finance_risk.execution ====================== .. py:module:: finance_risk.execution Classes ------- .. autoapisummary:: finance_risk.execution.MarketImpactEstimate finance_risk.execution.ExecutionTrajectory Functions --------- .. autoapisummary:: finance_risk.execution.twap_schedule finance_risk.execution.vwap_schedule finance_risk.execution.almgren_chriss_market_impact finance_risk.execution.optimal_execution_trajectory Module Contents --------------- .. py:class:: MarketImpactEstimate(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: spread_cost :type: float .. py:attribute:: temporary_impact :type: float .. py:attribute:: permanent_impact :type: float .. py:attribute:: total_cost :type: float .. py:class:: ExecutionTrajectory(/, **data: Any) Bases: :py:obj:`pydantic.BaseModel` !!! abstract "Usage Documentation" [Models](../concepts/models.md) A base class for creating Pydantic models. .. attribute:: __class_vars__ The names of the class variables defined on the model. .. attribute:: __private_attributes__ Metadata about the private attributes of the model. .. attribute:: __signature__ The synthesized `__init__` [`Signature`][inspect.Signature] of the model. .. attribute:: __pydantic_complete__ Whether model building is completed, or if there are still undefined fields. .. attribute:: __pydantic_core_schema__ The core schema of the model. .. attribute:: __pydantic_custom_init__ Whether the model has a custom `__init__` function. .. attribute:: __pydantic_decorators__ Metadata containing the decorators defined on the model. This replaces `Model.__validators__` and `Model.__root_validators__` from Pydantic V1. .. attribute:: __pydantic_generic_metadata__ A dictionary containing metadata about generic Pydantic models. The `origin` and `args` items map to the [`__origin__`][genericalias.__origin__] and [`__args__`][genericalias.__args__] attributes of [generic aliases][types-genericalias], and the `parameter` item maps to the `__parameter__` attribute of generic classes. .. attribute:: __pydantic_parent_namespace__ Parent namespace of the model, used for automatic rebuilding of models. .. attribute:: __pydantic_post_init__ The name of the post-init method for the model, if defined. .. attribute:: __pydantic_root_model__ Whether the model is a [`RootModel`][pydantic.root_model.RootModel]. .. attribute:: __pydantic_serializer__ The `pydantic-core` `SchemaSerializer` used to dump instances of the model. .. attribute:: __pydantic_validator__ The `pydantic-core` `SchemaValidator` used to validate instances of the model. .. attribute:: __pydantic_fields__ A dictionary of field names and their corresponding [`FieldInfo`][pydantic.fields.FieldInfo] objects. .. attribute:: __pydantic_computed_fields__ A dictionary of computed field names and their corresponding [`ComputedFieldInfo`][pydantic.fields.ComputedFieldInfo] objects. .. attribute:: __pydantic_extra__ A dictionary containing extra values, if [`extra`][pydantic.config.ConfigDict.extra] is set to `'allow'`. .. attribute:: __pydantic_fields_set__ The names of fields explicitly set during instantiation. .. attribute:: __pydantic_private__ Values of private attributes set on the model instance. Create a new model by parsing and validating input data from keyword arguments. Raises [`ValidationError`][pydantic_core.ValidationError] if the input data cannot be validated to form a valid model. `self` is explicitly positional-only to allow `self` as a field name. .. py:attribute:: model_config Configuration for the model, should be a dictionary conforming to [`ConfigDict`][pydantic.config.ConfigDict]. .. py:attribute:: remaining :type: numpy.ndarray .. py:attribute:: trades :type: numpy.ndarray .. py:function:: twap_schedule(*, total_quantity: float, periods: int) -> numpy.ndarray .. py:function:: vwap_schedule(*, total_quantity: float, volume_curve: Any) -> numpy.ndarray .. py:function:: almgren_chriss_market_impact(*, quantity: float, volatility: float, daily_volume: float, spread: float = 0.0, temporary_impact: float = 0.1, permanent_impact: float = 0.1) -> MarketImpactEstimate Simple Almgren-Chriss style spread, temporary, and permanent cost estimate. .. py:function:: optimal_execution_trajectory(*, total_quantity: float, periods: int, risk_aversion: float = 1.0) -> ExecutionTrajectory Monotone liquidation trajectory with risk-aversion controlled front-loading.