multi-pair-basket-trader

# Multi-Pair Basket Trader ```python import numpy as np class BasketTrader: CURRENCY_BASKETS = { "USD_LONG": {"EURUSD": "sell", "GBPUSD": "sell", "AUDUSD": "sell", "NZDUSD": "sell", "USDCAD": "buy", "USDJPY": "buy", "USDCHF": "buy"}, "USD_SHORT": {"EURUSD": "buy", "GBPUSD": "buy", "AUDUSD": "buy", "NZDUSD": "buy", "USDCAD": "sell", "USDJPY": "sell", "USDCHF": "sell"}, "EUR_LONG": {"EURUSD": "buy", "EURJPY": "buy", "EURGBP": "buy", "EURAUD": "buy"}, "RISK_ON": {"AUDUSD": "buy", "NZDUSD": "buy", "USDJPY": "buy", "USDCHF": "sell"}, "RISK_OFF": {"USDJPY": "sell", "USDCHF": "buy", "XAUUSD": "buy", "AUDUSD": "sell"}, } @staticmethod def generate_basket_orders(basket_name: str, total_risk_pct: float = 2.0, account_balance: float = 10000) -> dict: basket = BasketTrader.CURRENCY_BASKETS.get(basket_name) if not basket: return {"error": f"Unknown basket: {basket_name}"} n_pairs = len(basket) risk_per_pair = total_risk_pct / n_pairs return { "basket": basket_name, "orders": [{"pair": p, "direction": d, "risk_pct": round(risk_per_pair, 2)} for p, d in basket.items()], "total_risk": total_risk_pct, "n_pairs": n_pairs, "risk_per_pair": round(risk_per_pair, 2), "advantage": "Diversified execution — single currency view, spread across pairs to reduce pair-specific noise", } @staticmethod def basket_correlation_check(basket_name: str, correlation_matrix: dict) -> dict: """Validate basket pairs aren't too correlated (reduces diversification benefit).""" basket = BasketTrader.CURRENCY_BASKETS.get(basket_name) if not basket: return {"error": f"Unknown basket: {basket_name}"} pairs = list(basket.keys()) high_corr_pairs = [] for i, p1 in enumerate(pairs): for p2 in pairs[i+1:]: key = f"{p1}_{p2}" corr = correlation_matrix.get(key, 0) if abs(corr) > 0.85: high_corr_pairs.append({"pair1": p1, "pair2": p2, "corr": round(corr, 3)}) return { "basket": basket_name, "n_pairs": len(pairs), "high_correlation_warnings": high_corr_pairs, "diversification_quality": "POOR" if len(high_corr_pairs) > 2 else "MODERATE" if high_corr_pairs else "GOOD", "recommendation": "Consider removing highly correlated pairs to improve diversification" if high_corr_pairs else "Basket is well-diversified", } ``` ## Basket Execution Rules 1. **Enter all pairs simultaneously** — partial fills defeat the purpose of basket diversification 2. **Equal risk per pair** — split total risk evenly across basket components 3. **Single stop for the basket** — if aggregate basket P&L hits -1.5%, close all positions 4. **Monitor basket P&L, not individual pairs** — individual pairs will diverge; basket thesis matters 5. **Exit all at once** — partial exits reintroduce single-pair risk ## Usage ```python orders = BasketTrader.generate_basket_orders("USD_LONG", total_risk_pct=2.0, account_balance=10000) for order in orders["orders"]: print(f"{order['direction'].upper()} {order['pair']} — {order['risk_pct']}% risk") health = BasketTrader.basket_correlation_check("USD_LONG", corr_matrix) print(f"Diversification: {health['diversification_quality']}") ```