Monetary - roboquant

Roboquant comes with several monetary classes that makes trading with multi-currency situations a lot easier.

Currency¶

A Currency represents a single currency (e.g. USD, EUR, JPY). Predefined currency instances are available as module-level constants and can be used directly. Currencies are not limited to fiat currencies and can be used for crypto currencies as well.

Currencies are callable and then create an Amount. Or you can use the ‘@’ operator to achieve the same.

from roboquant.common.monetary import USD, EUR, JPY, Currency

# Create a custom currency
DOGE = Currency("DOGE")

amount = DOGE(1000.0)
print(amount)

amount = 1000.0@DOGE
print(amount)

1,000.00@DOGE
1,000.00@DOGE

Amount¶

An amount hold a monetary value of a single currency. Amounts are immutable. Internally amount values are stored as floats since that is precise enough for trading and it doesn’t has the overhead of some other types.

Roboquant is not a ledger and for trading it doesn’t need to be.

from roboquant.common.monetary import Amount

amt1 = 20@USD
amt2 = Amount(USD, 20)
amt3 = USD(20)

assert amt1 == amt2 == amt3 

print(amt3)

# Amounts can be formatted like floats
print(f"{amt3:.0f}")

20.00@USD
20@USD

Wallet¶

A wallet can contain monetary values of different currencies. A wallet is mutable and acts very much like a dict[Currency, float]

from roboquant.common.monetary import Wallet, JPY

wallet = Wallet(200@USD, 10@EUR)
wallet += 20@USD + 30@EUR - 10@USD + 1000@JPY
wallet.deposit(100@EUR)
wallet.withdraw(200@JPY)

print(wallet)

# Wallets can be formatted like floats
print(f"{wallet:.0f}")

# Access wallet amounts by currency
print(wallet[USD], wallet[EUR], wallet[JPY])

210.0@USD + 140.0@EUR + 800.0@JPY
210@USD + 140@EUR + 800@JPY
210.0 140.0 800.0

Conversion¶

If trading in more than one currency, a conversion is required between amounts in the different currencies.

Roboquant comes out of the box with a conversion using the exchange rates as published by the ECB.

from roboquant.common.monetary import ECBConversion
from datetime import datetime

ECBConversion().register()

t1 = datetime.fromisoformat("2010-01-01")
print(USD, wallet.convert_to(USD,t1))
print(EUR, wallet.convert_to(EUR,t1))

USD 420.06087801227363
EUR 291.93194663442466