Merge pull request #3016 from QuantConnect/feature-3015-add-weight-to-insights

Add Insight optional Weight

Algorithm.Python/InsightWeightingFrameworkAlgorithm.py

@@ -0,0 +1,59 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Algorithm.Framework")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Orders import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Algorithm.Framework import *
+from QuantConnect.Algorithm.Framework.Alphas import *
+from QuantConnect.Algorithm.Framework.Execution import *
+from QuantConnect.Algorithm.Framework.Portfolio import *
+from QuantConnect.Algorithm.Framework.Risk import *
+from QuantConnect.Algorithm.Framework.Selection import *
+from datetime import timedelta
+
+### <summary>
+### Test algorithm using 'InsightWeightingPortfolioConstructionModel' and 'ConstantAlphaModel'
+### generating a constant 'Insight' with a 0.25 weight
+### </summary>
+class InsightWeightingFrameworkAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        ''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+
+        # Set requested data resolution
+        self.UniverseSettings.Resolution = Resolution.Minute
+
+        self.SetStartDate(2013,10,7)   #Set Start Date
+        self.SetEndDate(2013,10,11)    #Set End Date
+        self.SetCash(100000)           #Set Strategy Cash
+
+        symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
+
+        # set algorithm framework models
+        self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
+        self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None, 0.25))
+        self.SetPortfolioConstruction(InsightWeightingPortfolioConstructionModel())
+        self.SetExecution(ImmediateExecutionModel())
+
+    def OnEndOfAlgorithm(self):
+        # holdings value should be 0.25 - to avoid price fluctuation issue we compare with 0.28 and 0.23
+        if (self.Portfolio.TotalHoldingsValue > self.Portfolio.TotalPortfolioValue * 0.28
+            or self.Portfolio.TotalHoldingsValue < self.Portfolio.TotalPortfolioValue * 0.23):
+            raise ValueError("Unexpected Total Holdings Value: " + str(self.Portfolio.TotalHoldingsValue))

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -65,6 +65,7 @@
     <Content Include="BasicTemplateFuturesFrameworkAlgorithm.py" />
     <Content Include="BasicTemplateOptionsFrameworkAlgorithm.py" />
     <Compile Include="Properties\AssemblyInfo.cs" />
+    <Content Include="InsightWeightingFrameworkAlgorithm.py" />
     <None Include="CompositeRiskManagementModelFrameworkAlgorithm.py" />
     <None Include="BlackLittermanPortfolioOptimizationFrameworkAlgorithm.py" />
     <None Include="packages.config" />