modular_trader.framework.order_execution

Submodules

• modular_trader.framework.order_execution.base
• modular_trader.framework.order_execution.instant
• modular_trader.framework.order_execution.threshold

Classes

BaseOrderExecution	Base class for order execution strategies.
InstantOrderExecution	Instantly execute orders from allocations
ThresholdDeviationOrderExecution	Execute orders when any current positions deviate from the allocation targets by certain threshold in percentage.

Package Contents

class modular_trader.framework.order_execution.BaseOrderExecution

Bases: abc.ABC

Base class for order execution strategies.

Note that run() is called by __call__() and should not be called directly.

__call__(context: modular_trader.context.Context, allocations: modular_trader.allocation.AllocationCollection) → None

Parameters:

• context (modular_trader.context.Context)

• allocations (modular_trader.allocation.AllocationCollection)

Return type:

None

abstract run(context: modular_trader.context.Context, allocations: modular_trader.allocation.AllocationCollection) → None

Execute orders from the given allocations.

This method is called by __call__() and should not be called directly.

Parameters:

• context (modular_trader.context.Context)

• allocations (modular_trader.allocation.AllocationCollection)

Return type:

None

class modular_trader.framework.order_execution.InstantOrderExecution

Bases: modular_trader.framework.order_execution.base.BaseOrderExecution

Instantly execute orders from allocations

Iterate through all allocations and place the corresponding orders. If an order is already pending, skip it. If the allocation is an AllocationTarget, close the position if weight is 0, otherwise place an order to set the weight to the target value. If the allocation is an AllocationAdjustment, place an order to adjust the weight by the target value.

run(context: modular_trader.context.Context, allocations: modular_trader.allocation.AllocationCollection) → None

Execute orders from the given allocations.

This method is called by __call__() and should not be called directly.

Parameters:

• context (modular_trader.context.Context)

• allocations (modular_trader.allocation.AllocationCollection)

Return type:

None

class modular_trader.framework.order_execution.ThresholdDeviationOrderExecution

Bases: modular_trader.framework.order_execution.instant.InstantOrderExecution

Execute orders when any current positions deviate from the allocation targets by certain threshold in percentage.

The threshold is in decimal format; e.g. 0.05 = 5%

Args:

threshold (float, optional): The threshold in decimal format. Defaults to 0.05.

run(context: modular_trader.context.Context, allocations: modular_trader.allocation.AllocationCollection) → None

Execute orders from the given allocations.

This method is called by __call__() and should not be called directly.

Parameters:

• context (modular_trader.context.Context)

• allocations (modular_trader.allocation.AllocationCollection)

Return type:

None

threshold: float = None