Adds method overload that accept a `PyObject` to `SetAlpha`, `SetExecution`, `SetPortfolioConstruction`, `SetPortfolioSelection` and `SetRiskManagement`. In these methods, a custom model written in python will be wrapped around the respective `PythonWrapper`.
The term 'alpha' is used to describe the entire algorithm. Therefore, 'alpha'
produces insights. From this we have things like IAlphaModel, which is the model
defining how insights are produced. We have IAlphaHandler, which defines how the
insights from a single 'alpha' (the algorithm) are managed, analyzed, and stored.
Types closer to the individual prediction level, such as InsightDirection, or
InsightScore relate directly to exactly 1 insight. The distinction between the
two became more clear as we developed the insights API, and from that effort it
was decided to harmonize alpha/insight terminology across the various QC systems.
When focusing on generating alpha signals we don't need t both with execution or
portfolio construction models. Instead we can judge how well we do based on our
generated alphas. By not submitting orders, backtests and live performance is
greatly improved.
Internally we're materializing the symbols enumerable from the signal model and then
passing that into the portoflio construction model. So we already have the list. In
addition, a common task is to check the count of the signals for use in further math,
such as determining weighting percentages, ect...
Since these are really just data structures they belon in the common library. Also,
it stands to reason that we'll want to reuse them in other components, such as the
result handler.
This forces the quantity computation to be performed from the portfolio construction model.
As a result of this change, we've removed the Percent and Quantity implementations and
replaced them with just a PortfolioTarget implementation that is equivalent to the previous
Quantity implementation. Users can still use the static Percent method to generate the
correct quantities for a target for the common case of a percent weighted portfolio.
Michael Handschuh