pybroker.config module

Contains configuration options.

class StrategyConfig(initial_cash: float = 100000, fee_mode: FeeMode | Callable[[FeeInfo], Decimal] | None = None, fee_amount: float = 0, enable_fractional_shares: bool = False, round_fill_price: bool = True, position_mode: PositionMode = PositionMode.DEFAULT, max_long_positions: int | None = None, max_short_positions: int | None = None, buy_delay: int = 1, sell_delay: int = 1, bootstrap_samples: int = 10000, exit_on_last_bar: bool = False, exit_cover_fill_price: PriceType | Callable[[str, BarData], int | float | Decimal] = PriceType.MIDDLE, exit_sell_fill_price: PriceType | Callable[[str, BarData], int | float | Decimal] = PriceType.MIDDLE, bars_per_year: int | None = None, return_signals: bool = False, return_stops: bool = False, round_test_result: bool = True, leverage: float = 1.0, interest_rate: float = 0.0, record_portfolio_bars: bool = False, record_position_bars: bool = False)

Bases: object

Configuration options for pybroker.strategy.Strategy.

initial_cash

Starting cash of strategy.

Type:

float

fee_mode

pybroker.common.FeeMode for calculating brokerage fees. Supports one of:

• ORDER_PERCENT: Fee is a percentage of order amount.

• PER_ORDER: Fee is a constant amount per order.

• PER_SHARE: Fee is a constant amount per share in order.

• Callable[[FeeInfo], Decimal]: Fees are calculated using a

  custom Callable that is passed pybroker.common.FeeInfo.

• None: Fees are disabled (default).

Type:

pybroker.common.FeeMode | Callable[[pybroker.common.FeeInfo], decimal.Decimal] | None

fee_amount

Brokerage fee amount.

Type:

float

enable_fractional_shares

Whether to enable trading fractional shares. Set to True for crypto trading. Defaults to False.

Type:

bool

round_fill_price

Whether to round fill prices to the nearest cent. Defaults to True.

Type:

bool

position_mode

Position mode for pybroker.strategy.Strategy. Supports one of:

• DEFAULT: Long and short positions.

• LONG_ONLY: Long-only positions.

• SHORT_ONLY: Short-only positions.

Type:

pybroker.common.PositionMode

buy_delay

Number of bars before placing an order for a buy signal. The default value of 1 places a buy order on the next bar. Must be > 0.

Type:

int

sell_delay

Number of bars before placing an order for a sell signal. The default value of 1 places a sell order on the next bar. Must be > 0.

Type:

int

bootstrap_samples

Number of samples used to compute boostrap metrics. Defaults to 10_000.

Type:

int

exit_on_last_bar

Whether to automatically exit any open positions on the last bar of data available for a symbol. Defaults to False.

Type:

bool

exit_cover_fill_price

Fill price for covering an open short position when exit_on_last_bar is True. Defaults to pybroker.common.PriceType.MIDDLE.

Type:

pybroker.common.PriceType | Callable[[str, pybroker.common.BarData], int | float | decimal.Decimal]

exit_sell_fill_price

Fill price for selling an open long position when exit_on_last_bar is True. Defaults to pybroker.common.PriceType.MIDDLE.

Type:

pybroker.common.PriceType | Callable[[str, pybroker.common.BarData], int | float | decimal.Decimal]

bars_per_year

Number of observations per year that will be used to annualize evaluation metrics. For example, a value of 252 would be used to annualize the Sharpe Ratio for daily returns. Also sets the accrual period for interest_rate, and is therefore required when interest_rate is set.

Type:

int | None

return_signals

When True, then bar data, indicator data, and model predictions are returned with pybroker.strategy.TestResult. Signals contain base-timeframe values only; an interval-bound indicator or model appears only when 'base' is included in its binding. Defaults to False.

Type:

bool

return_stops

When True, then stop values are returned with pybroker.strategy.TestResult. Defaults to False.

Type:

bool

round_test_result

When True, round values in pybroker.strategy.TestResult up to the nearest cent. Defaults to True.

Type:

bool

leverage

Account leverage multiplier for buying power on long and short positions. Default 1.0 uses cash-only buying. 2.0 allows positions up to 2x equity. Must be >= 1.0.

Type:

float

interest_rate

Annual interest rate, in percent, applied to net cash balance (cash - margin_loan). Charges interest when net cash is negative and credits interest when net cash is positive. Accrues once per bar at interest_rate / bars_per_year, so bars_per_year is required when this is set. Defaults to 0 (disabled).

Type:

float

record_portfolio_bars

When True, append full pybroker.portfolio.PortfolioBar snapshots to pybroker.portfolio.Portfolio.bars on every bar. When False (default), per-bar metrics are stored in a compact buffer used for pybroker.strategy.TestResult and pybroker.eval.EvalMetrics.

Type:

bool

record_position_bars

When True, append full pybroker.portfolio.PositionBar snapshots to pybroker.portfolio.Portfolio.position_bars on every bar. When False (default), pybroker.strategy.TestResult.positions is empty.

Type:

bool