Optimization Engine API (Multi-period) client library for Python
Project description
Optimization Engine API (Multi-period) client library for Python
No description provided (generated by Openapi Generator https://github.com/openapitools/openapi-generator)
This Python package is automatically generated by the OpenAPI Generator project:
- API version: 1
- Package version: 0.21.5
- Build package: org.openapitools.codegen.languages.PythonClientCodegen
Requirements
- Python >= 3.7
Installation
Poetry
poetry add fds.sdk.utils fds.sdk.OptimizationEngineAPIMultiperiod
pip
pip install fds.sdk.utils fds.sdk.OptimizationEngineAPIMultiperiod
Usage
- Generate authentication credentials.
- Setup Python environment.
-
Install and activate python 3.7+. If you're using pyenv:
pyenv install 3.9.7 pyenv shell 3.9.7
-
(optional) Install poetry.
-
- Install dependencies.
- Run the following:
from fds.sdk.utils.authentication import ConfidentialClient
import fds.sdk.OptimizationEngineAPIMultiperiod
from fds.sdk.OptimizationEngineAPIMultiperiod.api import default_api
from fds.sdk.OptimizationEngineAPIMultiperiod.models import *
from dateutil.parser import parse as dateutil_parser
from pprint import pprint
# See configuration.py for a list of all supported configuration parameters.
# Examples for each supported authentication method are below,
# choose one that satisfies your use case.
# (Preferred) OAuth 2.0: FactSetOAuth2
# See https://github.com/FactSet/enterprise-sdk#oauth-20
# for information on how to create the app-config.json file
# See https://github.com/FactSet/enterprise-sdk-utils-python#authentication
# for more information on using the ConfidentialClient class
configuration = fds.sdk.OptimizationEngineAPIMultiperiod.Configuration(
fds_oauth_client=ConfidentialClient('/path/to/app-config.json')
)
# Basic authentication: FactSetApiKey
# See https://github.com/FactSet/enterprise-sdk#api-key
# for information how to create an API key
# configuration = fds.sdk.OptimizationEngineAPIMultiperiod.Configuration(
# username='USERNAME-SERIAL',
# password='API-KEY'
# )
# Enter a context with an instance of the API client
with fds.sdk.OptimizationEngineAPIMultiperiod.ApiClient(configuration) as api_client:
# Create an instance of the API class
api_instance = default_api.DefaultApi(api_client)
# NOTE: The parameter variable defined below is just an example and may potentially contain non valid values. So please replace this with valid values.
multi_period_input = OptimizerInputsMultiPeriodInput(
strategy=OptimizerInputsMultiPeriodStrategy(
objective=OptimizerInputsMultiPeriodObjective(
factor_exposure=[
OptimizerInputsMPFactorExposureTerm(
term=OptimizerInputsFactorExposureTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
factors=[
"factors_example",
],
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
rel_to_benchmark=True,
benchmark_index=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
volatility=[
OptimizerInputsMPVolatilityTerm(
term=OptimizerInputsVolatilityTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
risk_type=OptimizerInputsEObjectiveRiskTypeEnum(0),
factors=[
"factors_example",
],
active_risk=True,
benchmark_index=1,
),
term_on=OptimizerInputsBoundSourceEnum(0),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
general_linear=[
OptimizerInputsMPGeneralLinearTerm(
term=OptimizerInputsGeneralLinearTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
attribute=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
method=OptimizerInputsEAggregationMethodEnum(0),
rel_to_benchmark=True,
benchmark_index=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
expected_return=[
OptimizerInputsMPExpectedReturnTerm(
term=OptimizerInputsExpectedReturnTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
return_values=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
use_alpha=True,
rel_to_benchmark=True,
benchmark_index=1,
),
term_on=OptimizerInputsBoundSourceEnum(0),
annualization_factor=3.14,
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
sensitivity=[
OptimizerInputsMPSensitivityTerm(
term=OptimizerInputsSensitivityTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
sensitivity_attribute=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
rel_to_benchmark=True,
benchmark_index=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
objective_ratio=OptimizerInputsMPObjectiveRatioTerm(
