Make a derivs intrustment type table for alloc config checks
parent
d3587263db
commit
c1bdf0e26d
|
@ -284,6 +284,14 @@ class Allocator(BaseModel):
|
|||
return round(prop * self.slots)
|
||||
|
||||
|
||||
_derivs = (
|
||||
'future',
|
||||
'continuous_future',
|
||||
'option',
|
||||
'futures_option',
|
||||
)
|
||||
|
||||
|
||||
def mk_allocator(
|
||||
|
||||
symbol: Symbol,
|
||||
|
@ -322,12 +330,7 @@ def mk_allocator(
|
|||
|
||||
# specific configs by asset class / type
|
||||
|
||||
if asset_type in (
|
||||
'future',
|
||||
'continuous_future',
|
||||
'option',
|
||||
'futures_option',
|
||||
):
|
||||
if asset_type in _derivs:
|
||||
# since it's harder to know how currency "applies" in this case
|
||||
# given leverage properties
|
||||
alloc.size_unit = '# units'
|
||||
|
@ -350,7 +353,7 @@ def mk_allocator(
|
|||
if startup_size > alloc.units_limit:
|
||||
alloc.units_limit = startup_size
|
||||
|
||||
if asset_type in ('future', 'option', 'futures_option'):
|
||||
if asset_type in _derivs:
|
||||
alloc.slots = alloc.units_limit
|
||||
|
||||
return alloc
|
||||
|
|
Loading…
Reference in New Issue