can use long only constraint in dynamic optimisation now

robcarver17 · Nov 6, 2023 · 9397726 · 9397726
1 parent f2dbe31
commit 9397726
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Showing 3 changed files with 5 additions and 4 deletions.
diff --git a/systems/provided/dynamic_small_system_optimise/data_for_optimisation.py b/systems/provided/dynamic_small_system_optimise/data_for_optimisation.py
@@ -15,17 +15,18 @@ def __init__(self, obj_instance: "objectiveFunctionForGreedy"):
         self.weights_optimal = obj_instance.weights_optimal
         self.per_contract_value = obj_instance.per_contract_value
         self.costs = obj_instance.costs
-        self.long_only = obj_instance.long_only
 
         if obj_instance.constraints is arg_not_supplied:
-            reduce_only_keys = no_trade_keys = arg_not_supplied
+            long_only_keys = reduce_only_keys = no_trade_keys = arg_not_supplied
 
         else:
             no_trade_keys = obj_instance.constraints.no_trade_keys
             reduce_only_keys = obj_instance.constraints.reduce_only_keys
+            long_only_keys = obj_instance.constraints.long_only_keys
 
         self.no_trade_keys = no_trade_keys
         self.reduce_only_keys = reduce_only_keys
+        self.long_only_keys = long_only_keys
 
         self.weights_prior = obj_instance.weights_prior
         self.maximum_position_weights = obj_instance.maximum_position_weights

diff --git a/systems/provided/dynamic_small_system_optimise/optimisation.py b/systems/provided/dynamic_small_system_optimise/optimisation.py
@@ -26,6 +26,7 @@
 class constraintsForDynamicOpt:
     reduce_only_keys: list = arg_not_supplied
     no_trade_keys: list = arg_not_supplied
+    long_only_keys: list = arg_not_supplied
 
 
 class objectiveFunctionForGreedy:
@@ -39,7 +40,6 @@ def __init__(
         previous_positions: portfolioWeights = arg_not_supplied,
         constraints: constraintsForDynamicOpt = arg_not_supplied,
         maximum_positions: portfolioWeights = arg_not_supplied,
-        long_only: list = arg_not_supplied,
         log: pst_logger = get_logger("objectiveFunctionForGreedy"),
     ):
 

diff --git a/systems/provided/dynamic_small_system_optimise/set_up_constraints.py b/systems/provided/dynamic_small_system_optimise/set_up_constraints.py
@@ -75,7 +75,7 @@ def get_data_and_calculate_for_code(
     if input_data.long_only is arg_not_supplied:
         long_only = False
     else:
-        long_only = instrument_code in input_data.long_only
+        long_only = instrument_code in input_data.long_only_keys
 
     max_position = input_data.maximum_position_weight_for_code(instrument_code)
     weight_prior = input_data.prior_weight_for_code(instrument_code)