- 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.
This is the inverse of the MaximumDrawdownPercentPerSecurity risk model.
It's goal is to liquidate holdings for a security when the unrealized profit
passes a specified threshold. This can viewed as a 'take the money and run'
risk model.
The current targets are passed into the risk model for risk assessment.
The risk model is only required to return any changes required from the
point of view of the risk model. The risk adjusted targets are given
priority, and if no risk adjusted target is specified for a symbol than
the target produced by porfolio construction will be used.
This PR is an attempt to reduce contention in concurrent dictionaries, replacing method calls using full locks with lock-free equivalents:
- dictionary.Count -> dictionary.Skip(0).Count()
- dictionary.Keys -> dictionary.Select(x => x.Key)
- dictionary.Values -> dictionary.Select(x => x.Value)
The most frequent usages of these methods are: CashBook, SecurityManager, UniverseManager and indirectly, SecurityPortfolioManager.
The reasons for this update are explained very clearly in this article:
https://arbel.net/2013/02/03/best-practices-for-using-concurrentdictionary/
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.
Martin Molinero