Index

_

_books (tradingenv.exchange.Exchange attribute) _holdings_margins (tradingenv.broker.broker.Broker attribute)

_holdings_quantity (tradingenv.broker.broker.Broker attribute) _observed_events (tradingenv.events.Observer attribute)

A

AbstractContract (class in tradingenv.contracts) AbstractPolicy (class in tradingenv.policy) AbstractReward (class in tradingenv.rewards) AbstractTransmitter (class in tradingenv.transmitter) accrued_interest() (tradingenv.broker.broker.Broker method) acq_price (tradingenv.broker.trade.Trade attribute), [1] acq_price() (tradingenv.exchange.LimitOrderBook method) acq_prices() (tradingenv.exchange.Exchange method) act() (tradingenv.policy.AbstractPolicy method) (tradingenv.policy.RandomPolicy method) action_space (tradingenv.features.Feature attribute), [1] (tradingenv.policy.AbstractPolicy attribute)

add_custom_events() (tradingenv.transmitter.Transmitter method) add_events() (tradingenv.transmitter.AbstractTransmitter method) (tradingenv.transmitter.AsynchronousTransmitter method) (tradingenv.transmitter.Transmitter method) add_prices() (tradingenv.transmitter.Transmitter method) add_timesteps() (tradingenv.transmitter.Transmitter method) as_time() (tradingenv.transmitter.Folds method) ask_price (tradingenv.broker.trade.Trade attribute) (tradingenv.events.EventNBBO attribute) ask_prices() (tradingenv.exchange.Exchange method) ask_size (tradingenv.events.EventNBBO attribute) Asset (class in tradingenv.contracts) AsynchronousTransmitter (class in tradingenv.transmitter)

B

bid_price (tradingenv.broker.trade.Trade attribute) (tradingenv.events.EventNBBO attribute) bid_prices() (tradingenv.exchange.Exchange method)

bid_size (tradingenv.events.EventNBBO attribute) Broker (class in tradingenv.broker.broker) broker (tradingenv.features.Feature attribute), [1] BrokerFees (class in tradingenv.broker.fees)

C

cache() (in module tradingenv.state) calculate() (tradingenv.rewards.AbstractReward method) (tradingenv.rewards.LogReturn method) (tradingenv.rewards.RewardDifferentialSharpeRatio method) (tradingenv.rewards.RewardLogReturn method) (tradingenv.rewards.RewardPnL method) (tradingenv.rewards.RewardSimpleReturn method) Cash (class in tradingenv.contracts) cash_requirement (tradingenv.contracts.AbstractContract property) (tradingenv.contracts.Asset attribute) (tradingenv.contracts.Future attribute) (tradingenv.contracts.FutureChain attribute) (tradingenv.contracts.Rate attribute)

commissions() (tradingenv.broker.fees.BrokerFees method) (tradingenv.broker.fees.IBrokerFees method) (tradingenv.broker.fees.InteractiveBrokersFees method) Context (class in tradingenv.broker.broker) context() (tradingenv.broker.broker.Broker method) contract (tradingenv.broker.trade.Trade attribute) (tradingenv.events.EventNBBO attribute) cost_of_cash (tradingenv.broker.trade.Trade attribute), [1] cost_of_commissions (tradingenv.broker.trade.Trade attribute), [1] cost_of_commissions() (tradingenv.broker.track_record.TrackRecord method) cost_of_spread (tradingenv.broker.trade.Trade attribute) cost_of_spread() (tradingenv.broker.track_record.TrackRecord method)

E

EndOfEpisodeError ES (class in tradingenv.contracts) ETF (class in tradingenv.contracts) EventContractDiscontinued (class in tradingenv.events) EventDone (class in tradingenv.events) EventNBBO (class in tradingenv.events) EventNewDate (class in tradingenv.events) EventNewObservation (class in tradingenv.events) EventReset (class in tradingenv.events)

events (tradingenv.transmitter.Transmitter attribute) EventStep (class in tradingenv.events) Exchange (class in tradingenv.exchange) exchange (tradingenv.features.Feature attribute), [1] exists_since (tradingenv.contracts.ES attribute) (tradingenv.contracts.Future attribute) (tradingenv.contracts.NK attribute) (tradingenv.contracts.VX attribute) exists_until (tradingenv.contracts.Future attribute)

