Commit Graph

12 Commits

Author SHA1 Message Date
Michael Handschuh b4b3aae112 Rename Signal -> Alpha
Whoa... I think I got everything :)
2017-12-15 18:24:58 -05:00
Michael Handschuh 5910bc620f Add ISignalHandler
Handles signals generated by the algorithm. The default implementation
sends a SignalPacket to the messaging handler.
2017-12-12 08:56:19 -05:00
Michael Handschuh d0b7c9b31e Make ISignal.Period a required field
Requiring a period here forces signal models to place a time frame on
when their signal is valid. This also allows consumers of signals to
have some expectation of when a prediction should come to fruition.
2017-12-10 08:41:29 -05:00
Michael Handschuh 8093a818c7 Rename Direction -> SignalDirection
This follows the naming convention of the other direction enums
2017-12-08 10:07:54 -05:00
Michael Handschuh dac63225cf Set default executon and risk management models 2017-12-08 10:07:54 -05:00
Michael Handschuh d6496ebb85 Change ManualPortfolioSelectionModel to accept params Symbol
This will make life easier for python while also keeping things easy for csharp.
2017-12-08 10:07:54 -05:00
Michael Handschuh 160a28076c Use simpler ManualPortfolioSelectionModel constructor for example 2017-12-08 10:07:54 -05:00
Michael Handschuh 755dcb30ab Add IRiskManagementModel
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.
2017-12-08 10:07:54 -05:00
Michael Handschuh 7076928904 Add IExecutionModel
The execution model is responsible for executing trades to achieve the desired
portfolio targets
2017-12-08 10:07:54 -05:00
Michael Handschuh 343bbf2c59 Add IPortfolioConstructionModel
The portoflio construction model generates portoflio targets from signals
2017-12-08 10:07:53 -05:00
Michael Handschuh 514434692b Add ISignalModel
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?)
2017-12-08 10:07:53 -05:00
Michael Handschuh e4e82bd2bc Add BasicTemplateFrameworkAlgorithm
This example algorithm serves as a template for building framework algorithms
2017-12-08 10:07:53 -05:00