- rebalance_portfolio(position_manager, new_weights, portfolio_total_value, min_trade_threshold=10.0)[source]#
Rebalance a portfolio based on alpha model weights.
This will generate
Sells for the existing assets
Buys for new assetes or assets where we want to increase our position
portfolio – Portfolio of our existing holdings
Each weight tells how much a certain trading pair we should hold in our portfolio. Pair id -> weight mappings.
Each weight must be normalised in the range of 0…1 and the total sum of the weights must be 1.
portfolio_total_value (float) – Target portfolio value in USD
min_trade_threshold – If the notional value of a rebalance trade is smaller than this USD amount don’t make a trade.
position_manager (PositionManager) –
List of trades we need to execute to reach the target portfolio. The sells are sorted always before buys.
- Return type: