Chore: Make release 1.2.16

goldmansachs · Jan 8, 2025 · 2e78d2a · 2e78d2a
1 parent d33224b
commit 2e78d2a
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Showing 2 changed files with 13 additions and 6 deletions.
diff --git a/gs_quant/backtests/predefined_asset_engine.py b/gs_quant/backtests/predefined_asset_engine.py
@@ -45,7 +45,7 @@ def generate_orders(self, state: dt.datetime, backtest: PredefinedAssetBacktest,
 
         orders = []
         for pricable in self.action.priceables:
-            quantity = pricable.instrument_quantity * 1 if info is None else info.scaling
+            quantity = pricable.instrument_quantity * 1 if info is None or info.scaling is None else info.scaling
             orders.append(OrderAtMarket(instrument=pricable,
                                         quantity=quantity,
                                         generation_time=state,

diff --git a/gs_quant/backtests/triggers.py b/gs_quant/backtests/triggers.py
@@ -266,12 +266,19 @@ def __post_init__(self):
 
     def has_triggered(self, state: Union[dt.date, dt.datetime], backtest: BackTest = None) -> TriggerInfo:
         if self.entire_day:
+            dates = sorted(self.dates_from_datetimes)
             if isinstance(state, dt.datetime):
-                return TriggerInfo(state.date() in self.dates_from_datetimes)
-            elif isinstance(state, dt.date):
-                return TriggerInfo(state in self.dates_from_datetimes)
-
-        return TriggerInfo(state in self.dates)
+                state = state.date()
+        else:
+            dates = sorted(self.dates)
+        if state in dates:
+            next_state = None
+            if dates.index(state) < len(dates) - 1:
+                next_state = dates[dates.index(state) + 1]
+            return TriggerInfo(True, {AddTradeAction: AddTradeActionInfo(scaling=None, next_schedule=next_state),
+                                      AddScaledTradeAction: AddScaledTradeActionInfo(next_schedule=next_state),
+                                      HedgeAction: HedgeActionInfo(next_schedule=next_state)})
+        return TriggerInfo(False)
 
     def get_trigger_times(self):
         return self.dates_from_datetimes or self.dates