Adam May
70 lines
3.0 KiB
C#
70 lines
3.0 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Algorithm.Framework.Alphas.Analysis
|
|
{
|
|
/// <summary>
|
|
/// Encapsulates the storage and on-line scoring of insights.
|
|
/// </summary>b
|
|
public interface IInsightManager : IDisposable
|
|
{
|
|
/// <summary>
|
|
/// Enumerable of insights still under analysis
|
|
/// </summary>
|
|
IEnumerable<Insight> OpenInsights { get; }
|
|
|
|
/// <summary>
|
|
/// Enumerable of insights who's analysis has been completed
|
|
/// </summary>
|
|
IEnumerable<Insight> ClosedInsights { get; }
|
|
|
|
/// <summary>
|
|
/// Enumerable of all internally maintained insights
|
|
/// </summary>
|
|
IEnumerable<Insight> AllInsights { get; }
|
|
|
|
/// <summary>
|
|
/// Add an extension to this manager
|
|
/// </summary>
|
|
/// <param name="extension">The extension to be added</param>
|
|
void AddExtension(IInsightManagerExtension extension);
|
|
|
|
/// <summary>
|
|
/// Initializes any extensions for the specified backtesting range
|
|
/// </summary>
|
|
/// <param name="start">The start date of the backtest (current time in live mode)</param>
|
|
/// <param name="end">The end date of the backtest (<see cref="Time.EndOfTime"/> in live mode)</param>
|
|
/// <param name="current">The algorithm's current utc time</param>
|
|
void InitializeExtensionsForRange(DateTime start, DateTime end, DateTime current);
|
|
|
|
/// <summary>
|
|
/// Steps the manager forward in time, accepting new state information and potentialy newly generated insights
|
|
/// </summary>
|
|
/// <param name="frontierTimeUtc">The frontier time of the insight analysis</param>
|
|
/// <param name="securityValuesCollection">Snap shot of the securities at the frontier time</param>
|
|
/// <param name="generatedInsights">Any insight generated by the algorithm at the frontier time</param>
|
|
void Step(DateTime frontierTimeUtc, ReadOnlySecurityValuesCollection securityValuesCollection, GeneratedInsightsCollection generatedInsights);
|
|
|
|
/// <summary>
|
|
/// Removes insights from the manager with the specified ids
|
|
/// </summary>
|
|
/// <param name="insightIds">The insights ids to be removed</param>
|
|
void RemoveInsights(IEnumerable<Guid> insightIds);
|
|
}
|
|
}
|