Martin Molinero
4584088a9e
- Refactor to avoid calling rebalancing function twice in the same loop - Refactor making portfolio rebalance setting instance based instead of static
85 lines
3.6 KiB
C#
85 lines
3.6 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using QuantConnect.Securities;
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namespace QuantConnect.Interfaces
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{
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/// <summary>
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/// User settings for the algorithm which can be changed in the <see cref="IAlgorithm.Initialize"/> method
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/// </summary>
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public interface IAlgorithmSettings
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{
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/// <summary>
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/// True if should rebalance portfolio on security changes. True by default
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/// </summary>
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bool? RebalancePortfolioOnSecurityChanges { get; set; }
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/// <summary>
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/// True if should rebalance portfolio on new insights or expiration of insights. True by default
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/// </summary>
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bool? RebalancePortfolioOnInsightChanges { get; set; }
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/// <summary>
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/// The absolute maximum valid total portfolio value target percentage
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/// </summary>
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/// <remarks>This setting is currently being used to filter out undesired target percent values,
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/// caused by the <see cref="IPortfolioConstructionModel"/> implementation being used.
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/// For example rounding errors, math operations</remarks>
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decimal MaxAbsolutePortfolioTargetPercentage { get; set; }
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/// <summary>
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/// The absolute minimum valid total portfolio value target percentage
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/// </summary>
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/// <remarks>This setting is currently being used to filter out undesired target percent values,
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/// caused by the <see cref="IPortfolioConstructionModel"/> implementation being used.
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/// For example rounding errors, math operations</remarks>
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decimal MinAbsolutePortfolioTargetPercentage { get; set; }
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/// <summary>
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/// Gets/sets the SetHoldings buffers value.
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/// The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity
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/// </summary>
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decimal FreePortfolioValue { get; set; }
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/// <summary>
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/// Gets/sets the SetHoldings buffers value percentage.
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/// This percentage will be used to set the <see cref="FreePortfolioValue"/>
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/// based on the <see cref="SecurityPortfolioManager.TotalPortfolioValue"/>
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/// </summary>
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decimal FreePortfolioValuePercentage { get; set; }
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/// <summary>
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/// Gets/sets if Liquidate() is enabled
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/// </summary>
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bool LiquidateEnabled { get; set; }
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/// <summary>
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/// Gets/sets the maximum number of concurrent market data subscriptions available
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/// </summary>
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/// <remarks>
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/// All securities added with <see cref="IAlgorithm.AddSecurity"/> are counted as one,
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/// with the exception of options and futures where every single contract in a chain counts as one.
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/// </remarks>
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int DataSubscriptionLimit { get; set; }
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/// <summary>
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/// Gets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour)
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/// </summary>
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TimeSpan StalePriceTimeSpan { get; set; }
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}
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}
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