diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/indices.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/risk/indices.py b/python/risk/indices.py index 60f6da3e..1d4f338d 100644 --- a/python/risk/indices.py +++ b/python/risk/indices.py @@ -63,7 +63,7 @@ def get_index_portfolio( (rec.folder if by_strat else "", rec.security_desc), ) for rec in c - if rec.redcode not in exclude_redcode + if (rec.redcode not in exclude_redcode and abs(rec.notional) > 0.1) ] if trades: portf = Portfolio(*zip(*trades)) |