Martin Molinero
e294b3c3e2
- Adding new `AlgorithmSettings` Min and Max absolute portfolio target percentage - Adding new `PortfolioConstructionModel.FilterInvalidInsightMagnitude()` helper method that will be used by the `BlackLitterman` and `MeanVariance` optiomization portfolio construction models to skip insights with extreme magnitudes that will cause exceptions - `PortfolioTarget.Percentage()` will now verify requested percent is withing the settings values
85 lines
4.1 KiB
C#
85 lines
4.1 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 System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.Framework.Portfolio
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{
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/// <summary>
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/// Provides a base class for portfolio construction models
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/// </summary>
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public class PortfolioConstructionModel : IPortfolioConstructionModel
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{
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/// <summary>
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/// Create portfolio targets from the specified insights
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="insights">The insights to create portfolio targets from</param>
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/// <returns>An enumerable of portfolio targets to be sent to the execution model</returns>
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public virtual IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
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{
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throw new System.NotImplementedException("Types deriving from 'PortfolioConstructionModel' must implement the 'IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm, Insight[]) method.");
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public virtual void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
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{
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}
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/// <summary>
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/// Helper class that can be used by the different <see cref="IPortfolioConstructionModel"/>
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/// implementations to filter <see cref="Insight"/> instances with an invalid
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/// <see cref="Insight.Magnitude"/> value based on the <see cref="IAlgorithmSettings"/>
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="insights">The insight collection to filter</param>
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/// <returns>Returns a new array of insights removing invalid ones</returns>
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public static Insight[] FilterInvalidInsightMagnitude(QCAlgorithm algorithm, Insight[] insights)
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{
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var result = insights.Where(insight =>
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{
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if (!insight.Magnitude.HasValue || insight.Magnitude == 0)
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{
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return true;
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}
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var absoluteMagnitude = Math.Abs(insight.Magnitude.Value);
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if (absoluteMagnitude > (double)algorithm.Settings.MaxAbsolutePortfolioTargetPercentage
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|| absoluteMagnitude < (double)algorithm.Settings.MinAbsolutePortfolioTargetPercentage)
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{
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algorithm.Error("PortfolioConstructionModel.FilterInvalidInsightMagnitude():" +
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$"The insight target Magnitude: {insight.Magnitude}, will not comply with the current " +
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$"'Algorithm.Settings' 'MaxAbsolutePortfolioTargetPercentage': {algorithm.Settings.MaxAbsolutePortfolioTargetPercentage}" +
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$" or 'MinAbsolutePortfolioTargetPercentage': {algorithm.Settings.MinAbsolutePortfolioTargetPercentage}. Skipping insight."
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);
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return false;
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}
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return true;
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});
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return result.ToArray();
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}
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}
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}
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