modular_trader.framework.order_execution.threshold

Classes

ThresholdDeviationOrderExecution

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

Module Contents

class modular_trader.framework.order_execution.threshold.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