Michael Handschuh
6b239674e2
The term 'alpha' is used to describe the entire algorithm. Therefore, 'alpha' produces insights. From this we have things like IAlphaModel, which is the model defining how insights are produced. We have IAlphaHandler, which defines how the insights from a single 'alpha' (the algorithm) are managed, analyzed, and stored. Types closer to the individual prediction level, such as InsightDirection, or InsightScore relate directly to exactly 1 insight. The distinction between the two became more clear as we developed the insights API, and from that effort it was decided to harmonize alpha/insight terminology across the various QC systems.
71 lines
2.6 KiB
C#
71 lines
2.6 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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*/
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using System.ComponentModel.Composition;
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using QuantConnect.Interfaces;
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using QuantConnect.Packets;
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namespace QuantConnect.Lean.Engine.Alpha
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{
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/// <summary>
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/// Alpha handler defines how to process insights generated by an algorithm
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/// </summary>
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[InheritedExport(typeof(IAlphaHandler))]
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public interface IAlphaHandler
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{
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/// <summary>
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/// Gets a flag indicating if this handler's thread is still running and processing messages
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/// </summary>
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bool IsActive { get; }
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/// <summary>
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/// Gets the current alpha runtime statistics
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/// </summary>
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AlphaRuntimeStatistics RuntimeStatistics { get; }
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/// <summary>
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/// Initializes this alpha handler to accept insights from the specified algorithm
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/// </summary>
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/// <param name="job">The algorithm job</param>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="messagingHandler">Handler used for sending insights</param>
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/// <param name="api">Api instance</param>
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void Initialize(AlgorithmNodePacket job, IAlgorithm algorithm, IMessagingHandler messagingHandler, IApi api);
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/// <summary>
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/// Invoked after the algorithm's Initialize method was called allowing the alpha handler to check
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/// other things, such as sampling period for backtests
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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void OnAfterAlgorithmInitialized(IAlgorithm algorithm);
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/// <summary>
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/// Performs processing in sync with the algorithm's time loop to provide consisten reading of data
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/// </summary>
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void ProcessSynchronousEvents();
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/// <summary>
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/// Thread entry point for asynchronous processing
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/// </summary>
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void Run();
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/// <summary>
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/// Stops processing in the <see cref="Run"/> method
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/// </summary>
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void Exit();
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}
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}
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