Sigtech Framework API Python Wrapper
Install from source with:
python setup.py install- Python 3.6+
First set the environment variable 'SIGTECH_API_KEY' to your API token.
import os
os.environ['SIGTECH_API_KEY'] = # YOUR API KEY #Once the variables are set we can use the API python wrapper.
There are two options for interacting with the objects.
One option is a higher level object based interface. An example is given below.
# imports
import sigtech.api as sig
import datetime as dtm
# initialize environment and session
sig.init()
# create rolling future strategies
vg_future = sig.RollingFutureStrategy(contract_code='VG', contract_sector='INDEX', rolling_rule='front',
front_offset='-4:-1')
es_future = sig.RollingFutureStrategy(contract_code='ES', contract_sector='INDEX')
# create baskets
basket = sig.BasketStrategy(constituent_names=[vg_future.name, es_future.name], weights=[0.5, 0.5],
rebalance_frequency='EOM', currency='USD', start_date=dtm.date(2020, 2, 1))
# retrieve the strategy history
print(basket.history())Alternatively, the API requests can be made directly via the client. An example is given below.
import sigtech.api as sig
# Setup Client
client = sig.Client()
# Create session
session = client.sessions.create()
session_id = session.session_id
print(f'session id : {session_id}')
# New Rolling Future Strategy Object
rfs_object = client.strategies.futures.rolling.create(
session_id=session_id, identifier='ES INDEX',
)
object_id = rfs_object.object_id
print(f'object id : {object_id}')
# Query object status
object_state = client.query_object(session_id, object_id)
print(f'object state : {object_state}')
# wait for completion
rfs_object.wait_for_object_status()
# Retrieve history
history = client.data.history.get(session_id=session_id, object_id=object_id).history
print(f'Rolling Future History : {history}')The library emits details of individual API requests to the debug log level.