tradingo 0.0.37

Instrument price store

Tradingo

declarative signal and portfolio construction framework evaluated on a dag.

Create a yaml file 'config.yaml' like so

signals:
  signals.intraday_momentum.im-multi-asset-3:
    depends_on: ["sample.im-multi-asset-3"]
    function: "tradingo.signals.intraday_momentum"
    symbols_out:
      - "signals/intraday_momentum.im-multi-asset-3"
      - "signals/intraday_momentum.z_score.im-multi-asset-3"
      - "signals/intraday_momentum.short_vol.im-multi-asset-3"
      - "signals/intraday_momentum.long_vol.im-multi-asset-3"
      - "signals/intraday_momentum.previous_close_px.im-multi-asset-3"
    symbols_in:
      bid_close: "prices/im-multi-asset-3.bid.close"
      ask_close: "prices/im-multi-asset-3.ask.close"
    params:
      calendar: "NYSE"
      frequency: "15min"
      long_vol: 64
      short_vol: 6
      threshold: 1
      cap: 2
      close_offset_periods: 1
      monotonic: true
      vol_floor_window: 120
      only_with_close: false
      close_overrides:
        CC.D.CC.UMP.IP:
          hours: 18
          minutes: 0
          timezone: "Europe/London"
        CC.D.S.UMP.IP:
          hours: 19
          minutes: 0
          timezone: "Europe/London"

prices:
  include: "file://{{ TP_TEMPLATES }}/instruments.yaml"
  variables:
    include: "file://{{ TP_CONFIG_HOME }}/universes/im-multi-asset-3.yaml"
    start_date: "{{ data_interval_start }}"
    end_date: "{{ data_interval_end }}"

portfolio:
  include: "file://{{ TP_TEMPLATES }}/portfolio_construction.yaml"
  variables:
    backtest:
      price_ffill_limit: 5
    universe_name: im-multi-asset-3
    name: intraday
    model_weights:
      "intraday_momentum.im-multi-asset-3": 1.0
    portfolio:
      aum: 10000
      multiplier: 5

trading:
  include: "file://{{ TP_TEMPLATES }}/downstream_tasks.yaml"
  variables:
    portfolio_name: intraday
    universe_name: im-multi-asset-3

and $TP_CONFIG_HOME/universes/im-multi-asset-3.yaml

universe_name: im-multi-asset-3
raw_prices_lib: prices_igtrading
epics:
  - "CC.D.NG.UMP.IP"
  - "IX.D.SPTRD.IFS.IP"
  - "CC.D.LCO.UMP.IP"
  - "IR.D.10YEAR100.FWM2.IP"
  - "CC.D.CC.UMP.IP"
  - "CC.D.S.UMP.IP"
  - "IX.D.NASDAQ.IFS.IP"
  - "CS.D.CFPGOLD.CFP.IP"
interval: 15min
start_date: "2017-01-01 00:00:00+00:00"
end_date: "{{ data_interval_end }}"

Set the following:

1. TP_CONFIG_HOME
2. TP_ARCTIC_URI
3. IG_SERVICE_API_KEY
4. IG_SERVICE_ACC_TYPE
5. IG_SERVICE_USERNAME
6. IG_SERVICE_PASSWORD

And run

tradingo-cli --config ./config.yaml task run backtest --end-date "2025-04-04 00:00:00+00:00"