quantlab.portfolio.approximate.PanelPrices

class quantlab.portfolio.approximate.PanelPrices(previous, previous_entry, close, entry)

Bases: object

The book filled before a panel and the prices its holdings drift with: what decide reads besides the panel.

A rule whose decision reads the holdings (a turnover penalty) solves its bars in time order: the holdings at a bar are the book of the last bar it decided (or previous), its weights at their fill prices, marked at the bar’s close over the book’s value, cash included (quantlab.execution.approximate.mark_book). A bar it decides fills at its entry prices; a bar it holds leaves the book as it was.

Attributes:

previousnp.ndarray

[symbols]: the book’s weights decided before the first bar, cash excluded; zeros for none.

previous_entrynp.ndarray

[symbols]: the prices previous filled at.

closenp.ndarray

[bars, symbols]: each bar’s valuation price, forward-filled.

entrynp.ndarray

[bars, symbols]: the price each bar’s weights fill at.

Examples

>>> prices = PanelPrices(
...     previous=np.array([0.5, 0.5]), previous_entry=np.array([10.0, 20.0]),
...     close=np.array([[11.0, 20.0]]), entry=np.array([[11.0, 19.0]]),
... )
>>> prices.close.shape
(1, 2)