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Update section_c_apex.ipynb #186

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33 changes: 26 additions & 7 deletions ...content/events/00_gsquant_meets_markets/02_optimizing_equity_trading/section_c_apex.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -42,7 +42,7 @@
"from qes_utils import persistXls, plotCost, plotVar, plotBuySellNet, plotGrossRemaining, plotMultiStrategyPortfolioLevelAnalytics\n",
"\n",
"from gs_quant.api.gs.assets import GsAssetApi\n",
"from gs_quant.session import GsSession\n",
"from gs_quant.session import GsSession, Environment\n",
"from gs_quant.common import Position\n",
"from gs_quant.target.risk import OptimizationRequest, OptimizationType\n",
"from gs_quant.api.gs.risk import GsRiskApi\n",
Expand All @@ -56,6 +56,24 @@
"from matplotlib import cm"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"#### Establish GS Quant Connection:"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"client_id = ""\n",
"client_secret = "" \n",
"GsSession.use(Environment.PROD, client_id=client_id, client_secret=client_secret, scopes=['read_product_data'])"
]
},
{
"cell_type": "markdown",
"metadata": {},
Expand All @@ -78,7 +96,8 @@
"cell_type": "markdown",
"metadata": {},
"source": [
"#### Convert Identifier (SEDOL) to marqueeids:"
"#### Convert Identifier (SEDOL) to marqueeids:\n"
"To use SEDOL, please go to https://marquee.gs.com/s/developer/datasets/SEDOL and select an application to request access for."
]
},
{
Expand Down Expand Up @@ -406,7 +425,7 @@
"metadata": {},
"outputs": [],
"source": [
"def optimisationMulti(urgency_list = ['VERY_LOW', 'LOW', 'MEDIUM', 'HIGH', 'VERY_HIGH'], portfolio_input, apex_optimization_config):\n",
"def optimisationMulti(portfolio_input, apex_optimization_config, urgency_list = ['VERY_LOW', 'LOW', 'MEDIUM', 'HIGH', 'VERY_HIGH']):\n",
" results_dict_multi = {}\n",
" apex_optimization_config_temp = copy.deepcopy(apex_optimization_config)\n",
" \n",
Expand All @@ -416,7 +435,7 @@
" apex_optimization_config_temp['parameters']['participationRate'] = .5\n",
" \n",
" print('INFO Running urgency={0} optimization....'.format(u))\n",
" results_dict_multi[u] = sendApexRequestAndGetAnalytics(portfolio_input, apex_optimization_config)\n",
" results_dict_multi[u] = sendApexRequestAndGetAnalytics(portfolio_input, apex_optimization_config_temp)\n",
" \n",
" print('INFO: High Level Cost estimation and % expected Completion:\\n{0}'\\\n",
" .format(pd.DataFrame(results_dict_multi[u]['analytics']['portfolioAnalyticsDaily'])))\n",
Expand All @@ -438,9 +457,9 @@
"outputs": [],
"source": [
"urgency_list = ['VERY_LOW', 'LOW', 'MEDIUM', 'HIGH', 'VERY_HIGH']\n",
"results_dict_multi = optimisationMulti(urgency_list=urgency_list,\\\n",
" portfolio_input = portfolio_input,\\\n",
" apex_optimization_config = apex_optimization_config)"
"results_dict_multi = optimisationMulti(portfolio_input = portfolio_input,\\\n",
" apex_optimization_config = apex_optimization_config,\\\n",
" urgency_list=urgency_list)"
]
},
{
Expand Down