From 235b0617950b13b76dac3f304b9268304ec45b7e Mon Sep 17 00:00:00 2001 From: Enzo Busseti Date: Tue, 28 Jan 2025 12:32:06 +0400 Subject: [PATCH] [auto commit] ftse100_daily reconciliation & execution on 2025-01-28 --- .../ftse100_daily_initial_holdings.json | 279 ++++++++++++------ .../ftse100_daily_target_weights.json | 103 +++++++ 2 files changed, 294 insertions(+), 88 deletions(-) diff --git a/examples/strategies/ftse100_daily_initial_holdings.json b/examples/strategies/ftse100_daily_initial_holdings.json index 2f3a98a9..abc891c0 100644 --- a/examples/strategies/ftse100_daily_initial_holdings.json +++ b/examples/strategies/ftse100_daily_initial_holdings.json @@ -24484,106 +24484,209 @@ "WTB.L": 11662.793374706402 }, "2025-01-27 08:00:00+00:00": { - "AAF.L": 23453.931116297692, - "AAL.L": 10519.15009960134, - "ABF.L": 9484.171556522073, - "ADM.L": 10952.586583462555, - "AHT.L": 21685.392494879317, + "AAF.L": 23305.956226572347, + "AAL.L": 11108.415275943027, + "ABF.L": 9516.997496414191, + "ADM.L": 10886.607146212782, + "AHT.L": 22194.86363344789, "ALW.L": 0.0, - "ANTO.L": 22092.099865100077, + "ANTO.L": 22653.76342099245, "AUTO.L": 10782.28160235323, - "AV.L": 11382.021334500594, - "AZN.L": 11362.352995155947, - "BA.L": 11144.565448775296, - "BARC.L": 10712.803189481503, - "BATS.L": 10219.010875813774, - "BEZ.L": 10935.35372394934, - "BKG.L": 11053.410641597502, - "BLND.L": 3235.471641683564, - "BNZL.L": 10276.820050585899, - "BP.L": 2481.744326386644, + "AV.L": 11458.835846918932, + "AZN.L": 11341.824805462806, + "BA.L": 11189.758333806829, + "BARC.L": 10915.809378585604, + "BATS.L": 9922.138384263337, + "BEZ.L": 10955.045237257773, + "BKG.L": 11106.438731029477, + "BLND.L": 3239.119521312114, + "BNZL.L": 10307.296978375303, + "BP.L": 2484.1109554349214, "BT-A.L": 0.0, - "BTRW.L": 10970.31514888786, + "BTRW.L": 11066.656869421133, "CCH.L": 0.0, - "CNA.L": 10801.518018773153, - "CPG.L": 1.0492148565800224e-12, - "CRDA.L": 9737.452706114253, - "CTEC.L": 42.18850973947923, - "DCC.L": 21598.100893821884, - "DGE.L": 10150.799876891551, - "DPLM.L": 12910.717952430758, - "EDV.L": 4565.632733038236, - "ENT.L": 12533.883142317483, - "EXPN.L": 11534.248276768547, - "EZJ.L": 11178.8567315301, - "FCIT.L": 3.0496990606680616e-12, - "FRES.L": 10878.029665938628, - "GAW.L": 28576.292119658152, - "GBPOUND": 1675.8272619315171, - "GLEN.L": 3179.820115709318, - "GSK.L": 11220.832500696388, - "HIK.L": 10902.535908474081, + "CNA.L": 10805.529224781601, + "CPG.L": 1.0558604052245306e-12, + "CRDA.L": 9749.4891124259, + "CTEC.L": 41.838977752684166, + "DCC.L": 21637.913061368097, + "DGE.L": 10216.091453989144, + "DPLM.L": 13140.006659236216, + "EDV.L": 4607.165454456386, + "ENT.L": 12620.01334003016, + "EXPN.L": 11632.542802695745, + "EZJ.L": 11105.806951849016, + "FCIT.L": 3.0548856236964086e-12, + "FRES.L": 11104.824029785446, + "GAW.L": 28716.765465751992, + "GBPOUND": 1675.8272681595263, + "GLEN.L": 3253.930576989997, + "GSK.L": 11150.95918475798, + "HIK.L": 10871.910807607574, "HL.L": 11347.334566706393, - "HLMA.L": 11452.965561517938, - "HLN.L": 12.474698270878854, - "HSBA.L": 10522.993032254435, - "HSX.L": 10623.384641226461, - "HWDN.L": 11068.231114582703, - "IAG.L": 10686.094227927471, - "ICG.L": 11655.650981677756, - "IHG.L": 21418.147027701332, - "III.L": 11466.392188110467, - "IMB.L": 