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.
The risk management model is intended to check the algorithm's positions
at the end of each time step to potentially exit positions that are losing
too much.
Framework algorithms are expected to set these models. All of these models
should be user specified. The execution model could be defaulted to the immediate
model, but perhaps it's best that users are explicit
This change includes a check to prevent users from overriding methods required
by the framework. This is non-ideal and we should perhaps look into alternatives
to this approach, which could involve additional methods on IAlgorithm. In order
to not lose access to these events at the algorithm level, we could expose them
as C# events (not sure python compatibility?)
Michael Handschuh