# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
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from typing import List, Optional
from qf_lib.backtesting.signals.signal import Signal
from qf_lib.backtesting.order.execution_style import MarketOrder
from qf_lib.backtesting.order.order import Order
from qf_lib.backtesting.order.time_in_force import TimeInForce
from qf_lib.backtesting.position_sizer.position_sizer import PositionSizer
from qf_lib.common.enums.frequency import Frequency
[docs]class SimplePositionSizer(PositionSizer):
"""
This SimplePositionSizer converts signals to orders which are the size of 100% of the current portfolio value
"""
def _generate_market_orders(self, signals: List[Signal], time_in_force: TimeInForce, frequency: Frequency = None) \
-> List[Optional[Order]]:
target_percentages = {
self._get_specific_ticker(signal.ticker): signal.suggested_exposure.value for signal in signals
}
market_order_list = self._order_factory.target_percent_orders(
target_percentages, MarketOrder(), time_in_force, frequency=frequency
)
return market_order_list