Language Reference¶

The sigc DSL (Domain-Specific Language) is designed for expressing quantitative trading strategies concisely and safely.

Philosophy¶

The sigc language prioritizes:

Readability: Code should be self-documenting
Safety: Catch errors at compile time
Composability: Build complex strategies from simple parts
Performance: Compile to efficient execution plans

Program Structure¶

A sigc program has up to six sections:

Text Only

// 1. Data declarations
data:
  prices: load csv from "data/prices.csv"

// 2. Parameter definitions
params:
  lookback = 20

// 3. Custom functions (optional)
fn volatility(x, window=20):
  rolling_std(ret(x, 1), window)

// 4. Macro definitions (optional)
macro momentum(px: expr, lookback: number = 20):
  let r = ret(px, lookback)
  emit zscore(r)

// 5. Signal computations
signal my_signal:
  returns = ret(prices, lookback)
  emit zscore(returns)

// 6. Portfolio construction
portfolio main:
  weights = rank(my_signal).long_short(top=0.2, bottom=0.2)
  backtest from 2024-01-01 to 2024-12-31

Section Reference¶

Section	Required	Purpose	Link
`data:`	Yes	Load data sources	Data Section
`params:`	No	Define parameters	Params Section
`fn`	No	Custom functions	Functions
`macro`	No	Reusable patterns	Macros
`signal`	Yes	Compute scores	Signal Section
`portfolio`	Yes	Build portfolios	Portfolio Section

Quick Syntax Reference¶

Data Loading¶

Text Only

data:
  name: load format from "path"

Formats: csv, parquet, arrow

Parameters¶

Text Only

params:
  name = default_value

Functions¶

Text Only

fn name(param1, param2=default):
  expression

Macros¶

Text Only

macro name(param: type, ...):
  let var = expression
  emit result

Signals¶

Text Only

signal name:
  var = expression
  emit output

Portfolios¶

Text Only

portfolio name:
  weights = construction_expression
  backtest from start to end

Expressions¶

Expressions compute values from data and operators:

Text Only

// Arithmetic
x + y, x - y, x * y, x / y

// Function calls
zscore(x), ret(prices, 20)

// Chaining
rank(signal).long_short(top=0.2, bottom=0.2)

// Conditional
where(condition, true_value, false_value)

See Expressions for full reference.

Comments¶

Text Only

// Single-line comment
# Also single-line

signal example:
  x = ret(prices, 20)  // Inline comment
  emit x

See Comments for conventions.

Keywords¶

Reserved words in sigc:

Keyword	Purpose
`data`	Data section
`params`	Parameters section
`fn`	Function definition
`macro`	Macro definition
`signal`	Signal definition
`portfolio`	Portfolio definition
`emit`	Output statement
`let`	Variable in macro
`load`	Data loading
`from`	Source path
`backtest`	Run simulation
`rebal`	Rebalancing frequency
`benchmark`	Comparison benchmark

Identifiers¶

Valid identifier names:

Start with letter or underscore
Contain letters, digits, underscores
Case-sensitive

Text Only

// Valid
my_signal
Signal2
_private

// Invalid
2signal   // starts with digit
my-signal // contains hyphen

Literals¶

Numbers¶

Text Only

42        // Integer
3.14      // Float
-0.5      // Negative
1e-3      // Scientific

Strings¶

Text Only

"path/to/file.csv"
"s3://bucket/data.parquet"

Dates¶

Text Only

backtest from 2024-01-01 to 2024-12-31

Format: YYYY-MM-DD

Type System¶

sigc infers types and checks operations:

Text Only

signal typed:
  prices     // Panel<Float64>
  returns = ret(prices, 20)  // Panel<Float64>
  z = zscore(returns)        // Panel<Float64>
  emit z

See Type System for details.

Error Handling¶

The compiler provides helpful error messages:

Text Only

Error: Unknown identifier 'prces'
  --> strategy.sig:3:14
    |
  3 |   x = zscore(prces)
    |              ^^^^^
    |
help: Did you mean 'prices'?

See Error Messages for common errors.

Section Index¶

Page	Description
Syntax	Complete syntax reference
Data Section	Loading data sources
Params Section	Defining parameters
Signal Section	Computing signals
Portfolio Section	Building portfolios
Functions	Custom functions
Macros	Reusable patterns
Expressions	Expression syntax
Comments	Documentation

Next Steps¶

Start with Syntax Overview for a comprehensive reference, or jump to specific sections as needed.