Index

A

ABS (blueshift.assets.StrikeType attribute) account (blueshift.core.algorithm.context.AlgoContext attribute) ACTIONED (blueshift.protocol.OneClickState attribute) AdaptiveOrder (class in blueshift.library.algos.executions) add_strategy() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) after_trading_hours() built-in function after_trading_hours() (blueshift.core.algorithm.strategy.Strategy method) AlgoCallBack (class in blueshift.protocol) AlgoMode (class in blueshift.protocol) AlgoOrderError (class in blueshift.errors) AlgoOrderStatus (class in blueshift.lib.execution.algo_orders)

AMOUNT (blueshift.protocol.ExitMethod attribute) analyze() built-in function analyze() (blueshift.core.algorithm.strategy.Strategy method) AON (blueshift.protocol.OrderValidity attribute) APIError (class in blueshift.errors) asset (blueshift.lib.execution.algo_orders.IAlgoOrder attribute) Asset (class in blueshift.assets) AssetClass (class in blueshift.assets) attach_pipeline() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) AUTO (blueshift.protocol.ExecutionMode attribute) auto_arima() (in module blueshift.library.timeseries) average_volume_filter() (in module blueshift.library.pipelines)

B

BACKTEST (blueshift.protocol.AlgoMode attribute) BadDataError (class in blueshift.errors) BasketOrder (class in blueshift.library.algos.executions) before_trading_start() built-in function before_trading_start() (blueshift.core.algorithm.strategy.Strategy method) BidAskSlippage (class in blueshift.finance.slippage) blueshift.assets module blueshift.brokers.rms module blueshift.core.algorithm.context module blueshift.core.algorithm.strategy module blueshift.data.readers.data_portal module blueshift.errors module blueshift.lib.execution.algo_orders module blueshift.library.algos module blueshift.library.algos.strategies module blueshift.library.common module blueshift.library.ml module blueshift.library.models module

blueshift.library.pipelines module blueshift.library.statistical module blueshift.library.technicals module blueshift.library.technicals.indicators module blueshift.library.timeseries module blueshift.protocol module BOLLINGER_BAND_DIST() (in module blueshift.library.technicals.indicators) BrokerConnectionError (class in blueshift.errors) BrokerError (class in blueshift.errors) bs_implied_vol() (in module blueshift.library.models.bs) bs_plain_vanilla_greek() (in module blueshift.library.models.bs) bs_plain_vanilla_option() (in module blueshift.library.models.bs) built-in function after_trading_hours() analyze() before_trading_start() handle_data() initialize() on_data() on_stoploss() on_takeprofit() on_trade() BUY (blueshift.protocol.OrderSide attribute)

C

calculate() (blueshift.finance.commission.CostModel method) (blueshift.finance.margin.MarginModel method) CALL (blueshift.assets.OptionType attribute) can_trade() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) cancel() (blueshift.lib.execution.algo_orders.IAlgoOrder method) cancel_order() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) cancel_strategy() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) CANCELLED (blueshift.lib.execution.algo_orders.AlgoOrderStatus attribute) (blueshift.protocol.OrderStatus attribute)

CCY (in module blueshift.protocol) children (blueshift.lib.execution.algo_orders.IAlgoOrder attribute) CLS (blueshift.protocol.OrderValidity attribute) COMPLETE (blueshift.lib.execution.algo_orders.AlgoOrderStatus attribute) (blueshift.protocol.OrderStatus attribute) ConditionalOrder (class in blueshift.library.algos.executions) CostModel (class in blueshift.finance.commission) CREATED (blueshift.lib.execution.algo_orders.AlgoOrderStatus attribute) cumulative_apply() (in module blueshift.library.timeseries.transform) current() (blueshift.data.readers.data_portal.DataPortal method)

D

DATA (blueshift.protocol.AlgoCallBack attribute) date_rules (class in blueshift.api)

DAY (blueshift.protocol.OrderValidity attribute) DELIVERY (blueshift.protocol.ProductType attribute) deseasonalize() (in module blueshift.library.timeseries)

