Guide to SigTech framework v9

Guide to SigTech framework v9#

We are pleased to introduce version 9 of the SigTech framework, a.k.a. v9, along with major improvements, upgrades, and new features.

This guide describes the changes to classes, methods, and environment parameters you will need to know about to ensure that strategies written in v8 work in v9.

Please note that all changes presented in this page are breaking.

Changes to framework dependencies#

SigTech framework v9 uses new Python features and syntax, as well as updated functionality of supporting libraries.

Major upgrades:

Other upgrades:

  • Upgraded Python package scipy from 1.8 to 1.11

  • Upgraded Python package scikit-learn from 1.0 to 1.3

  • Upgraded Python package cvxpy from 1.1 to 1.4

For full details, see Framework dependencies in v9.

Changes to framework environment#

SigTech framework v9 uses new default values for a set of environment parameters:

  • IGNORE_T_COSTS

  • INCLUDE_STRATEGY_TCOST_DEFAULT

  • LIBOR_SWITCHOVER_DATES

  • TM_TIMEZONE

  • TM_DISPLAY_TIMEZONE

  • HISTORY_DATA_CLEAN

The following environment parameters are not available in v9:

  • HISTORY_SCHEDULE_BUILD_FROM_DATA

  • ROLL_OFFSET_INCLUDE_ROLL_END

For full details, see Changes to framework environment.

Deprecations and refactorings#

SigTech framework v9 includes a set of deprecations, refactorings and deletions introduced for classes, functions and parameters.

For full details, see Deprecations and refactorings.

Changes to default behavior of framework interface#

SigTech framework v9 introduces material changes to the output generated by strategies execution methods, instruments data retrieval methods, or analytics calculation methods. These outputs are directly under the user’s control via class constructors or functions parameter overrides.

For full details, see Changes to parameter defaults.

Changes to underlying framework logic#

SigTech framework v9 introduces material changes to the underlying framework logic, which is not directly under the user’s control via the configuration of environment parameters or arguments overrides.

For full details, see Changes to underlying framework logic.

Changes to Python#

For a summary of changes to the Python language and supporting modules, see Changes to Python.