11000.934359639275, - "IMI.L": 11673.812587350549, - "INF.L": 11357.255518919932, - "ITRK.L": 10259.311602542726, - "JD.L": 11133.444736606572, - "KGF.L": 10915.644492430465, + "HLMA.L": 11751.598208294656, + "HLN.L": 12.355004804851195, + "HSBA.L": 10507.57833510472, + "HSX.L": 10603.490662497567, + "HWDN.L": 11117.896254199417, + "IAG.L": 10751.854807791642, + "ICG.L": 11798.414860718436, + "IHG.L": 21562.307632695476, + "III.L": 11556.964006341992, + "IMB.L": 10913.75714395911, + "IMI.L": 11859.969063794926, + "INF.L": 11406.91041493534, + "ITRK.L": 10341.304102862745, + "JD.L": 11275.733425926037, + "KGF.L": 10938.169553006093, "LAND.L": 0.0, - "LGEN.L": 10960.359747567132, + "LGEN.L": 10979.039953366557, "LLOY.L": 0.0, "LMP.L": 0.0, - "LSEG.L": 35321.33952812651, - "MKS.L": 319.1532450941225, - "MNDI.L": 10694.974409537917, - "MNG.L": 10883.767513071412, - "MRO.L": 45304.52271511499, - "NG.L": 10716.23239835278, - "NWG.L": 10639.571776455137, - "NXT.L": 9397.38179384762, + "LSEG.L": 35700.32385782739, + "MKS.L": 319.05399984580004, + "MNDI.L": 10862.91202423314, + "MNG.L": 10953.260462405155, + "MRO.L": 45645.1553820446, + "NG.L": 10722.96906814299, + "NWG.L": 10785.459105126214, + "NXT.L": 9425.638526045614, "PHNX.L": 0.0, - "PRU.L": 10770.710598679516, - "PSH.L": 48205.12905409814, - "PSN.L": 10864.52180701218, - "PSON.L": 7674.139384836405, - "REL.L": 11819.993698722308, - "RIO.L": 11114.337773590452, - "RKT.L": 10635.694856339009, - "RMV.L": 18710.22652530146, - "RR.L": 10561.22576436037, - "RTO.L": 10969.98074200927, + "PRU.L": 10957.274308451231, + "PSH.L": 47165.543523630084, + "PSN.L": 10970.259245523248, + "PSON.L": 7695.222185344198, + "REL.L": 11862.27267465028, + "RIO.L": 11261.113871778867, + "RKT.L": 10644.089248490818, + "RMV.L": 18721.952324859634, + "RR.L": 10713.363593055636, + "RTO.L": 10935.42927008982, "SBRY.L": 0.0, - "SDR.L": 11044.221584728642, - "SGE.L": 43847.07848973536, + "SDR.L": 11090.709385469178, + "SGE.L": 44145.809531679064, "SGRO.L": 0.0, - "SHEL.L": 2658.4524630250526, - "SMDS.L": 11507.14443331123, + "SHEL.L": 2672.7342490888855, + "SMDS.L": 11582.477621090675, "SMIN.L": 0.0, - "SMT.L": 11265.823933705457, - "SN.L": 6135.945115399251, - "SPX.L": 7378.735914193809, - "SSE.L": 10989.447996570678, - "STAN.L": 11058.259170184385, - "STJ.L": 10941.936336336332, - "SVT.L": 9899.644562910018, - "TSCO.L": 12851.271472913584, - "TW.L": 10865.451933718361, + "SMT.L": 11466.129308788155, + "SN.L": 6108.525301080187, + "SPX.L": 7461.206992787689, + "SSE.L": 10992.970255543936, + "STAN.L": 11230.392449720277, + "STJ.L": 10995.690390390393, + "SVT.L": 9903.708456408744, + "TSCO.L": 12854.842480435187, + "TW.L": 10954.744573955164, "ULVR.L": 9364.209026649944, - "UTG.L": 10638.145103612647, - "UU.L": 10895.390493926783, - "VOD.L": 10789.339327014797, - "WEIR.L": 9834.776640704853, - "WPP.L": 10781.579360730795, - "WTB.L": 11560.524053637428 + "UTG.L": 10644.600288748332, + "UU.L": 10911.160911108203, + "VOD.L": 10818.403744560099, + "WEIR.L": 9975.155484442877, + "WPP.L": 10866.774222694236, + "WTB.L": 11535.979416580863 + }, + "2025-01-28 08:00:00+00:00": { + "AAF.L": 23694.389959303055, + "AAL.L": 10297.901836365249, + "ABF.L": 9433.670110534204, + "ADM.L": 10927.844294493892, + "AHT.L": 21619.654283451113, + "ALW.L": 0.0, + "ANTO.L": 