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.
105 lines
3.9 KiB
C#
105 lines
3.9 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.Securities;
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namespace QuantConnect.Algorithm.Framework.Alphas.Analysis
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{
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/// <summary>
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/// Contains security values required by insight analysis components
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/// </summary>
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/// <remarks>
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/// The main purpose here is providing an ACL against the algorithm to remove the dependencies
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/// </remarks>
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public class SecurityValues
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{
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/// <summary>
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/// Gets the symbol these values are for
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/// </summary>
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public Symbol Symbol { get; }
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/// <summary>
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/// Gets the utc time these values were sampled
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/// </summary>
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public DateTime TimeUtc { get; }
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/// <summary>
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/// Gets the security price as of <see cref="TimeUtc"/>
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/// </summary>
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public decimal Price { get; }
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/// <summary>
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/// Gets the security's volatility as of <see cref="TimeUtc"/>
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/// </summary>
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public decimal Volatility { get; }
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/// <summary>
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/// Gets the volume traded in the security during this time step
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/// </summary>
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public decimal Volume { get; }
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/// <summary>
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/// Gets the conversion rate for the quote currency of the security
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/// </summary>
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public decimal QuoteCurrencyConversionRate { get; }
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/// <summary>
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/// Gets the exchange hours for the security
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/// </summary>
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public SecurityExchangeHours ExchangeHours { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="SecurityValues"/> class
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/// </summary>
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/// <param name="symbol">The symbol of the security</param>
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/// <param name="timeUtc">The time these values were sampled</param>
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/// <param name="exchangeHours">The security's exchange hours</param>
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/// <param name="price">The security price</param>
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/// <param name="volatility">The security's volatility</param>
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/// <param name="volume">The volume traded at this time step</param>
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/// <param name="quoteCurrencyConversionRate">The conversion rate for the quote currency of the security</param>
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public SecurityValues(Symbol symbol, DateTime timeUtc, SecurityExchangeHours exchangeHours, decimal price, decimal volatility, decimal volume, decimal quoteCurrencyConversionRate)
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{
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Symbol = symbol;
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Price = price;
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Volume = volume;
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TimeUtc = timeUtc;
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Volatility = volatility;
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ExchangeHours = exchangeHours;
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QuoteCurrencyConversionRate = quoteCurrencyConversionRate;
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}
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/// <summary>
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/// Gets the security value corresponding to the specified insight type
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/// </summary>
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/// <param name="type">The insight type</param>
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/// <returns>The security value for the specified insight type</returns>
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public decimal Get(InsightType type)
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{
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switch (type)
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{
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case InsightType.Price:
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return Price;
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case InsightType.Volatility:
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return Volatility;
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default:
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throw new ArgumentOutOfRangeException(nameof(type), type, null);
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}
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}
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}
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} |