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trendmanagement / Tmqr-framework-2

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Do not seem to be getting the last days exposure in the Campaigns with V1 futures plus risk reversal. #52

Open nikolas-joyce opened 6 years ago

nikolas-joyce commented 6 years ago

here is the example.

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

image

what do you think?

alexveden commented 6 years ago

Probable reasons:

  1. V1 alphas has no positions (check exposure series for alphas)
  2. Data delays