- Update regression algorithms stats after making SecurityCache ignore
QuoteBars for equity for OHCL values and GetLastData(). They were
affected since the `BenchmarkSecurity` used `.Price` which was QB for
equities. Order list hashes changed because SubmissionLastPrice will
now be TB instead of QB
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm`
- Removing `QCAlgorithmFrameworkBridge`
- Removing `IsFrameworkAlgorithm`
- Making `EmitInsightBasedOnFill` private. Adding new
`IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will
subscribe.
- `AccountType.Cash` algorithms will be allowed to manually trade and
emight insights manually or with alpha model.
The CompositeRiskManagementModel aims to provide support for multiple
risk management models. In order to accomplish this, it must respect
the return values from each individual model. As previously written,
the composite model was allowing models run later to completely nuke
the targets produced by earlier models. This change performs the
composition of targets using the same technique as is used when over
laying the risk adjusted targets on top of the portfolio construction
model's targets. This approach gives preference, by symbol, to the
risk adjusted targets, but if there is no risk adjusted target, then
it uses the targets from the previous step. For example, if targets
for A, B, C, and D are produced by PCM, then risk model 1 adjusts to
zero targets for B and cuts the targets for C in half, these are then
piped to risk model 2 (A, C/2, D). Risk model 2 may return ZERO targets.
This doesn't mean we should remove all the targets, it simply means
that the risk model didn't adjust any and we should use the output
from risk model 1. Now, let's say risk model 2 zeroes out A and cuts
B in half again, the final result should (and now is) C/4, D. IOW,
risk models only return deltas, things to be changed, so returning
nothing means there are no changes.
Martin Molinero