sharpe_ratio=OptimizerInputsSharpeRatioTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
risk_free_rate=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
active_risk=True,
benchmark_index=1,
),
starr=OptimizerInputsSTARRTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
risk_free_rate=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
confidence_level=3.14,
use_centered_etl=True,
active_risk=True,
benchmark_index=1,
),
diversification_ratio=OptimizerInputsDiversificationRatioTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
tail_risk=[
OptimizerInputsMPTailRiskTerm(
term=OptimizerInputsTailRiskTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
risk_measure=OptimizerInputsTailRiskMeasureEnum(0),
confidence_level=3.14,
use_centered_etl=True,
active_risk=True,
benchmark_index=1,
),
term_on=OptimizerInputsBoundSourceEnum(0),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
target_probability=[
OptimizerInputsMPTargetProbabilityTerm(
term=OptimizerInputsTargetProbabilityTerm(
name="name_example",
multiplier=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
direction=OptimizerInputsEObjectiveTermDirectionEnum(0),
threshold_min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
threshold_max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
constrain_on=OptimizerInputsBoundSourceEnum(0),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
),
constraints=OptimizerInputsMultiPeriodConstraints(
expected_returns=[
OptimizerInputsMPExpectedReturnConstraint(
constraint=OptimizerInputsExpectedReturnConstraint(
name="name_example",
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
return_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
use_strategy_return_value=True,
penalty=OptimizerInputsPenalty(
enabled=True,
penalty_type=OptimizerInputsEConstraintPenaltyTypeEnum(0),
penalty_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_violation=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
return_type=OptimizerInputsEConstraintReturnTypeEnum(0),
rel_to_benchmark=True,
benchmark_index=1,
hierarchy=1,
),
constraint_on=OptimizerInputsBoundSourceEnum(0),
annualization_factor=3.14,
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
diversification=[
OptimizerInputsMPDiversificationConstraint(
constraint=OptimizerInputsDiversificationConstraint(
name="name_example",
asset_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_percent=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
penalty=OptimizerInputsPenalty(
enabled=True,
penalty_type=OptimizerInputsEConstraintPenaltyTypeEnum(0),
penalty_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_violation=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
unit=OptimizerInputsEConstraintUnitTypeEnum(0),
level=OptimizerInputsEConstraintLevelEnum(0),
hierarchy=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
factor_exposures=[
OptimizerInputsMPFactorExposureConstraint(
constraint=OptimizerInputsFactorExposureConstraint(
name="name_example",
penalty=OptimizerInputsPenalty(
enabled=True,
penalty_type=OptimizerInputsEConstraintPenaltyTypeEnum(0),
penalty_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_violation=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
rel_to_benchmark=True,
benchmark_index=1,
factors=OptimizerInputsFactorExposureAttributes(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
hierarchy=1,
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
general_linear=[
OptimizerInputsMPGeneralLinearConstraint(
constraint=OptimizerInputsGeneralLinearConstraint(
name="name_example",
security_attribute=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
penalty=OptimizerInputsPenalty(
enabled=True,
penalty_type=OptimizerInputsEConstraintPenaltyTypeEnum(0),
penalty_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_violation=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
weighting_method=OptimizerInputsEWeightingMethodTypeEnum(0),
level=OptimizerInputsEConstraintLevelEnum(0),
hierarchy=1,
rel_to_benchmark=True,
benchmark_index=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
holding_threshold=[
OptimizerInputsMPHoldingsThresholdConstraint(
constraint=OptimizerInputsHoldingsThresholdConstraint(
name="name_example",
custom_asset=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
asset_type=OptimizerInputsEFPOConstraintAssetTypeEnum(0),
level=OptimizerInputsEConstraintLevelEnum(0),
unit=OptimizerInputsEConstraintUnitTypeEnum(0),
