics.alpha_report.alpha_report.AlphaReportinstead.
Fixes
Framework v8.8.0 adds the following bug fixes:
Interest rate swaps: v8.8 now uses existing swap ticker in class constructor, if provided
v8.7.0
Volatility
VarianceSwap functionality expanded
Framework v8.7 adds improved pricing and risk for variance swaps from volatility surfaces.
Deprecations:
The
VarianceSwapReplicatorclass is deprecated. Instead, useVarianceSwapwithuse_option_replication=True.When creating a
VarianceSwap, settinguse_vol_surface=Trueis no longer necessary; framework v8.7 and later ignore theuse_vol_surfaceparameter.
Create a VarianceSwap using a volatility surface
Old syntax:
New syntax:
Create a VarianceSwap using option replication
Old syntax:
New syntax:
Rolling swaptions delta neutral strike
When creating a rolling swaption strategy (SwaptionStraddle) or getting a Swaption object, you can now pass strike='DN' to compute a delta-neutral strike.
When strike is set to 'DN', the framework computes the strike automatically such that the payer and receiver swaptions at this strike have the same delta. This strike is usually slightly lower than the par forward rate.
Rolling options and swaptions pnl_explain method
v8.7 adds the pnl_explain method to all rolling options and rolling swaptions strategies. This method provides a breakdown of actual PnL (profit and loss) and greeks PnL over time.
To use the new functionality, call the pnl_explain method of any strategy based on rolling options or rolling swaptions:
Analytics: Covariance estimators moved
This change deprecates the COV_ESTIMATORS class and replaces it with CovEstimators in the same module (sig.analytics.optimization.factor_exposure).
New syntax:
For more information on CovEstimators, run the following code cell:
Utilities: Modify holiday calendars
A new function, HolidayCalendar.modify_calendar, lets you add dates to and remove dates from the holidays list.
Parameters of modify_calendar are as follows:
new_name: Optional string for new calendar object name.If
None, the calendar object is replaced.If provided, a new calendar object is created with object name
'{new_name} CALENDAR'.
add_holidays: Optionallistof holiday dates to add.remove_holidays: Optionallistof holiday dates to remove.
Example:
Deprecations
Framework v8.7.0 deprecates the following classes:
sig.VarianceSwapReplicatorUse
sig.VarianceSwapwithuse_option_replication=Trueinstead.sig.analytics.optimization.factor_exposure.COV_ESTIMATORSReplaced by
sig.analytics.optimization.factor_exposure.CovEstimators.
Framework v8.7.0 deprecates the following parameters:
sig.VarianceSwap.use_vol_surfaceWhen creating a
VarianceSwapwith a volatility surface, you no longer need to setuse_vol_surface=True.Framework v8.7 and later ignore the
use_vol_surfaceparameter.
Fixes
Framework v8.7.0 adds the following bug fixes:
(Experimental - SigTech cell magics) Applies default JupyterNotebook styles to output cells when saving them as HTML.
Extends TRBC codes to include Real Estate, Government Activity and Academic and Educational Services.
Makes
sigtech.framework.infra.data_adapter.identifier.Symbologyavailable assig.Symbologywhen importingsigtech.frameworkassig.Avoids incorrect country code lookup when an instrument's
countryattribute exists, but is set toNone.Allows cloning with the
clone_strategymethod of any strategy object without additional parameters.Updates intraday history functionality to prevent re-requesting missing data; uses available data instead.
Updates trading session data management functionality to avoid producing pandas warnings.
Updates object management for compatibility with objects created in SigTech framework v7.
Updates object caching service to avoid caching empty DataFrames.
Updates the Trading Manager. When choosing the best intraday datapoint for instrument valuation, use end-of-day (EOD) if:
The exchange has closed, AND
The instrument's valuation point has passed. This avoids a potential error if an exchange closes early.
Updates
RollingFutureStrategy: Thecontract_sector,contract_code, androlling_ruleparameters are no longer case-sensitive.Corrects error handling during framework object creation when the object is cached, and the cached object doesn't have the same set of keys as the new object.
Corrects the
sectorlabel for single stocks where TRBC data is missing.Updates the
build_calendarmethod insigtech.framework.infra.calendar.datesso thatbuild_calendarworks with all calendar objects, instead of just instances ofHolidayCalendar.Adds cash accrual to the
pnl_explainmethod in all strategies based on delta hedging, rolling options, and rolling swaptions.
v8.6.0
Experimental features
Please note that these features are experimental and might change quickly.
Siglang cell magic
Please note that this feature is experimental and might change quickly.
For notebooks running in a JupyterLab Research environment, an experimental cell magic, %%siglang, is now available.
