Martin Molinero
5b04cfe202
- Classic Algorithms will emight insights based on order fills. - To be able to update generated insights closed time, we will not clone emitted insights. - `InsightAnalysisContext` will update `AnalysisEndTimeUtc` when the Insight period is closed and the period is `EndOfTimeTimeSpan` - Adding new regression algorithm asserting on the new emitted insights - Adding unit tests - `LiveTradingResultHandler` will store `AlphaRunTimeStatistics` - Making `DefaultAlphaHandler.ProcessAsynchronousEvents` virtual to facilitate cloud changes
104 lines
4.2 KiB
C#
104 lines
4.2 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 QuantConnect.Orders;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.Framework.Alphas
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{
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/// <summary>
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/// Helper class used by classic algorithms to generate new insights based on order fills.
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/// </summary>
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public class OrderBasedInsightGenerator
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{
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/// <summary>
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/// Source model for the insights generated by <see cref="OrderBasedInsightGenerator"/>
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/// </summary>
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public const string AutoGeneratedSourceModel = "AutoGeneratedInsightFromOrderEvent";
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private readonly Dictionary<Symbol, Insight> _insights = new Dictionary<Symbol, Insight>();
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/// <summary>
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/// Generates a new insight for a given <see cref="OrderEvent"/>.
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/// </summary>
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/// <param name="orderEvent">The <see cref="OrderEvent"/> to create a new
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/// <see cref="Insight"/> from</param>
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/// <param name="securityHolding">The <see cref="SecurityHolding"/> of the
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/// related <see cref="OrderEvent.Symbol"/></param>
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/// <returns></returns>
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public Insight GenerateInsightFromFill(OrderEvent orderEvent,
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SecurityHolding securityHolding)
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{
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var desiredFinalQuantity = orderEvent.FillQuantity + securityHolding.Quantity;
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Insight existingInsight;
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_insights.TryGetValue(orderEvent.Symbol, out existingInsight);
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double? confidence;
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if (// new position
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securityHolding.Quantity == 0
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// closing the entire position
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|| desiredFinalQuantity == 0
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// changing market sides
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|| Math.Sign(desiredFinalQuantity) != Math.Sign(securityHolding.Quantity)
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// increasing the position
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|| Math.Sign(orderEvent.FillQuantity) == Math.Sign(securityHolding.Quantity))
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{
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confidence = 1;
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}
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else
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{
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// we are reducing the position, so set the confidence based on the original position
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confidence = (double)(securityHolding.AbsoluteQuantity - orderEvent.AbsoluteFillQuantity)
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/ (double) securityHolding.AbsoluteQuantity;
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if (existingInsight != null)
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{
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// we have to adjust new confidence based on previous
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confidence = confidence * existingInsight.Confidence;
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}
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}
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var insightDirection = desiredFinalQuantity > 0
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? InsightDirection.Up : desiredFinalQuantity == 0
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? InsightDirection.Flat : InsightDirection.Down;
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var insight = Insight.Price(orderEvent.Symbol,
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Time.EndOfTime,
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insightDirection,
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null,
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confidence,
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AutoGeneratedSourceModel);
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insight.GeneratedTimeUtc = orderEvent.UtcTime;
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// When a new insight is generated, will update the <see cref="Insight.CloseTimeUtc"/>
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// of the previous insight for the same <see cref="Symbol"/>.
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if (existingInsight != null)
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{
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// close the previous insight
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existingInsight.CloseTimeUtc = insight.GeneratedTimeUtc;
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_insights.Remove(insight.Symbol);
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}
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_insights.Add(insight.Symbol, insight);
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insight.SetPeriodAndCloseTime(null);
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return insight;
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}
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}
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}
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