feat: strategy builder
This commit is contained in:
@@ -179,6 +179,30 @@ def suggested_profile(scenario: ScenarioIn):
|
||||
return infer_natural_greek_profile(scenario.spot_shock_pct, scenario.iv_level_shift, scenario.horizon_days)
|
||||
|
||||
|
||||
class ReplayRequest(BaseModel):
|
||||
symbol: str
|
||||
legs: List[LegIn]
|
||||
start_date: str
|
||||
end_date: str
|
||||
contract_size: float = DEFAULT_CONTRACT_SIZE
|
||||
|
||||
|
||||
@router.post("/replay")
|
||||
def replay(req: ReplayRequest):
|
||||
"""Day-by-day mark-to-market of these exact legs against REAL accumulated Saxo
|
||||
history between two dates — not a scenario, a replay of what actually happened.
|
||||
See services.strategy_replay for why it's a distinct thing from /price's scenario
|
||||
pricing (which prices a hypothetical spot/IV shock, not real historical quotes)."""
|
||||
from services.strategy_replay import replay_position
|
||||
try:
|
||||
return replay_position(
|
||||
req.symbol, [leg.dict() for leg in req.legs], req.start_date, req.end_date,
|
||||
contract_size=req.contract_size,
|
||||
)
|
||||
except ValueError as e:
|
||||
raise HTTPException(status_code=404, detail=str(e))
|
||||
|
||||
|
||||
@router.post("/optimize")
|
||||
def optimize(req: OptimizeRequest):
|
||||
if req.constraints.max_legs > 4:
|
||||
|
||||
Reference in New Issue
Block a user