To try it out, run the following code cells in a notebook:
For more information, navigate to the /example-notebooks/03_siglang/ folder in your JupyterHub workspace and open the SIG_primer_siglang.ipynb notebook.
Spreadsheet widget
Please note that this feature is experimental and might change quickly.
A simple, experimental spreadsheet widget to view pandas DataFrame objects is now available.
You can edit the spreadsheet in the widget, and retrieve a DataFrame containing the updated data:
Please note that this feature is experimental and might change quickly.
For more information, in a notebook cell, run the following code:
DataCredibilityAdapter improvements
Please note that this feature is experimental and might change quickly.
A new function,
ohlc_credibility, computes a credibility score from Open, High, Low, and Close prices.Credibility functions Winsorize (cap and floor) data prior to computing rolling mean as part of the
Xivariable.
For more information, in a notebook, run the following code:
Equities: Analyst estimates interface improvements
Adds a helper function, analyst_estimate_series, which accepts the following parameters:
field: String; the name of a fundamental field, e.g.'Price/Earnings Ratio'.metric: String; the name of a metric, e.g.'std_dev','high_est','low_est','mean_est','median_est'.period_end_date: Date for which the estimate is being made (ifNone, returns the entire history).historical_period_index: Identifier of the historical period index (default is'FY1').
OIS Swaps: Add carry_roll_down method
OIS swaps have a new method, carry_roll_down, which computes carry and roll-down of the swap:
This change extends the functionality available for LIBOR swaps to OIS swaps. The method works the same as for InterestRateSwap, and the resulting table has the same columns and meaning.
Services: DataframeService renamed to ObjectService
The DataframeService class has been renamed to ObjectService. Likewise, the dataframe_service_cache decorator has been renamed to object_sercice_cache. ObjectService has the same functionality as DataframeService; methods and properties have not changed.
ObjectService caches any picklable object:
Use the object_service_cache decorator to cache the output of a function:
Fixes
Framework v8.6.0:
Updates the underlying quantlib wrapper to allow faster execution of strategies containing many swaptions.
Fixes an issue when converting from yield quotes to price quotes. The framework now applies a check so that only the relevent fields are transformed.
Corrects cross-currency coupon notional scaling with pay delay and resettable notional.
Fixes retrieval of cached rolling swaptions strategies.
Correctly runs profit and loss (PnL) breakdown with daily and intraday data.
Fixes execution datetime for forward-starting resettable cross-currency swap strategies.
Starts notional correction in resettable cross-currency swap strategies only from swap start.
Allows zero execution delay for signal strategies.
When inspecting a strategy, modifies the
weights_dffunction to accept a datetime, list of datetimes, or a string identifying a predefined set of times for inspection.Improves the readability and color coding of performance reports.
Removes some undesired commas when handling lists of holidays.
Allows short or long direction in RollingCreditIndexStrategy.
Corrects a case error in the tenor parameter for credit indexes and rolling credit index strategies.
Fixes issues with Japanese bonds in OTR series.
v8.5.0
Optional parameter max_absolute_delta for delta hedging strategies
max_absolute_delta for delta hedging strategiesAdds optional float parameter max_absolute_delta to DeltaHedgingStrategy class.
max_absolute_delta defaults to None. If supplied, max_absolute_delta is the maximal allowed hedged delta at any moment in time, in the same units as delta (basis points for swaptions; number of underlying units for regular options).
Diagnostic functions for cross-currency swaps
This release adds 3 diagnostic functions to the CrossCurrencySwap class:
swap_metricscoupon_payment_datesswap_details
Retrieve swap quotes from swap quote groups
This release adds functionality to retrieve swap quotes from swap quote groups:
Fixes
Framework v8.5.0:
Checks that at least one valid value is present before calculating weighted stock factors in a basket strategy.
Shows Costs & Slippage in PnL breakdown when transaction costs are off.
Allows creation of cross-currency swaps that start in the past, ensuring that resettable cross-currency swaps work post-maturity.
Successfully validates futures expiry dates when
expiry_month_offset > 0.Checks for strike when required for rolling options.
Fixes an issue with
get_single_stock_strategywhenmost_liquid=Trueand a list of tickers or exchange tickers is provided.Fixes multiple issues with the
DataCredibilityAdapterclass.
v8.4.0
Simulations now handle intraday data series
The simulation adapter now handles intraday data series. You can use the same functions to provide the framework with transformed market data.