E

EMA_XOVER() (in module blueshift.library.technicals.indicators) endpoints() (in module blueshift.library.timeseries.transform) EQUITY (blueshift.assets.AssetClass attribute) Equity (class in blueshift.assets) EquityFutures (class in blueshift.assets) EquityIntraday (class in blueshift.assets) EquityMargin (class in blueshift.assets) EquityOption (class in blueshift.assets) ERRORED (blueshift.lib.execution.algo_orders.AlgoOrderStatus attribute) (blueshift.protocol.OneClickState attribute) estimate_random_forest() (in module blueshift.library.ml)

exclude_assets() (in module blueshift.library.pipelines) execute() (blueshift.lib.execution.algo_orders.IAlgoOrder method) EXECUTION (blueshift.protocol.AlgoMode attribute) execution_mode (blueshift.core.algorithm.context.AlgoContext attribute) ExecutionMode (class in blueshift.protocol) EXIT (blueshift.library.common.Signal attribute) exit_all() (blueshift.library.algos.strategies.SimpleStrategy method) exit_when_done() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) ExitMethod (class in blueshift.protocol) EXPIRED (blueshift.protocol.OneClickState attribute) exposure_margin() (blueshift.finance.margin.MarginModel method)

F

filled (blueshift.lib.execution.algo_orders.IAlgoOrder attribute) filter_assets() (in module blueshift.library.pipelines) filter_universe() (in module blueshift.library.pipelines) filtered_returns_factor() (in module blueshift.library.pipelines) find_imp_points() (in module blueshift.library.statistical) find_support_resistance() (in module blueshift.library.technicals) find_trends() (in module blueshift.library.statistical) finish() (blueshift.core.algorithm.algorithm.TradingAlgorithm method)

FixedBasisPointsSlippage (class in blueshift.finance.slippage) FixedSlippage (class in blueshift.finance.slippage) FlatMargin (class in blueshift.finance.margin) FOK (blueshift.protocol.OrderValidity attribute) FOREX (blueshift.assets.AssetClass attribute) Forex (class in blueshift.assets) FUNDS (blueshift.assets.InstrumentType attribute) FUTURES (blueshift.assets.InstrumentType attribute)

G

get_asset_for_order() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_asset_from_order() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_current_stoploss() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_current_takeprofit() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_dated_asset() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_datetime() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_hmm_state() (in module blueshift.library.statistical) get_level() (blueshift.library.common.Line method)

get_oneclick_order() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_oneclick_status() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_open_notifications() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_open_orders() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_open_positions() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_order() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_order_by_notification_id() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) get_upfront_capital() (in module blueshift.library.common) GTC (blueshift.protocol.OrderValidity attribute)

H

handle_data() built-in function handle_data() (blueshift.core.algorithm.strategy.Strategy method)

hedge_ratio() (in module blueshift.library.statistical) HEIKIN_ASHI() (in module blueshift.library.technicals.indicators) history() (blueshift.data.readers.data_portal.DataPortal method) HistoryWindowStartsBeforeData (class in blueshift.errors)

I

IAlgoOrder (class in blueshift.lib.execution.algo_orders) IcebergOrder (class in blueshift.library.algos.executions) ICHIMOKU_CLOUD() (in module blueshift.library.technicals.indicators) if_closed() (blueshift.protocol.Position method) IllegalRequest (class in blueshift.errors) initialize() built-in function initialize() (blueshift.core.algorithm.strategy.Strategy method) InstrumentType (class in blueshift.assets) InsufficientFund (class in blueshift.errors) intercept (blueshift.library.common.Line attribute) INTRADAY (blueshift.protocol.ProductType attribute)

intraday_cutoff (blueshift.core.algorithm.context.AlgoContext attribute) intraday_seasonality_func() (in module blueshift.library.timeseries) IntradayStrategy (class in blueshift.library.algos.strategies) IOC (blueshift.protocol.OrderValidity attribute) IRMS (class in blueshift.brokers.rms) is_alive() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) is_breakout() (blueshift.library.common.Line method) is_buy() (blueshift.protocol.Order method) is_complete() (blueshift.library.algos.strategies.SimpleStrategy method) is_initialized() (blueshift.library.algos.strategies.SimpleStrategy method) is_open() (blueshift.protocol.Order method) is_trading_hours() (blueshift.core.algorithm.algorithm.TradingAlgorithm method)

L

LIMIT (blueshift.protocol.OrderType attribute) LimitIfTouched (class in blueshift.library.algos.executions) line (blueshift.library.common.Line attribute) Line (class in blueshift.library.common) LineType (class in blueshift.library.common)

LIVE (blueshift.protocol.AlgoMode attribute) load_state() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) LONG (blueshift.protocol.PositionSide attribute) LONG_ENTRY (blueshift.library.common.Signal attribute) LONG_ENTRY_STRONG (blueshift.library.common.Signal attribute) LONG_EXIT (blueshift.library.common.Signal attribute)