hierarchy=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
leverage=[
OptimizerInputsMPLeverageConstraint(
constraint=OptimizerInputsLeverageConstraint(
name="name_example",
value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
value_type=OptimizerInputsELeverageValueTypeEnum(0),
hierarchy=1,
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
num_of_assets=[
OptimizerInputsMPNumberofAssetsConstraint(
constraint=OptimizerInputsNumberofAssetsConstraint(
name="name_example",
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
hierarchy=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
sensitivity=[
OptimizerInputsMPSensitivityConstraint(
constraint=OptimizerInputsSensitivityConstraint(
name="name_example",
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
sensitivity_attribute=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
penalty=OptimizerInputsPenalty(
enabled=True,
penalty_type=OptimizerInputsEConstraintPenaltyTypeEnum(0),
penalty_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_violation=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
rel_to_benchmark=True,
benchmark_index=1,
hierarchy=1,
unit=OptimizerInputsEConstraintUnitTypeEnum(0),
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
weight_constraint=[
OptimizerInputsMPHoldingsWeightConstraint(
constraint=OptimizerInputsHoldingsWeightConstraint(
name="name_example",
custom_asset=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
penalty=OptimizerInputsPenalty(
enabled=True,
penalty_type=OptimizerInputsEConstraintPenaltyTypeEnum(0),
penalty_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_violation=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
unit=OptimizerInputsEConstraintUnitTypeEnum(0),
weight_type=OptimizerInputsEFPOConstraintWeightTypeEnum(0),
level=OptimizerInputsEConstraintLevelEnum(0),
asset_type=OptimizerInputsEFPOConstraintAssetTypeEnum(0),
rel_to_benchmark=True,
benchmark_index=1,
hierarchy=1,
apply_only_to_direct=True,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
number_of_buys=[
OptimizerInputsMPNumberOfBuysConstraint(
constraint=OptimizerInputsNumberOfBuysConstraint(
name="name_example",
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
hierarchy=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
number_of_sells=[
OptimizerInputsMPNumberOfSellsConstraint(
constraint=OptimizerInputsNumberOfSellsConstraint(
name="name_example",
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
hierarchy=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
round_lots=[
OptimizerInputsMPRoundlotsConstraint(
constraint=OptimizerInputsRoundlotsConstraint(
name="name_example",
asset_level=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
custom_asset=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
asset_type=OptimizerInputsEFPOConstraintAssetTypeEnum(0),
general_value=3.14,
hierarchy=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
trade_threshold=[
OptimizerInputsMPTradeThresholdConstraint(
constraint=OptimizerInputsTradeThresholdConstraint(
name="name_example",
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
custom_asset=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
unit=OptimizerInputsEConstraintUnitTypeEnum(0),
asset_type=OptimizerInputsEFPOConstraintAssetTypeEnum(0),
hierarchy=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
trading_turnover=[
OptimizerInputsMPTurnoverConstraint(
constraint=OptimizerInputsTurnoverConstraint(
name="name_example",
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
custom_asset=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
penalty=OptimizerInputsPenalty(
enabled=True,
penalty_type=OptimizerInputsEConstraintPenaltyTypeEnum(0),
penalty_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_violation=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
value_type=OptimizerInputsEConstraintValueTypeEnum(0),
asset_type=OptimizerInputsEFPOConstraintAssetTypeEnum(0),
turnover_type=OptimizerInputsEConstraintTurnoverTypeEnum(0),
hierarchy=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
risk_contribution=[
OptimizerInputsMPRiskContributionConstraint(
constraint=OptimizerInputsRiskContributionConstraint(
name="name_example",
max_percent=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
custom_asset=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
level=OptimizerInputsEConstraintLevelEnum(0),
asset_type=OptimizerInputsEFPOConstraintAssetTypeEnum(0),