21853.23145627229, + "AUTO.L": 10860.697853955677, + "AV.L": 11449.798358777809, + "AZN.L": 11489.62777125345, + "BA.L": 11225.912641832052, + "BARC.L": 10653.204614637374, + "BATS.L": 10453.21028581467, + "BEZ.L": 10915.662210640907, + "BKG.L": 11253.738979451617, + "BLND.L": 3281.067354099025, + "BNZL.L": 10331.678520606834, + "BP.L": 2490.61932073935, + "BT-A.L": 0.0, + "BTRW.L": 11076.797980995607, + "CCH.L": 0.0, + "CNA.L": 10633.058382852103, + "CPG.L": 1.0621150392428916e-12, + "CRDA.L": 9927.02610552254, + "CTEC.L": 43.27206103191793, + "DCC.L": 21757.349564006763, + "DGE.L": 10205.88964506765, + "DPLM.L": 12975.389126145124, + "EDV.L": 4512.233519786325, + "ENT.L": 12799.763814746027, + "EXPN.L": 11783.056295521743, + "EZJ.L": 11199.401764360933, + "FCIT.L": 3.003019993412937e-12, + "FRES.L": 10821.331074976919, + "GAW.L": 28917.441674457485, + "GBPOUND": 1676.1267912543917, + "GLEN.L": 3137.7807352740347, + "GSK.L": 11524.986934781196, + "HIK.L": 10933.161009340578, + "HL.L": 11331.889011488558, + "HLMA.L": 11610.353037521878, + "HLN.L": 12.544518529296983, + "HSBA.L": 10594.927240254328, + "HSX.L": 10732.801524235341, + "HWDN.L": 11231.416573323342, + "IAG.L": 10620.333648063302, + "ICG.L": 11492.492262774138, + "IHG.L": 21490.227330198395, + "III.L": 11409.030036563836, + "IMB.L": 11067.355095395584, + "IMI.L": 11613.762111078167, + "INF.L": 11390.358502308454, + "ITRK.L": 10300.30785270273, + "JD.L": 10929.407082052541, + "KGF.L": 10780.494128976714, + "LAND.L": 0.0, + "LGEN.L": 10969.699494178341, + "LLOY.L": 0.0, + "LMP.L": 0.0, + "LSEG.L": 35457.773886818824, + "MKS.L": 316.8707255242981, + "MNDI.L": 10774.523805972496, + "MNG.L": 10990.680746733471, + "MRO.L": 46063.2099336951, + "NG.L": 10902.620905933869, + "NWG.L": 10803.375462841872, + "NXT.L": 9421.601850017334, + "PHNX.L": 0.0, + "PRU.L": 10950.61193609285, + "PSH.L": 46894.347298290566, + "PSN.L": 10930.6077060816, + "PSON.L": 7815.695331103009, + "REL.L": 11910.591504282267, + "RIO.L": 11071.433991043059, + "RKT.L": 10845.554660134168, + "RMV.L": 18804.041868661036, + "RR.L": 10433.853981404582, + "RTO.L": 11229.114145363817, + "SBRY.L": 0.0, + "SDR.L": 11210.250168343448, + "SGE.L": 44029.63634870096, + "SGRO.L": 0.0, + "SHEL.L": 2658.452463025052, + "SMDS.L": 11403.561300114487, + "SMIN.L": 0.0, + "SMT.L": 10978.900018046454, + "SN.L": 6187.738098001925, + "SPX.L": 7529.124351629703, + "SSE.L": 11014.10380938349, + "STAN.L": 11073.907650142193, + "STJ.L": 11067.362462462459, + "SVT.L": 10025.625261370693, + "TSCO.L": 13036.952966851713, + "TW.L": 11095.73227391803, + "ULVR.L": 9586.773853867853, + "UTG.L": 10754.33843605502, + "UU.L": 11001.279938042995, + "VOD.L": 11005.708042498423, + "WEIR.L": 9818.261482618027, + "WPP.L": 10928.46736292059, + "WTB.L": 11515.525552367077 } } \ No newline at end of file diff --git a/examples/strategies/ftse100_daily_target_weights.json b/examples/strategies/ftse100_daily_target_weights.json index 239b5cd3..837f4101 100644 --- a/examples/strategies/ftse100_daily_target_weights.json +++ b/examples/strategies/ftse100_daily_target_weights.json @@ -21422,5 +21422,108 @@ "WEIR.L": 0.009999999979015036, "WPP.L": 0.00999999590924443, "WTB.L": 0.009999993883650478 + }, + "2025-01-28 08:00:00+00:00": { + "AAF.L": 0.021633416275368553, + "AAL.L": 0.01000000060087211, + "ABF.L": 