M

MA_XOVER() (in module blueshift.library.technicals.indicators) MARGIN (blueshift.assets.InstrumentType attribute) (blueshift.protocol.ProductType attribute) MarginModel (class in blueshift.finance.margin) MARKET (blueshift.protocol.OrderType attribute) MarketData (class in blueshift.assets) MarketIfTouched (class in blueshift.library.algos.executions) mode (blueshift.core.algorithm.context.AlgoContext attribute) module blueshift.assets blueshift.brokers.rms blueshift.core.algorithm.context blueshift.core.algorithm.strategy blueshift.data.readers.data_portal blueshift.errors blueshift.lib.execution.algo_orders blueshift.library.algos blueshift.library.algos.strategies blueshift.library.common blueshift.library.ml blueshift.library.models blueshift.library.pipelines blueshift.library.statistical blueshift.library.technicals blueshift.library.technicals.indicators blueshift.library.timeseries blueshift.protocol

monitor() (blueshift.brokers.rms.IRMS method) MOVE (blueshift.protocol.ExitMethod attribute)

N

name (blueshift.brokers.rms.IRMS property) (blueshift.core.algorithm.context.AlgoContext attribute) (blueshift.core.algorithm.strategy.Strategy attribute) NO_SIGNAL (blueshift.library.common.Signal attribute)

NoCommission (class in blueshift.finance.commission) NoDataForAsset (class in blueshift.errors) NoMargin (class in blueshift.finance.margin) NoSlippage (class in blueshift.finance.slippage) NoSuchPipeline (class in blueshift.errors)

O

on_cancel() (blueshift.core.algorithm.strategy.Strategy method) (in module blueshift.api) on_data() built-in function on_data() (blueshift.core.algorithm.strategy.Strategy method) on_error() (blueshift.core.algorithm.strategy.Strategy method) (in module blueshift.api) on_exit() (in module blueshift.api) on_oneclick() (in module blueshift.api) on_stoploss() built-in function on_takeprofit() built-in function on_trade() built-in function on_trade() (blueshift.core.algorithm.strategy.Strategy method) ONECLICK (blueshift.protocol.ExecutionMode attribute) OneClickState (class in blueshift.protocol) OnlineAutoARIMA (class in blueshift.library.timeseries)

OPEN (blueshift.lib.execution.algo_orders.AlgoOrderStatus attribute) (blueshift.protocol.OrderStatus attribute) open_orders (blueshift.core.algorithm.context.AlgoContext attribute) open_orders_by_asset (blueshift.core.algorithm.context.AlgoContext attribute) OPG (blueshift.protocol.OrderValidity attribute) OPT (blueshift.assets.InstrumentType attribute) OptionType (class in blueshift.assets) Order (class in blueshift.protocol) order() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) order_percent() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) order_target() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) order_target_percent() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) order_target_value() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) order_value() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) OrderAlreadyProcessed (class in blueshift.errors) orders (blueshift.core.algorithm.context.AlgoContext attribute) OrderSide (class in blueshift.protocol) OrderStatus (class in blueshift.protocol) OrderType (class in blueshift.protocol) OrderValidity (class in blueshift.protocol)

P

PairOrder (class in blueshift.library.algos.executions) PAPER (blueshift.protocol.AlgoMode attribute) PassiveAggressiveOrder (class in blueshift.library.algos.executions) Pattern (class in blueshift.library.common) PERCENT (blueshift.protocol.ExitMethod attribute) PerDollar (class in blueshift.finance.commission) period_apply() (in module blueshift.library.timeseries.transform) PerOrder (class in blueshift.finance.commission) PerShare (class in blueshift.finance.commission) PipCost (class in blueshift.finance.commission) pipeline_output() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) plot() (blueshift.library.common.Line method) (blueshift.library.common.Pattern method)

PNL (blueshift.protocol.ExitMethod attribute) pnls (blueshift.core.algorithm.context.AlgoContext attribute) portfolio (blueshift.core.algorithm.context.AlgoContext attribute) Position (class in blueshift.protocol) PositionalStrategy (class in blueshift.library.algos.strategies) PositionSide (class in blueshift.protocol) posttrade() (blueshift.brokers.rms.IRMS method) predict_random_forest() (in module blueshift.library.ml) pretrade() (blueshift.brokers.rms.IRMS method) PRICE (blueshift.protocol.ExitMethod attribute) ProductType (class in blueshift.protocol) PUT (blueshift.assets.OptionType attribute)

