Metadata about an Asset

Equity asset type.

Fields

• currency::String - currency of the cash

Equity asset type.

Fields

• symbol::Symbol - asset symbol
• name::String - name of the asset
• tax_exempt::Bool=false - asset tax exemption status

Abstract type for asset universes

Dynamic asset universe. Each asset has a start date

Parameters

• asset_dates::AbstractVector{Dict{Symbol,DateTime}}

Static asset universe

Parameters

• assets

This is an Order for an asset.

Fields

• created_dt::DateTime - datetime that the order was placed
• quantity::Real - order quantity
• asset::Asset - order asset
• fee::Float64 - order fee
• order_id::String - unique order id
• direction::Int 1=>buy, -1=>sell
• direction::Float64 - Asset volume (for predicting slippage)

Abstract type for portfolio optimization.

generate_weights(opt, initial_weights)

Portfolio optimizer for fixed asset weights

Fields

• data_handler::DataHandler

Portfolio optimizer for fixed asset weights

Fields

• data_handler::DataHandler
• scale::Float64

Abstract type for trading exchange

Simulate live trading

Fields

• start_dt::DateTime
• open_time::Time=Time(14,30)
• close_time::Time=Time(21,00)

Simulate an exchange that never closes

Fields

• start_dt::DateTime

Abstract type to handle the calculation of brokerage fee, fees and taxes.

A FeeModel that produces no fee/fees/taxes.

total_fee = 0.0

A Fee model that calculates tax and fee fees using a percentage of the total order price (considaration).

feefee = (order.price * order.quantity) * feemodel.feepct taxfee = (order.price * order.quantity) * feemodel.taxpct totalfee = taxfee + fee_fee

Fields

• fee_pct::Float64 = 0.0
• tax_pct::Float64 = 0.0

calculate_fee(fee_model, quantity::Real, price::Float64)

Calculate the fee for an order

Parameters

• fee_model
• quantity::Real
• price::Float64

Returns

• Float64: The total fee for the order (tax + fee)

Abstract type for a data source.

Encapsulates loading, preparation and querying of CSV files of daily 'bar' OHLCV data. The CSV files are converted into a intraday timestamped Pandas DataFrame with opening and closing prices.

Optionally utilises adjusted closing prices (if available) to adjust both the close and open.

Fields

• csv_dir::String The full path to the directory where the CSV is located.
• asset_type::String The asset type that the price/volume data is for.
• adjust_prices::String Whether to utilise corporate-action adjusted prices for both the open and closing prices. Defaults to True.
• csv_symbols::Vector An optional list of CSV symbols to restrict the data source to. The alternative is to convert all CSVs found within the provided directory.
• dict_asset_dfs::Dict{Symbol, DataFrame} Automatically generated dictionary of asset symbols, and pricing dataframes

get_bid(ds::CSVDailyBarSource, dt::DateTime, asset::Symbol)

Get the bid price for an asset at a certain time.

Parameters

• ds::CSVDailyBarSource
• dt::DateTime
• asset::Symbol

Returns

• Float64: bid for an asset at the given datetime

get_ask(ds::CSVDailyBarSource, dt::DateTime, asset::Symbol)

Get the ask price for an asset at a certain time.

Parameters

• ds::CSVDailyBarSource
• dt::DateTime
• asset::Symbol

Returns

• Float64: ask for an asset at the given datetime

get_ask(ds::CSVDailyBarSource, dt::DateTime, asset::Symbol)

Obtain a multi-asset historical range of closing prices as a DataFrame

Parameters

• ds::CSVDailyBarSource
• start_dt::DateTime
• end_dt::DateTime
• asset::Symbol

Returns

• DataFrame: Dataframe with the bid timestamps, asset symbols, and

Abstract type for a data handler.

Data Handler for backtesting Fields –––

• `data_sources

get_asset_latest_bid_ask_price(dh::DataHandler, dt::DateTime, asset::Symbol)

Get the bid, ask price for an asset at a certain time.

Parameters

• dh::DataHandler
• dt::DateTime
• asset::Symbol

Returns

• Tuple{Float64, Float64}: (bid, ask) for an asset at the given datetime

get_asset_latest_mid_price(dh::DataHandler, dt::DateTime, asset::Symbol)

Get the average of bid/ask price for an asset at a certain time.

Parameters

• dh::DataHandler
• dt::DateTime
• asset::Symbol

Returns

• Float64: mid point between bid/ask for an asset at the given datetime

get_assets_historical_range_close_price(
    dh::DataHandler,
    start_dt::DateTime,
    end_dt::DateTime,
    assets::AbstractVector{Symbol},
)  

All closing prices for the given assets in the given timerange

Parameters

• dh::DataHandler
• start_dt::DateTime
• end_dt::DateTime
• asset::AbstractVector{Symbol}

Returns

• DataFrame: dataframe of close prices for the assets

Metadata about a transaction of an asset

Fields

• asset::Symbol
• quantity::Float64
• dt::DateTime
• price::Float64
• fee::Float64
• order_id::String

cost_without_fee(txn::Transaction)

Cost of a transaction without fee

Parameters

• txn::Transaction

Returns

• Float64

cost_with_fee(txn::Transaction)

Cost of a transaction with fee

Parameters

• txn::Transaction

Returns

• Float64

Handles the accounting of a position in an asset.

