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
89 lines
3.8 KiB
C#
89 lines
3.8 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.Interfaces;
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using QuantConnect.Orders.Fills;
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namespace QuantConnect
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{
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/// <summary>
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/// This class includes 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 class AlgorithmSettings : IAlgorithmSettings
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{
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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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public 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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public decimal MinAbsolutePortfolioTargetPercentage { 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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public int DataSubscriptionLimit { 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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public 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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public bool LiquidateEnabled { get; set; }
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/// <summary>
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/// Gets/sets 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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/// <remarks>
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/// In the default fill models, a warning message will be added to market order fills
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/// if this time span (or more) has elapsed since the price was last updated.
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/// </remarks>
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/// <seealso cref="FillModel"/>
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/// <seealso cref="ImmediateFillModel"/>
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public TimeSpan StalePriceTimeSpan { get; set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="AlgorithmSettings"/> class
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/// </summary>
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public AlgorithmSettings()
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{
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// default is unlimited
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DataSubscriptionLimit = int.MaxValue;
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LiquidateEnabled = true;
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FreePortfolioValuePercentage = 0.0025m;
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StalePriceTimeSpan = Time.OneHour;
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MaxAbsolutePortfolioTargetPercentage = 1000000000;
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MinAbsolutePortfolioTargetPercentage = 0.0000000001m;
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}
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}
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}
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