def _execution_price(self, data_handler: DataHandler) -> float:
btic_fixings = data_handler.get_data_range(self.window.start, self.window.end,
self.btic_instrument, ValuationFixingType.PRICE)
btic_twap = np.mean(btic_fixings)
close = data_handler.get_data(self.window.end.date(), self.instrument, ValuationFixingType.PRICE)
return close + btic_twap
def _execution_price(self, data_handler: DataHandler) -> float:
if self.executed_price is None:
btic_fixings = data_handler.get_data_range(self.window.start, self.window.end,
self.btic_instrument, ValuationFixingType.PRICE)
btic_twap = np.mean(btic_fixings)
close = data_handler.get_data(self.window.end.date(), self.future_underlying)
self.executed_price = close + btic_twap
return self.executed_price
def _execution_price(self, data_handler: DataHandler) -> float:
if self.executed_price is None:
fixings = data_handler.get_data_range(self.window.start,
self.window.end,
self.instrument,
ValuationFixingType.PRICE)
self.executed_price = np.mean(fixings)
return self.executed_price
def execution_price(self, data_handler: DataHandler) -> float:
fixings = data_handler.get_data_range(self.window.start,
self.window.end, self.instrument,
ValuationFixingType.PRICE)
return np.mean(fixings)