0.00907079866416223, + "ADM.L": 0.010000031911144602, + "AHT.L": 0.01837055848549102, + "ALW.L": 4.85716426948302e-08, + "ANTO.L": 0.02003584248396299, + "AUTO.L": 0.010000001699963628, + "AV.L": 0.010453777019719073, + "AZN.L": 0.010000018811759546, + "BA.L": 0.010000005553127871, + "BARC.L": 0.009999999396439405, + "BATS.L": 0.010000007278705429, + "BEZ.L": 0.01000001818854182, + "BKG.L": 0.010000000987552021, + "BLND.L": 0.002995878839763487, + "BNZL.L": 0.00999999187037901, + "BP.L": 0.002274764905917716, + "BT-A.L": 3.3377358494475464e-08, + "BTRW.L": 0.010000003831037078, + "CCH.L": 7.615491378698069e-08, + "CNA.L": 0.009999944938237346, + "CPG.L": 0.0003548263933531609, + "CRDA.L": 0.009999989536132124, + "CTEC.L": 3.9498607022230814e-05, + "DCC.L": 0.019973776706591208, + "DGE.L": 0.009999695956682365, + "DPLM.L": 0.010000143762228974, + "EDV.L": 0.004112704800155558, + "ENT.L": 0.011631309554981433, + "EXPN.L": 0.01000000234012621, + "EZJ.L": 0.009999987960258042, + "FCIT.L": 2.803776846945135e-08, + "FRES.L": 0.009999999087456572, + "GAW.L": 0.026978501487758266, + "GBPOUND": 5.2351434965932156e-08, + "GLEN.L": 0.002864602671473118, + "GSK.L": 0.009999993980043849, + "HIK.L": 0.010000007355471222, + "HL.L": 0.010000009454514552, + "HLMA.L": 0.010000009259867144, + "HLN.L": 1.4412016105927617e-06, + "HSBA.L": 0.010000001966528867, + "HSX.L": 0.010000004464642807, + "HWDN.L": 0.010000000618597234, + "IAG.L": 0.009999995189357078, + "ICG.L": 0.01000001646587928, + "IHG.L": 0.0196167252916507, + "III.L": 0.010000004201922706, + "IMB.L": 0.01000003493654122, + "IMI.L": 0.009999996318150097, + "INF.L": 0.009999978843362059, + "ITRK.L": 0.009999998241217011, + "JD.L": 0.010000002150544265, + "KGF.L": 0.009999983149403497, + "LAND.L": 2.133673461200799e-08, + "LGEN.L": 0.010000001705312548, + "LLOY.L": 8.638479715096298e-08, + "LMP.L": 7.588957025330912e-08, + "LSEG.L": 0.030263097410698592, + "MKS.L": 0.0002503942342163517, + "MNDI.L": 0.009999990842419898, + "MNG.L": 0.010000000729445064, + "MRO.L": 0.04205553501089598, + "NG.L": 0.009999985832719275, + "NWG.L": 0.009999994308825307, + "NXT.L": 0.010000009625355731, + "PHNX.L": 4.399155126494062e-08, + "PRU.L": 0.009999998436071971, + "PSH.L": 0.04276406207023891, + "PSN.L": 0.009999999452607355, + "PSON.L": 0.0073530235004027195, + "REL.L": 0.00999999644813793, + "RIO.L": 0.0100000043230474, + "RKT.L": 0.00999999365374221, + "RMV.L": 0.017168339134746965, + "RR.L": 0.009999997897994077, + "RTO.L": 0.010000001135518554, + "SBRY.L": 6.38907297641358e-08, + "SDR.L": 0.009999996258598844, + "SGE.L": 0.040091164060122864, + "SGRO.L": 7.001323277013813e-08, + "SHEL.L": 0.0021073744357767185, + "SMDS.L": 0.009999999801891818, + "SMIN.L": 6.435937082555411e-07, + "SMT.L": 0.009999992859033663, + "SN.L": 0.005650369789340972, + "SPX.L": 0.009999976945114402, + "SSE.L": 0.00999999657601983, + "STAN.L": 0.009999999504908241, + "STJ.L": 0.010000000958014298, + "SVT.L": 0.010000001683327348, + "TSCO.L": 0.011887193144858667, + "TW.L": 0.009999997784152496, + "ULVR.L": 0.009999966650040708, + "UTG.L": 0.010000006646533905, + "UU.L": 0.009999993896265805, + "VOD.L": 0.010000016851393352, + "WEIR.L": 0.00999999981883796, + "WPP.L": 0.009999992333157534, + "WTB.L": 0.009999986961102814 } } \ No newline at end of file