risk_type=OptimizerInputsEConstraintRiskTypeEnum(0),
hierarchy=1,
),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
risk_volatility=[
OptimizerInputsMPRiskVolatilityConstraint(
constraint=OptimizerInputsRiskVolatilityConstraint(
name="name_example",
max_value_of_risk=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
level=OptimizerInputsEConstraintLevelEnum(0),
penalty=OptimizerInputsPenalty(
enabled=True,
penalty_type=OptimizerInputsEConstraintPenaltyTypeEnum(0),
penalty_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_violation=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
groups=[
OptimizerInputsConstraintGroup(
min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
id="id_example",
nested_groups=[],
group_lookup_index=1,
),
],
risk_type=OptimizerInputsEConstraintRiskTypeEnum(0),
active_risk=True,
benchmark_index=1,
hierarchy=1,
),
constraint_on=OptimizerInputsBoundSourceEnum(0),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
tail_risk=[
OptimizerInputsMPLimitTailRiskConstraint(
constraint=OptimizerInputsLimitTailRiskConstraint(
name="name_example",
risk_measure=OptimizerInputsTailRiskMeasureEnum(0),
max_risk=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
confidence_level=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
penalty=OptimizerInputsPenalty(
enabled=True,
penalty_type=OptimizerInputsEConstraintPenaltyTypeEnum(0),
penalty_value=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_violation=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
active_risk=True,
benchmark_index=1,
hierarchy=1,
),
constraint_on=OptimizerInputsBoundSourceEnum(0),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
target_probability=[
OptimizerInputsMPTargetProbabilityConstraint(
constraint=OptimizerInputsTargetProbabilityConstraint(
name="name_example",
threshold_min=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
threshold_max=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
min_probability=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
max_probability=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
hierarchy=1,
),
constraint_on=OptimizerInputsBoundSourceEnum(0),
on_periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
across_periods=OptimizerInputsAcrossPeriods(
start_period=1,
end_period=1,
rolling=OptimizerInputsAcrossPeriodsRollingPeriods(
frequency=1,
method=OptimizerInputsRollingMethodEnum(0),
),
),
),
],
),
transaction_cost=OptimizerInputsTransactionCost(
unit_type=OptimizerInputsETransactionCostUnitTypeEnum(0),
buy_cost=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
sell_cost=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
),
options=OptimizerInputsMultiPeriodOptions(
options=OptimizerInputsOptions(
max_run_time=1,
convergence_tolerance=3.14,
cash_flow_formula=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
convert_weights_to_cash_for_ip=True,
convert_weights_to_cash_for_bmk=True,
composite_asset_lookthrough_level=1,
),
weight_rebalance_periods=[
1,
],
total_periods_count=1,
initial_point_randomization_count=1,
),
expected_return=OptimizerInputsExpectedReturn(
alpha=OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
alpha_unit=OptimizerInputsEAlphaUnitTypeEnum(0),
),
),
universe=OptimizerInputsTotalUniverse(
assets=[
OptimizerInputsAsset(
symbol="symbol_example",
price=3.14,
),
],
composite_assets=OptimizerInputsCompositeAsset(
constituents=[
OptimizerInputsCompositeConstituent(
univ_index=1,
weight=3.14,
price=OptimizerInputsAssetPrice(
source=OptimizerInputsAssetPriceEPriceSource(0),
price_override=3.14,
),
),
],
),
derivatives=OptimizerInputsDerivative(
offset_index=1,
future=OptimizerInputsDerivativeFuture(
contract_size=3.14,
method=OptimizerInputsDerivativeFutureEComputationMethodEnum(0),
using_pa_multiply=True,
),
forward=True,
),
),
portfolios=OptimizerInputsPortfolios(
initial=OptimizerInputsPortfolio(
holdings=[
OptimizerInputsPortfolioItem(
univ_index=1,
price=OptimizerInputsAssetPrice(
source=OptimizerInputsAssetPriceEPriceSource(0),
price_override=3.14,
),
shares=3.14,
),
],
),
benchmarks=[
OptimizerInputsPortfolio(
holdings=[
OptimizerInputsPortfolioItem(
univ_index=1,
price=OptimizerInputsAssetPrice(
source=OptimizerInputsAssetPriceEPriceSource(0),
price_override=3.14,
),
shares=3.14,
),
],
),
],
buylist=[
OptimizerInputsBuyListItem(
univ_index=1,
price=OptimizerInputsAssetPrice(
source=OptimizerInputsAssetPriceEPriceSource(0),