F

Feature (class in tradingenv.features) FeatureIsRTH (class in tradingenv.library) FeaturePortfolioWeight (class in tradingenv.library) FeaturePrices (class in tradingenv.library) FeatureSpread (class in tradingenv.library) fig_annual_returns() (tradingenv.broker.track_record.TrackRecord method) fig_capital_asset_pricing_model() (tradingenv.broker.track_record.TrackRecord method) fig_drawdown() (tradingenv.broker.track_record.TrackRecord method) fig_historical_portfolio_weights_actual() (tradingenv.broker.track_record.TrackRecord method) fig_historical_portfolio_weights_diff() (tradingenv.broker.track_record.TrackRecord method) fig_historical_portfolio_weights_target() (tradingenv.broker.track_record.TrackRecord method) fig_net_liquidation_value() (tradingenv.broker.track_record.TrackRecord method) (tradingenv.broker.track_record.TrackRecordComparison method)

fig_returns_distribution() (tradingenv.broker.track_record.TrackRecord method) fig_transaction_costs() (tradingenv.broker.track_record.TrackRecord method) fit_transformer() (tradingenv.features.Feature method) flatten() (tradingenv.state.State method) Folds (class in tradingenv.transmitter) freq (tradingenv.contracts.ES attribute) (tradingenv.contracts.Future property) (tradingenv.contracts.NK attribute) (tradingenv.contracts.VX attribute) Future (class in tradingenv.contracts) FutureChain (class in tradingenv.contracts)

H

holdings_margins (tradingenv.broker.broker.Broker property) holdings_quantity (tradingenv.broker.broker.Broker property)

holdings_values() (tradingenv.broker.broker.Broker method) holdings_weights() (tradingenv.broker.broker.Broker method)

I

IBrokerFees (class in tradingenv.broker.fees) IEvent (class in tradingenv.events)

Index (class in tradingenv.contracts) InteractiveBrokersFees (class in tradingenv.broker.fees) IState (class in tradingenv.state)

L

lead_contract() (tradingenv.contracts.FutureChain method) lifespan() (tradingenv.contracts.Future method) (tradingenv.contracts.FutureChain method) LimitOrderBook (class in tradingenv.exchange)

liq_price() (tradingenv.exchange.LimitOrderBook method) liq_prices() (tradingenv.exchange.Exchange method) listify() (in module tradingenv.library) load() (tradingenv.broker.track_record.TrackRecord class method) LogReturn (class in tradingenv.rewards)

M

make_events() (tradingenv.contracts.AbstractContract method) (tradingenv.contracts.Future method) (tradingenv.contracts.FutureChain method) make_policy() (in module tradingenv.policy) make_reward() (in module tradingenv.rewards) make_trades() (tradingenv.broker.rebalancing.Rebalancing method) margin_requirement (tradingenv.contracts.AbstractContract property) (tradingenv.contracts.Asset attribute) (tradingenv.contracts.ES property) (tradingenv.contracts.Future property) (tradingenv.contracts.FutureChain property) (tradingenv.contracts.NK property) (tradingenv.contracts.Rate attribute) (tradingenv.contracts.VX property) (tradingenv.contracts.ZB attribute) (tradingenv.contracts.ZF attribute) (tradingenv.contracts.ZN attribute) (tradingenv.contracts.ZQ attribute) (tradingenv.contracts.ZT attribute) marking_to_market() (tradingenv.broker.broker.Broker method) mid_price (tradingenv.exchange.LimitOrderBook property) mid_prices() (tradingenv.exchange.Exchange method) module tradingenv tradingenv.broker tradingenv.broker.allocation tradingenv.broker.broker tradingenv.broker.fees tradingenv.broker.rebalancing tradingenv.broker.track_record tradingenv.broker.trade tradingenv.contracts tradingenv.env tradingenv.events tradingenv.exchange tradingenv.features tradingenv.library tradingenv.metrics tradingenv.policy tradingenv.rewards tradingenv.spaces tradingenv.state tradingenv.transmitter

month_codes (tradingenv.contracts.Future attribute) multiplier (tradingenv.contracts.AbstractContract property) (tradingenv.contracts.Asset attribute) (tradingenv.contracts.ES attribute) (tradingenv.contracts.FutureChain property) (tradingenv.contracts.NK attribute) (tradingenv.contracts.Rate attribute) (tradingenv.contracts.VX attribute) (tradingenv.contracts.ZB attribute) (tradingenv.contracts.ZF attribute) (tradingenv.contracts.ZN attribute) (tradingenv.contracts.ZQ attribute) (tradingenv.contracts.ZT attribute)

N

net_liquidation_value() (tradingenv.broker.broker.Broker method) (tradingenv.broker.track_record.TrackRecord method) NK (class in tradingenv.contracts)

notify() (tradingenv.events.IEvent method) notional (tradingenv.broker.trade.Trade attribute) now (tradingenv.contracts.AbstractContract attribute), [1] NrContracts (class in tradingenv.broker.allocation)

