TradingPairSignalFlags

API documentation for tradeexecutor.strategy.alpha_model.TradingPairSignalFlags Python class in Trading Strategy framework.

class TradingPairSignalFlags

Bases: Enum

Diagnostics flags set on trading signal to understand better the decision making process.

__init__(*args, **kwds)

Attributes

capped_by_pool_size	This signal was capped by the lit liquidity pool risk.
capped_by_concentration	This signal was capped by the concentration risk.
max_adjust_too_small	No trades were made because the maximum difference in old and new portfolio is not meaningful.
individual_trade_size_too_small	This pair was not adjusted because the trade to rebalance would be too small dollar wise
close_position_weight_limit	Position was not opened/was closed because its weight % in the portfolio is too small
closed	This signal led to closing the position (signal went to zero)

capped_by_pool_size = 'capped_by_pool_size'

This signal was capped by the lit liquidity pool risk.

capped_by_concentration = 'capped_by_concentration'

This signal was capped by the concentration risk.

max_adjust_too_small = 'max_adjust_too_small'

No trades were made because the maximum difference in old and new portfolio is not meaningful. Set on every signak.

individual_trade_size_too_small = 'individual_trade_size_too_small'

This pair was not adjusted because the trade to rebalance would be too small dollar wise

close_position_weight_limit = 'close_position_weight_limit'

Position was not opened/was closed because its weight % in the portfolio is too small

closed = 'closed'

This signal led to closing the position (signal went to zero)