advanced-algorithmic-trading

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25.4.1 MonthlyLiquidateRebalanceStrategy
MonthlyLiquidateRebalanceStrategy contains new methods not present on the Strategy
base class. The first is _end_of_month. It simply uses the Python calendar module along with
the monthrange method to determine if the date passed is the final day of that particular month:
def _end_of_month(self, cur_time):
"""
Determine if the current day is at the end of the month.
"""
cur_day = cur_time.day
end_day = calendar.monthrange(cur_time.year, cur_time.month)[1]
return cur_day == end_day
The second method is _create_invested_list, which simply creates a dictionary from a
dictionary comprehension of all tickers as keys and boolean False as values. This tickers_invested
dict is used for "housekeeping" to check whether an asset has been purchased at the point of
carrying out subsequent trading logic.
This is necessary because on the first run through of the code the liquidation of the entire
portfolio is not required:
def _create_invested_list(self):
"""
Create a dictionary with each ticker as a key, with
a boolean value depending upon whether the ticker has
been "invested" yet. This is necessary to avoid sending
a liquidation signal on the first allocation.
"""
tickers_invested = {ticker: False for ticker in self.tickers}
return tickers_invested
The core logic for all Strategy-derived classes is encapsulated in the calculate_signals
method. This code initially checks whether the date of the current bar is the final day of the
month. If this is the case it then determines whether the portfolio has previously been purchased,
and if so, whether it should liquidate it fully prior to rebalancing.
Irrespective of the liquidation it simply sends a long signal ("BOT" in Interactive Brokers
terminology) to the events queue. It then updates the tickers_invested dict to show that this
ticker has now been purchased at least once:
def calculate_signals(self, event):
"""
For a particular received BarEvent, determine whether
it is the end of the month (for that bar) and generate
a liquidation signal, as well as a purchase signal,
for each ticker.
"""
if (
event.type in [EventType.BAR, EventType.TICK] and
self._end_of_month(event.time)