v1 futures alphas + v2 risk reversal hedge

[spickering-git]

We have done test deployment of these 3 campaigns https://10.0.1.2:8888/notebooks/campaign_management/Campaign_Bidirectional_ZN_ContFut_DSP%20for%20production_Sep7.ipynb

https://10.0.1.2:8888/notebooks/campaign_management/Campaign_Bidirectional_ES_ContFut_DSP%20for%20production_Sept5.ipynb

https://10.0.1.2:8888/notebooks/campaign_management/Campaign_Bidirectional_CL_ContFut_DSP%20for%20production_Sept5_w_enhancement.ipynb

The campaigns deployed fine.

Now doing some testing with ZN_Bidirectional_W_Risk_Reversals V1 https://10.0.1.2:8888/notebooks/campaign_management/Campaign_Bidirectional_ZN_ContFut_DSP%20for%20production_Sep7.ipynb#

1. Added ZN_Bidirectional_W_Risk_Reversals V1 to account ZN_P2 https://10.0.1.2:8888/notebooks/account_management/view_account_positions.ipynb the future is in but there is no position for the hedge leg

2. The performance report doesn't work Nik knows that we don't have all of the greeks being displayed for V2 alphas and speculates that there is a knock on effect that is causing a reporting issue. https://10.0.1.2:8888/notebooks/Performance%20Tracking/Risk-Reversal-Performance-Reporting-Test.ipynb

[alexveden]

Added ZN_Bidirectional_W_Risk_Reversals V1 to account ZN_P2 the future is in but there is no position for the hedge leg

My investigation showed that V2 risk reversal alpha last date ended at mid August, so probably you should update the datafeed and rerun the alpha. I've run the position calculation part in the debugger and it seemed to be ok.

The performance report doesn't work yes, this was a bug. fixed.

But the report still shows only v1 position, because of v2 data delay.

Also: V2 campaign alpha position is not shown in the report, due to some CampaignBridge design tradeoffs, so I have ideas how to add it to the report.

[alexveden]

My investigation of these delta spikes showed they are the result of holidays, V1 alphas skip holidays calculations, but V2 alphas are not.

Here is the list of mismatched days:

@nikolas-joyce I didn't think about holidays filtering for V2 framework so much, but from your point of view, should I fillter all holidays in framework v2 ?

[alexveden]

There are also some days which exist in v1 database and not found in v2 database. So I think we should be aware of it, but it could be a real pain because we have 2 different datasources for v1 and v2. So this kind of errors will occur time to time.

[alexveden]

Added sanity checks for v2 alphas in the campaign report.

In this particular case we can see that V2 alpha is delayed, also added v2/v1 index alignment checks (to handle situations when one of those have missed quotes).

[alexveden]

I was not able to update the index and v2 alpha, due to #46, but I think that campaign bridging should work.