price_override=3.14,
),
),
],
cash_univ_index=1,
),
riskmodels=OptimizerInputsMultiPeriodRiskModels(
risk_models=[
OptimizerInputsRiskModelForPeriods(
risk_model=OptimizerInputsRiskModel(
simulated_risk_model=OptimizerInputsSimulatedRiskModel(
raw_data=VARDistributionDataMessage(
description=VARDistributionDescription(
risk_model="risk_model_example",
factor_group="factor_group_example",
factors=[
"factors_example",
],
distribution_type=VARDistributionType(0),
report_date=1,
report_currency="report_currency_example",
horizon_in_trading_days=3.14,
return_dates=[
1,
],
),
security_simulations=[
VARSimulatedReturns(
entity="entity_example",
returns=[
3.14,
],
),
],
status=VARDistributionStatus(
indicator=VARStatusIndicator(0),
message="message_example",
),
),
request_info=OptimizerInputsSimulatedRiskRequestInfo(
url="url_example",
lima_header="lima_header_example",
),
),
quant_risk_model=OptimizerInputsQuantRiskModel(
raw_data=OptimizerInputsQuantRiskModelRawData(
labels=OptimizerInputsLabels(
factor=OptimizerInputsFactor(
ids=[
"ids_example",
],
names=[
"names_example",
],
),
security=OptimizerInputsSecurity(
ids=[
"ids_example",
],
),
),
raw_asset_covariance_matrix=OptimizerInputsSparseMatrix(
rows=1,
columns=1,
index_pointer=[
1,
],
indices=[
1,
],
value=[
3.14,
],
),
raw_factor_exposure=OptimizerInputsSparseMatrix(
rows=1,
columns=1,
index_pointer=[
1,
],
indices=[
1,
],
value=[
3.14,
],
),
raw_factor_covariance_matrix=OptimizerInputsDenseMatrix(
value=[
GoogleProtobufListValue(
values=[
OptimizerInputsValue(
value_type=OptimizerInputsEValueTypeEnum(0),
raw_value=3.14,
ref_index=1,
),
],
),
],
),
risk_model_coverage_flag=[
1,
],
),
request_info=OptimizerInputsQuantRiskRequestInfo(
service_url="service_url_example",
json_post_body="json_post_body_example",
lima_header="lima_header_example",
pickup_base_url="pickup_base_url_example",
),
),
raw_model=OptimizerInputsRawRiskModel(
simulations=[
OptimizerInputsRawRiskModelSimulations(
id="id_example",
simulated_returns=[
3.14,
],
),
],
),
),
periods=OptimizerInputsOnPeriods(
periods=[
1,
],
),
),
],
),
lookup_tables=OptimizerInputsLookupTables(
groups=[
OptimizerInputsGroupDefinition(
univ_indices=[
1,
],
),
],
values=[
OptimizerInputsValueReference(
asset_values=3.14,
),
],
),
output_statistics=True,
) # OptimizerInputsMultiPeriodInput | Multiperiod protobuf input (optional)
try:
api_response = api_instance.mpo_v1_optimize_fpo_post(multi_period_input=multi_period_input)
pprint(api_response)
except fds.sdk.OptimizationEngineAPIMultiperiod.ApiException as e:
print("Exception when calling DefaultApi->mpo_v1_optimize_fpo_post: %s\n" % e)
# Get response, http status code and response headers
# try:
# api_response, http_status_code, response_headers = api_instance.mpo_v1_optimize_fpo_post_with_http_info(multi_period_input=multi_period_input)
# pprint(api_response)
# pprint(http_status_code)
# pprint(response_headers)
# except fds.sdk.OptimizationEngineAPIMultiperiod.ApiException as e:
# print("Exception when calling DefaultApi->mpo_v1_optimize_fpo_post: %s\n" % e)
# Get response asynchronous
# try:
# async_result = api_instance.mpo_v1_optimize_fpo_post_async(multi_period_input=multi_period_input)
# api_response = async_result.get()
# pprint(api_response)
# except fds.sdk.OptimizationEngineAPIMultiperiod.ApiException as e:
# print("Exception when calling DefaultApi->mpo_v1_optimize_fpo_post: %s\n" % e)
# Get response, http status code and response headers asynchronous
# try:
# async_result = api_instance.mpo_v1_optimize_fpo_post_with_http_info_async(multi_period_input=multi_period_input)
# api_response, http_status_code, response_headers = async_result.get()
# pprint(api_response)
# pprint(http_status_code)
# pprint(response_headers)
# except fds.sdk.OptimizationEngineAPIMultiperiod.ApiException as e:
# print("Exception when calling DefaultApi->mpo_v1_optimize_fpo_post: %s\n" % e)
Using Pandas
To convert an API response to a Pandas DataFrame, it is necessary to transform it first to a dictionary.
import pandas as pd
response_dict = api_response.to_dict()['data']
simple_json_response = pd.DataFrame(response_dict)
nested_json_response = pd.json_normalize(response_dict)
Debugging
The SDK uses the standard library logging module.
Setting debug to True on an instance of the Configuration class sets the log-level of related packages to DEBUG
and enables additional logging in Pythons HTTP Client.