O

observation_space (tradingenv.policy.AbstractPolicy attribute)

Observer (class in tradingenv.events)

P

parse() (tradingenv.features.Feature method) (tradingenv.library.FeatureIsRTH method) (tradingenv.library.FeaturePortfolioWeight method) (tradingenv.library.FeaturePrices method) (tradingenv.library.FeatureSpread method) (tradingenv.state.IState method) (tradingenv.state.State method)

PartitionTimeRanges (class in tradingenv.transmitter) process_EventContractDiscontinued() (tradingenv.exchange.Exchange method) process_EventNBBO() (tradingenv.exchange.Exchange method) process_EventNewObservation() (tradingenv.state.State method)

Q

quantity (tradingenv.broker.trade.Trade attribute)

R

RandomPolicy (class in tradingenv.policy) Rate (class in tradingenv.contracts) rebalance() (tradingenv.broker.broker.Broker method) Rebalancing (class in tradingenv.broker.rebalancing) reset() (tradingenv.events.Observer method) (tradingenv.features.Feature method) (tradingenv.rewards.AbstractReward method) (tradingenv.state.IState method)

RewardDifferentialSharpeRatio (class in tradingenv.rewards) RewardLogReturn (class in tradingenv.rewards) RewardPnL (class in tradingenv.rewards) RewardSimpleReturn (class in tradingenv.rewards)

S

save() (tradingenv.broker.track_record.TrackRecord method) size() (tradingenv.contracts.AbstractContract method) space (tradingenv.state.IState attribute) spread (tradingenv.exchange.LimitOrderBook property) spreads() (tradingenv.exchange.Exchange method) State (class in tradingenv.state) static_hashing() (tradingenv.contracts.AbstractContract method) (tradingenv.contracts.FutureChain method)

Stock (class in tradingenv.contracts) symbol (tradingenv.contracts.AbstractContract property) (tradingenv.contracts.Asset property) (tradingenv.contracts.Future property) (tradingenv.contracts.FutureChain property) (tradingenv.contracts.Rate property) symbol_short (tradingenv.contracts.AbstractContract property) (tradingenv.contracts.Future property) (tradingenv.contracts.FutureChain property)

T

tearsheet() (tradingenv.broker.track_record.TrackRecord method) terminate() (tradingenv.exchange.LimitOrderBook method) time (tradingenv.broker.trade.Trade attribute) (tradingenv.events.EventNBBO attribute) (tradingenv.events.IEvent attribute), [1] timesteps (tradingenv.transmitter.Transmitter attribute) to_excel() (tradingenv.broker.track_record.TrackRecord method) to_frame() (tradingenv.exchange.Exchange method) (tradingenv.exchange.LimitOrderBook method) to_list() (tradingenv.events.EventNewObservation method) to_pandas() (in module tradingenv.metrics) track_record (tradingenv.broker.broker.Broker attribute) TrackRecord (class in tradingenv.broker.track_record) TrackRecordComparison (class in tradingenv.broker.track_record) Trade (class in tradingenv.broker.trade) tradingenv module tradingenv.broker module tradingenv.broker.allocation module tradingenv.broker.broker module tradingenv.broker.fees module tradingenv.broker.rebalancing module tradingenv.broker.track_record module

tradingenv.broker.trade module tradingenv.contracts module tradingenv.env module tradingenv.events module tradingenv.exchange module tradingenv.features module tradingenv.library module tradingenv.metrics module tradingenv.policy module tradingenv.rewards module tradingenv.spaces module tradingenv.state module tradingenv.transmitter module transact() (tradingenv.broker.broker.Broker method) transaction_costs() (tradingenv.broker.track_record.TrackRecord method) Transmitter (class in tradingenv.transmitter)

U

underlyings (tradingenv.contracts.AbstractContract property) (tradingenv.contracts.FutureChain property)

update() (tradingenv.exchange.LimitOrderBook method)

V

verify() (tradingenv.contracts.AbstractContract method) (tradingenv.contracts.Rate method)

verify_overlaps() (tradingenv.transmitter.PartitionTimeRanges method) verify_start_before_end() (tradingenv.transmitter.PartitionTimeRanges method) VX (class in tradingenv.contracts)

W

walk_forward() (tradingenv.transmitter.Transmitter method) Weights (class in tradingenv.broker.allocation)

weights_actual() (tradingenv.broker.track_record.TrackRecord method) weights_target() (tradingenv.broker.track_record.TrackRecord method)

Z

ZB (class in tradingenv.contracts) ZF (class in tradingenv.contracts)

ZN (class in tradingenv.contracts) ZQ (class in tradingenv.contracts) ZT (class in tradingenv.contracts)