Fields

• asset::Symbol
• current_price::Float64
• current_dt::DateTime
• buy_quantity::Float64
• sell_quantity::Float64
• net_quantity::Float64
• avg_bought::Float64
• avg_sold::Float64
• buy_fee::Float64
• sell_fee::Float64

position_from_transaction(txn::Transaction)::Position

Create a position using a transaction

Parameters

• txn::Transaction

Returns

• Position

Store all open positions

Snapshot of the portfolio at a given time.

Fields

• dt::DateTime
• type::String
• debit::Float64
• credit::Float64
• balance::Float64

create_subscription(dt::DateTime, credit::Float64, balance::Float64)

Create a subscription portolio event

Parameters

• dt::DateTime
• credit::Float64
• balance::Float64

Returns

• PortfolioEvent

create_withdrawal(dt::DateTime, credit::Float64, balance::Float64)

Create a withdrawal portolio event

Parameters

• dt::DateTime
• credit::Float64
• balance::Float64

Returns

• PortfolioEvent

create_asset_transaction(
    dt::DateTime,
    txn_total_cost::Float64,
    balance::Float64,
    direction::Int,
)

Create an asset buy/sell portfolio event

Parameters

• dt::DateTime
• txn_total_cost::Float64
• balance::Float64
• direction::Int

Returns

• PortfolioEvent

Portfolio

Fields

• current_dt::DateTime
• cash::Float64
• currency::String
• pos_handler::PositionHandler
• portfolio_id::String
• name::String
• history::AbstractVector{PortfolioEvent}

total_market_value(pos_handler::PositionHandler)

Total market value of all open positions

Parameters

• pos_handler::PositionHandler

Returns

• Float64

total_market_value(port::Portfolio)

Total market value of the portfolio excluding cash.

Parameters

• ord1
• ord2

Returns

• Float64

total_equity(port::Portfolio)

Total market value of the portfolio including cash.

Parameters

• ord1
• ord2

Returns

• Float64

Abstract type for alpha models

A simple AlphaModel that provides a single scalar forecast value for each Asset in the Universe.

Fields

• signal_weights::Dict{Symbol,Float64}

Signals that change through time. Produces the most recent signal at a given time

Fields

• dict_signal_weights::Dict{DateTime, Dict{Asset,Float64}}

Fixed signal for all assets in the universe

Fields

• universe
• signal::Float64

abstract type for slippage models

A SlippageModel that produces no slippage.

Returns

• Float64: The original price

Fixed spread for all assets

Buy orders will execute at ask + spread / 2 Sell orders will execute at bid - spread / 2

Fields

• spread::Float64

Returns

• Float64: The price including slippage

Spread is a percent of the asset price

Buy orders will execute at ask * (1 + (slippage_pct/100)) Sell orders will execute at bid * (1 - (slippage_pct/100))

Fields

• slippage_pct::Float64

Returns

• Float64: The price including slippage

Slippage is based on the ratio of order volume to total volume

Buy orders will execute at ask + (volume_share^2 * price_impact * price * direction) Sell orders will execute at bid - (volume_share^2 * price_impact * price * direction)

Fields

• price_impact::Float64=0.1 - The scaling coefficient for price impact. Larger values will result in larger price impacts.

Returns

• Float64: The price including slippage

Asset

Simlated broker for transacting assets

Fields

• start_dt::DateTime
• current_dt::DateTime
• exchange
• data_handler::DataHandler
• account_id::String
• base_currency::String
• initial_cash::Float64
• fee_model
• cash_balances::Dict{String,Float64}
• portfolios::Dict{String,Portfolio}
• open_orders::Dict{String,Queue{Order}}

function create_portfolio!(
    broker,
    initial_cash::Real;
    name::String = "",
    portfolio_id::String = string(UUIDs.uuid1()),
)

function create_portfolio!(
    broker;
    name::String = "",
    portfolio_id::String = string(UUIDs.uuid1()),
)

Create a portolio using the broker's cash balance to fund the initial capital.

Parameters

• broker
• initial_cash::Real
• name::String = ""
• portfolio_id::String = string(UUIDs.uuid1())

subscribe_funds!(broker, amount::Real)

subscribe_funds!(broker, amount::Real, currency::String)

Add funds to broker

Parameters

• broker
• amount::Real
• currency::String

withdraw_funds!(broker, amount::Real)

withdraw_funds!(broker, amount::Real, currency::String)

Withdraw funds from broker

Parameters

• broker
• amount::Real
• currency::String

subscribe_funds_to_portfolio!(broker, portfolio_id::String, amount::Real)

Add funds to portfolio from the broker

Parameters

• broker
• portfolio_id::String
• amount::Real

withdraw_funds_from_portfolio!(broker, portfolio_id::String, amount::Real)

Withdraw funds from portfolio into the broker

Parameters

• broker
• portfolio_id::String
• amount::Real

Create target asset quantities for portfolios

Create target portfolio quantities using the total equity available to the order sizer.

Fields

• broker
• portfolio_id::String
• cash_buffer_percentage::Float64=0.05

Create target portfolio quantities using the total equity available to the order sizer.

Fields

• broker
• portfolio_id::String
• gross_leverage::Float64=1.0

Struct needed to generate target portfolio weights

Fields

• broker
• portfolio_id::String
• universe
• order_sizer
• portfolio_optimizer
• alpha_model

Rebalance periods for backtesting

Only rebalance at the start date

Fields

• start_dt::DateTime
• rebalances::AbstractVector{DateTime}

Rebalance daily

Fields

• start_date::Date
• end_date::Date
• market_time::DateTime
• rebalances::AbstractVector{DateTime}

Rebalance monthly

Fields

• start_date::Date
• end_date::Date
• market_time::DateTime
• rebalances::AbstractVector{DateTime}