Note: This prints out sensitive information (e.g. the full request and response). Use with care.
import logging
import fds.sdk.OptimizationEngineAPIMultiperiod
logging.basicConfig(level=logging.DEBUG)
configuration = fds.sdk.OptimizationEngineAPIMultiperiod.Configuration(...)
configuration.debug = True
Documentation for API Endpoints
All URIs are relative to http://localhost
| Class | Method | HTTP request | Description |
|---|---|---|---|
| DefaultApi | mpo_v1_optimize_fpo_post | POST /mpo/v1/optimizeFPO |
Documentation For Models
- GoogleProtobufListValue
- GoogleProtobufNullValue
- GoogleProtobufStruct
- GoogleProtobufValue
- OptimizerInputsAcrossPeriods
- OptimizerInputsAcrossPeriodsRollingPeriods
- OptimizerInputsAsset
- OptimizerInputsAssetPrice
- OptimizerInputsAssetPriceEPriceSource
- OptimizerInputsBoundSourceEnum
- OptimizerInputsBuyListItem
- OptimizerInputsCompositeAsset
- OptimizerInputsCompositeConstituent
- OptimizerInputsConstraintGroup
- OptimizerInputsConstraints
- OptimizerInputsDenseMatrix
- OptimizerInputsDerivative
- OptimizerInputsDerivativeFuture
- OptimizerInputsDerivativeFutureEComputationMethodEnum
- OptimizerInputsDiversificationConstraint
- OptimizerInputsDiversificationRatioTerm
- OptimizerInputsDrawdownTerm
- OptimizerInputsEAggregationMethodEnum
- OptimizerInputsEAlphaUnitTypeEnum
- OptimizerInputsEConstraintGroupTypeEnum
- OptimizerInputsEConstraintLevelEnum
- OptimizerInputsEConstraintPenaltyTypeEnum
- OptimizerInputsEConstraintReturnTypeEnum
- OptimizerInputsEConstraintRiskRelativeInterpretationTypeEnum
- OptimizerInputsEConstraintRiskTypeEnum
- OptimizerInputsEConstraintTurnoverTypeEnum
- OptimizerInputsEConstraintUnitTypeEnum
- OptimizerInputsEConstraintValueTypeEnum
- OptimizerInputsEFPOConstraintAssetTypeEnum
- OptimizerInputsEFPOConstraintWeightTypeEnum
- OptimizerInputsELeverageValueTypeEnum
- OptimizerInputsEObjectiveRiskTypeEnum
- OptimizerInputsEObjectiveTermDirectionEnum
- OptimizerInputsETransactionCostUnitTypeEnum
- OptimizerInputsEValueTypeEnum
- OptimizerInputsEWeightingMethodTypeEnum
- OptimizerInputsExpectedReturn
- OptimizerInputsExpectedReturnConstraint
- OptimizerInputsExpectedReturnTerm
- OptimizerInputsExpectedTailLossTerm
- OptimizerInputsFactor
- OptimizerInputsFactorExposureAttributes
- OptimizerInputsFactorExposureConstraint
- OptimizerInputsFactorExposureTerm
- OptimizerInputsFrontierSettings
- OptimizerInputsGeneralLinearConstraint
- OptimizerInputsGeneralLinearTerm
- OptimizerInputsGroupDefinition
- OptimizerInputsHoldingsThresholdConstraint
- OptimizerInputsHoldingsWeightConstraint
- OptimizerInputsLabels
- OptimizerInputsLeverageConstraint
- OptimizerInputsLimitRiskETLConstraint
- OptimizerInputsLimitTailRiskConstraint
- OptimizerInputsLookupTables
- OptimizerInputsMPDiversificationConstraint
- OptimizerInputsMPExpectedReturnConstraint
- OptimizerInputsMPExpectedReturnTerm
- OptimizerInputsMPFactorExposureConstraint
- OptimizerInputsMPFactorExposureTerm
- OptimizerInputsMPFrontierInput
- OptimizerInputsMPGeneralLinearConstraint
- OptimizerInputsMPGeneralLinearTerm
- OptimizerInputsMPHoldingsThresholdConstraint
- OptimizerInputsMPHoldingsWeightConstraint
- OptimizerInputsMPLeverageConstraint
- OptimizerInputsMPLimitTailRiskConstraint
- OptimizerInputsMPNumberOfBuysConstraint
- OptimizerInputsMPNumberOfSellsConstraint
- OptimizerInputsMPNumberofAssetsConstraint
- OptimizerInputsMPObjectiveRatioTerm
- OptimizerInputsMPRiskContributionConstraint
- OptimizerInputsMPRiskVolatilityConstraint
- OptimizerInputsMPRoundlotsConstraint
- OptimizerInputsMPSensitivityConstraint
- OptimizerInputsMPSensitivityTerm
