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Trade size risk model #1042

Merged
merged 36 commits into from
Sep 24, 2024
Merged

Trade size risk model #1042

merged 36 commits into from
Sep 24, 2024

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miohtama
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@miohtama miohtama commented Sep 20, 2024 •
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  • Supports loading of TVL data as the part of load_partial_data
  • There is now PricingModel.get_usd_tvl()
  • Add a model to cap your trade and position sizes based on a risk
    • Fixed per pair
    • Based on collected USD TVL estimations
  • If alpha model portfolio positions become size-capped, redistribute the remaining equity to other positions
  • Supports sorting of credit positions in TradeExecution.get_execution_sort_position()

@miohtama
Working on the dynamic price impact / position size estimator
f88f1db
@miohtama
First sizing model in place
e1690cf
@miohtama
First trade size tests pass
3e3d8a8
@miohtama
More basic test coverage
03e1c6a
@miohtama
Add liquidity argument to BacktestPricing
4e55d17
@miohtama
Trade limiter test passes
5216110
@miohtama
Trade limiter test passes
0b6b4f3
@miohtama
Avoid type keyword conflict in Py 3.12
9edfab8
@miohtama
Test diagnostics data
92abd6e
@miohtama
Add position risk as the part of the alpha model
7a30291
@miohtama
Add TVL risk estimator to the strategy module
e58e796
@miohtama
Redistribute unused equity
5954cbd
@miohtama
Fix test
b793533
@miohtama
Fix test
91a645f
@miohtama
Merge
1c4c0f2
@miohtama
load_partial_data(): support liquidity
98fc1a0
@miohtama
create_from_dataset(): add liquidity support
4168fb5
@miohtama
load_partial_data(liquidity=True) works
f0ef311
@miohtama
Trade size risk backtest completes
8ee5184
@miohtama
Bump TS
e007453
@miohtama
Adjustments for capacity limited data loading
a30fa2c
@miohtama
Fix position_target None check broken
b0a182e
@miohtama
Fixe to deal with position_target = None
4e116b7
@miohtama
Add othe data field
e4caa95
@miohtama
Add get_position_statistics_as_dataframe
1bcdd59
@miohtama miohtama merged commit 4e609d0 into master Sep 24, 2024
4 of 5 checks passed
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@miohtama