#1198

robcarver17 · Jul 4, 2023 · 656a1f8 · 656a1f8
1 parent 2c5ca68
commit 656a1f8
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diff --git a/sysdata/config/defaults.yaml b/sysdata/config/defaults.yaml
@@ -64,6 +64,16 @@ production_capital_method: 'full'
 #
 stale_instruments: ['an_instrument_i_no_longer_trade_or_sample']
 #
+# Roll status auto-update
+roll_status_auto_update:
+  auto_roll_if_relative_volume_higher_than: 1.0
+  min_relative_volume: 0.01
+  min_absolute_volume: 100
+  near_expiry_days: 10
+  ## following has to be one of enum roll states in sysobjects/production/roll_state.py
+  ## eg Close, Force_Outright, Force
+  ## or Ask to request from user
+  default_roll_state_if_undecided: Ask
 #
 #           BACKTESTING STUFF
 #

diff --git a/sysobjects/production/roll_state.py b/sysobjects/production/roll_state.py
@@ -13,6 +13,8 @@
     ),
 )
 
+list_of_all_roll_states = [state.name for state in RollState]
+
 no_roll_state = RollState.No_Roll
 roll_adj_state = RollState.Roll_Adjusted
 roll_close_state = RollState.Close