- OptimizerInputsMPTailRiskTerm
- OptimizerInputsMPTargetProbabilityConstraint
- OptimizerInputsMPTargetProbabilityTerm
- OptimizerInputsMPTradeThresholdConstraint
- OptimizerInputsMPTransactionCostConstraint
- OptimizerInputsMPTurnoverConstraint
- OptimizerInputsMPVolatilityTerm
- OptimizerInputsMultiPeriodConstraints
- OptimizerInputsMultiPeriodInput
- OptimizerInputsMultiPeriodObjective
- OptimizerInputsMultiPeriodOptions
- OptimizerInputsMultiPeriodRiskModels
- OptimizerInputsMultiPeriodStrategy
- OptimizerInputsNumberOfBuysConstraint
- OptimizerInputsNumberOfSellsConstraint
- OptimizerInputsNumberofAssetsConstraint
- OptimizerInputsObjective
- OptimizerInputsOnPeriods
- OptimizerInputsOptions
- OptimizerInputsPenalty
- OptimizerInputsPortfolio
- OptimizerInputsPortfolioItem
- OptimizerInputsPortfolios
- OptimizerInputsQuantRiskModel
- OptimizerInputsQuantRiskModelRawData
- OptimizerInputsQuantRiskRequestInfo
- OptimizerInputsRange
- OptimizerInputsRawRiskModel
- OptimizerInputsRawRiskModelSimulations
- OptimizerInputsRiskContributionConstraint
- OptimizerInputsRiskModel
- OptimizerInputsRiskModelForPeriods
- OptimizerInputsRiskParityTerm
- OptimizerInputsRiskVolatilityConstraint
- OptimizerInputsRollingMethodEnum
- OptimizerInputsRoundlotsConstraint
- OptimizerInputsSTARRTerm
- OptimizerInputsSecurity
- OptimizerInputsSensitivityConstraint
- OptimizerInputsSensitivityTerm
- OptimizerInputsSharpeRatioTerm
- OptimizerInputsSimulatedRiskModel
- OptimizerInputsSimulatedRiskRequestInfo
- OptimizerInputsSparseMatrix
- OptimizerInputsSpecificPoints
- OptimizerInputsStartEndRange
- OptimizerInputsTailRiskMeasureEnum
- OptimizerInputsTailRiskTerm
- OptimizerInputsTargetProbabilityConstraint
- OptimizerInputsTargetProbabilityTerm
- OptimizerInputsTotalUniverse
- OptimizerInputsTradeThresholdConstraint
- OptimizerInputsTradingLimitTradeConstraint
- OptimizerInputsTransactionCost
- OptimizerInputsTransactionCostConstraint
- OptimizerInputsTransactionCostTerm
- OptimizerInputsTurnoverConstraint
- OptimizerInputsValue
- OptimizerInputsValueReference
- OptimizerInputsVolatilityTerm
- OptimizerOutputsMultiPeriodOutput
- OptimizerOutputsPeriods
- VARDistributionDataMessage
- VARDistributionDescription
- VARDistributionStatus
- VARDistributionType
- VARSimulatedReturns
- VARStatusIndicator
Documentation For Authorization
FactSetApiKey
- Type: HTTP basic authentication
FactSetOAuth2
- Type: OAuth
- Flow: application
- Authorization URL:
- Scopes: N/A
Notes for Large OpenAPI documents
If the OpenAPI document is large, imports in fds.sdk.OptimizationEngineAPIMultiperiod.apis and fds.sdk.OptimizationEngineAPIMultiperiod.models may fail with a RecursionError indicating the maximum recursion limit has been exceeded. In that case, there are a couple of solutions:
Solution 1: Use specific imports for apis and models like:
from fds.sdk.OptimizationEngineAPIMultiperiod.api.default_api import DefaultApifrom fds.sdk.OptimizationEngineAPIMultiperiod.model.pet import Pet
Solution 2: Before importing the package, adjust the maximum recursion limit as shown below:
import sys
sys.setrecursionlimit(1500)
import fds.sdk.OptimizationEngineAPIMultiperiod
from fds.sdk.OptimizationEngineAPIMultiperiod.apis import *
from fds.sdk.OptimizationEngineAPIMultiperiod.models import *
Contributing
Please refer to the contributing guide.
Copyright
Copyright 2022 FactSet Research Systems Inc
Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at
http://www.apache.org/licenses/LICENSE-2.0
Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.
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