Add method holiday_data to all Calendar objects
holiday_data to all Calendar objectsFor all Calendar objects, method holiday_data returns a time series with holiday information:
Add RollingSwaption to framework imports
RollingSwaption to framework importsWhen you import the SigTech framework under the standard alias, sig, you can now refer to the RollingSwaption class with sig.RollingSwaption:
List cached keys and strategies
Adds new methods:
StrategyService.list_keysStrategyService.list_strategiesDataFrameService.list_keys
To list available keys and strategies in StrategyService:
To list available keys in DataFrameService:
By default, returned values are filtered to those compatible with the environment.
Add resettable notional option to cross-currency swaps
Adds parameters to CrossCurrencySwap class:
use_notional_resetignore_future_notional_reset
Supported only for floating-floating swaps.
Fixes
Framework v8.4.0:
Strategies
reinvestment_strategy_overridescan now be either adatetimeor adate.Fixes a bug with time series indicies in basket strategies.
Swaps
Removes cross-currency coupons between valuation and settlement date.
Futures
Fixes a Copp-Clarke parsing error in
'PP INDEX'and'KC COMDTY'.Fixes a type error when computing exchange open/close from Copp-Clarke data.
For rolling futures, makes the
rolling_tablea property, calculated at request.Fixes issue with
SyntheticFXCross.Fixes an issue with curve default data points in calculating forward rates.
Intraday
Fixes
IndexErrorinintraday_historymethod
Data adapter, utilities, and services
Updates credibility aggregation logic in the
DataCredibilityAdapterclass.Resolves pandas warning about fragmented
DataFrame.Resolves an issue with
sig.obj.get_many_with_historyfor Bonds.Raises an exception when fetching a non-existent key from the DataFrame Service.
HolidayCalendar.get_namesnow replaces deprecatedCalendar.get_names.
v8.2.0
Define and use instrument group labels
Use instrument group labels to return grouped PnL and weights results.
You can group by predefined labels, or define your own.
To group PnL and weights by predefined instrument group label 'CURRENCY':
You can also define your own group labels. For example:
To get an instrument group label for a particular instrument, use sig.get_label:
MacroEconomicFix method history_df replaces macro
history_df replaces macroIn sig.instruments.fixes.MacroEconomicFix, v8.2 deprecates the macro method and replaces it with history_df. This change makes method names more consistent between instrument types.
Convert your code to use history_df instead of macro:
Enable overnight index cross currency swaps
v8.2 enables overnight index swaps (OIS) when creating cross currency (XCCY) swaps.
To create an OIS XCCY swap, pass is_ois=True when creating a CrossCurrencySwap. Optionally, pass ois_params (a dictionary with additional OIS parameters).
Improved live streaming of intraday data
SigTech framework v8.2 improves intraday market data streaming. Subscribing to live market data now gives all updates since midnight, ensuring that no intraday data is missed.
This improvement is automatic upon subscription; you don't need to do anything differently to use it.
Futures
Add settlement times to futures groups
In sig.FuturesContractGroup, property settlement_time gives the time of day when the futures price was generated.
This change allows product-specific settlement times for futures groups.
To get the settlement time for a futures group:
Date parameter d in FuturesContractGroup.active_contract defaults to today
In sig.instruments.FuturesContractGroup.active_contract, date parameter d is now optional, and defaults to datetime.date.today.
Futures contract groups use Copp-Clarke session data in exchange open and close times
In v8.2, futures contract groups use Copp-Clarke trading session data, if it's available, to determine the exchange opening and closing times for futures exchange.
This change is automatic; you don't need to do anything differently to use it.
v8.1.0
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:
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:
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':
To add a position target for VaR, call strat.add_position_target with parameter unit_type='HISTORICAL_VAR':
v8.0.0
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:
In the SigTech Research environment, create or open a Jupyter Lab workspace.
At Set up your Research environment > Framework version, select V8-latest.
In a notebook, install and import TensorFlow:
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) |
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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:
New strategy performance visualization
To display an interactive visualization of a strategy's performance, use plot.performance:
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:
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:
Changes to the framework environment
Initialize and configure the framework environment
To initialize the v8 framework environment, use sig.init:
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':
Configure the framework environment
You can change the framework environment configuration settings immediately after calling sig.init:
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.
Changes to default configured environment settings
Version 8 of the SigTech framework changes the following default environment configuration settings:
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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:
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:
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:
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:
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 |
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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 |
Swaptions
For swaptions, the magnitudes of Greek variables have changed as follows:
| Variable | v7 magnitude | v8 magnitude | Indicates |
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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 |
New syntax for custom classes
SigTech framework v8 introduces new type syntax and object instantiation hooks for custom classes that extend SigTech classes.
Convert your existing custom classes to the v8 syntax, and use the updated v8 syntax when defining new custom classes.