Q

quantity (blueshift.lib.execution.algo_orders.IAlgoOrder attribute)

R

record() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) record_state() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) record_vars (blueshift.core.algorithm.context.AlgoContext attribute) RegTMargin (class in blueshift.finance.margin) reject() (blueshift.lib.execution.algo_orders.IAlgoOrder method) REJECTED (blueshift.lib.execution.algo_orders.AlgoOrderStatus attribute) (blueshift.protocol.OrderStatus attribute) REL (blueshift.assets.StrikeType attribute)

remove_stoploss() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) remove_takeprofit() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) resample() (in module blueshift.library.timeseries.transform) reseasonalize() (in module blueshift.library.timeseries) RESISTANCE (blueshift.library.common.LineType attribute) returns_factor() (in module blueshift.library.pipelines) rollapply() (in module blueshift.library.timeseries.transform) rollcost() (blueshift.finance.commission.CostModel method) run_strategy() (blueshift.library.algos.strategies.SimpleStrategy method)

S

schedule_function() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) schedule_later() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) schedule_once() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) schedule_soon() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) score (blueshift.library.common.Line attribute) search_chart_patterns() (in module blueshift.library.technicals) select_universe() (in module blueshift.library.pipelines) SELL (blueshift.protocol.OrderSide attribute) ServerError (class in blueshift.errors) set_account_currency() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_algo_parameters() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_allowed_list() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_benchmark() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_commission() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_cooloff() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_cooloff_period() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_do_not_order_list() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_exit_policy() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_initial_positions() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_long_only() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_margin() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_max_daily_size() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_max_exposure() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_max_leverage() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_max_order_count() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_max_order_size() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_max_position_size() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_oneclick_timeout() (blueshift.core.algorithm.algorithm.TradingAlgorithm method)

set_slippage() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_stoploss() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) set_takeprofit() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) SHORT (blueshift.protocol.PositionSide attribute) SHORT_ENTRY (blueshift.library.common.Signal attribute) SHORT_ENTRY_STRONG (blueshift.library.common.Signal attribute) SHORT_EXIT (blueshift.library.common.Signal attribute) side (blueshift.lib.execution.algo_orders.IAlgoOrder attribute) Signal (class in blueshift.library.common) SimpleStrategy (class in blueshift.library.algos.strategies) simulate() (blueshift.finance.slippage.SlippageModel method) SlippageModel (class in blueshift.finance.slippage) slope (blueshift.library.common.Line attribute) split() (in module blueshift.library.timeseries.transform) SPOT (blueshift.assets.InstrumentType attribute) square_off() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) square_off_and_exit() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) start_entry() (blueshift.library.algos.strategies.SimpleStrategy method) stop_entry() (blueshift.library.algos.strategies.SimpleStrategy method) STOPLOSS (blueshift.protocol.OrderType attribute) STOPLOSS_MARKET (blueshift.protocol.OrderType attribute) str2bool() (in module blueshift.library.common) StrikeType (class in blueshift.assets) subscribe() (blueshift.data.readers.data_portal.DataPortal method) SUPER_TREND() (in module blueshift.library.technicals.indicators) SUPPORT (blueshift.library.common.LineType attribute) symbol() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) SymbolNotFound (class in blueshift.errors) symbols() (blueshift.core.algorithm.algorithm.TradingAlgorithm method)

T

technical_factor() (in module blueshift.library.pipelines) terminate() (blueshift.core.algorithm.algorithm.TradingAlgorithm method) (blueshift.library.algos.strategies.SimpleStrategy method) time_rules (class in blueshift.api) TRADE (blueshift.protocol.AlgoCallBack attribute) trading_calendar (blueshift.core.algorithm.context.AlgoContext attribute)

TradingControlError (class in blueshift.errors) TREND (blueshift.library.common.LineType attribute) TREND_SET() (in module blueshift.library.technicals.indicators) TREND_STALL() (in module blueshift.library.technicals.indicators) TwapOrder (class in blueshift.library.algos.executions) type (blueshift.library.common.Line attribute)

U

unsubscribe() (blueshift.data.readers.data_portal.DataPortal method)

update() (blueshift.lib.execution.algo_orders.IAlgoOrder method) update_order() (blueshift.core.algorithm.algorithm.TradingAlgorithm method)

V

ValidationError (class in blueshift.errors) VanillaOrder (class in blueshift.library.algos.executions)

VarMargin (class in blueshift.finance.margin) VolumeSlippage (class in blueshift.finance.slippage)

Z

z_score() (in module blueshift.library.statistical)