Asset

The Asset class is the fundamental building block for representing financial instruments in roboquant. Every tradable instrument — whether a stock, option, forex pair, or cryptocurrency — is modelled as a specialized subclass of Asset.

Overview¶

All asset types extend the common base class, Asset, which provides:

• A symbol (ticker)

• The currency the asset is denoted in

• Calculation of the contract value

• Serialization and de-serialization (used for example to store prices in databases)

Subclasses can add type-specific attributes and methods.

The combination of asset class, symbol and currency has to be unique. If you deal with scenario’s where this is not the case, a solution is to extend the symbol name.

For example you want to differentiate between crypto-pairs on different exchanges, add the exchange name to the symbol name:

from roboquant import Crypto, USD

asset1 = Crypto("BTCUSD.KRAKEN", USD)
asset2 = Crypto("BTCUSD.BINANCE", USD)

assert asset1 != asset2

Asset Classes¶

roboquant support the folowing asset types out of the box:

But you easily add your own asset classes by extending Asset class.

Instantiation¶

import pprint
from roboquant import Stock, Crypto, Forex, Option, EUR

# Create a simple stock with the default currency (USD)
aapl = Stock("AAPL")
print(aapl)         

# Create a Banco Santander (Spain) stock in Euro
san = Stock("SAN", EUR)
print(san)

# use a static method to derive the currency
# from the symbol name
eurusd = Forex.from_symbol("EUR/USD")
print(eurusd)

btc = Crypto.from_symbol("BTC/USDT")
print(btc)

# Options using the OCC notation
option = Option("TSLA250228C00100000")
pprint.pp(option.decode_occ_symbol())

Stock(symbol='AAPL', currency='USD')
Stock(symbol='SAN', currency='EUR')
Forex(symbol='EUR/USD', currency='USD')
Crypto(symbol='BTC/USDT', currency='USDT')
{'underlying': 'TSLA',
 'expiration': datetime.date(2025, 2, 28),
 'option_type': 'C',
 'strike': 100.0}