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.
Deprecations in sig.analytics
In sig.analytics, v8 deprecates and replaces the following classes:
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Deprecations in sig.infra.calendar
In sig.infra.calendar, v8 deprecates and replaces the following classes:
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Deprecations in sig.instruments
Deprecated type-checking methods
In sig.instruments, v8 deprecates the following type-checking methods:
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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:
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 |
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Deprecations in sig.strategies
Classes
In sig.strategies, v8 deprecates and replaces the following classes:
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Methods
In sig.strategies, v8 deprecates and replaces the following methods:
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Decorators
In sig.strategies, v8 deprecates and replaces the following decorators:
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Deprecations in the Strategy class
In sig.strategies, v8 deprecates the following methods in the strategy.Strategy class:
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Note: You might not need to use Strategy.add_margin_cleanup.
By default, v8 automatically manages end-of-day margins in custom strategies.
Strategy.analytics interface
In v8, the Strategy.analytics interface replaces the following deprecated methods:
Strategy.excess_return_historyStrategy.pnl_breakdownStrategy.turnoverStrategy.intraday_turnoverStrategy.cash_turnoverStrategy.turnover_statsStrategy.approximate_rounding_impactStrategy.approximate_rounding_summaryStrategy.relative_attributionStrategy.total_return_valuation_history
Strategy.inspect interface
In v8, the Strategy.inspect interface replaces the following deprecated methods:
Strategy.evaluate_tradesStrategy.evaluate_positionsStrategy.historic_positionsStrategy.display_holdingsStrategy.display_run_detailsStrategy.positions_dfStrategy.weights_dfStrategy.cash_dfStrategy.bottom_positions_dfStrategy.bottom_cash_dfStrategy.timeline_dataStrategy.tree_df
Strategy.plot interface
In v8, the Strategy.plot interface replaces the following deprecated methods:
Strategy.interactive_tree_plotStrategy.interactive_portfolio_table()Strategy.interactive_timeline_plot()Strategy.interactive_performance
In the Strategy.plot.performance method, the parameter inline is deprecated.
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
Strategyclass, but implemented inDailyStrategy:Deprecated v7 method Replacement v8 method Strategy.add_methodDailyStrategy.add_methodStrategy.add_position_targetDailyStrategy.add_position_targetStrategy.add_tradeDailyStrategy.add_tradeStrategy.add_break_pointDailyStrategy.add_break_pointStrategy.add_fx_spot_tradeDailyStrategy.add_fx_spot_tradeStrategy.size_date_from_decision_dtDailyStrategy.size_date_from_decision_dtStrategy.size_dt_from_dateDailyStrategy.size_dt_from_dateStrategy.size_date_from_dateDailyStrategy.size_date_from_dateStrategy._decision_timeDailyStrategy._decision_timeStrategy._decision_tzinfoDailyStrategy._decision_tzinfoStrategy.size_timeDailyStrategy.size_timeStrategy.size_tzinfoDailyStrategy.size_tzinfoStrategy.execution_timeDailyStrategy.execution_timeStrategy.execution_tzinfoDailyStrategy.execution_tzinfoStrategy._size_dt_from_decision_dt_DailyStrategy._size_dt_from_decision_dt_Strategy._instrument_execution_dt_from_datetimeDailyStrategy._instrument_execution_dt_from_datetimeStrategy.decision_dt_from_execution_dtDailyStrategy.decision_dt_from_execution_dtStrategy.decision_dt_from_dateDailyStrategy.decision_dt_from_dateUse
DailyStrategy.add_methodinstead of the following methods:Strategy.add_methodStrategy.add_processorStrategy.add_processor_with_priority
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DailyStrategy.add_position_targetinstead of the following methods:Strategy.add_position_targetStrategy.set_positionStrategy.set_weight
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DailyStrategy.add_tradeinstead of the following methods:Strategy.add_tradeStrategy.add_positionStrategy.ir_swap_tradeStrategy.tr_swap_tradeStrategy.index_swap_tradeStrategy.fx_forward_tradeStrategy.lme_forward_tradeStrategy.lme_spread_tradeStrategy.index_forward_tradeStrategy.brl_swap_tradeStrategy.credit_index_tradeStrategy.xccy_swap_trade
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DailyStrategy.add_break_pointinstead of the following methods:Strategy.add_break_pointStrategy.stop_processing
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DailyStrategy.add_fx_spot_tradeinstead of the following methods:Strategy.add_fx_spot_tradeStrategy.fx_spot_trade
Deprecations in other modules
SigTech framework v8 also deprecates the following methods and properties:
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