quantconnect--lean/Common/Interfaces/IAlgorithmSettings.cs

/*
 * 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 QuantConnect.Securities;

namespace QuantConnect.Interfaces
{
    /// <summary>
    ///  User settings for the algorithm which can be changed in the <see cref="IAlgorithm.Initialize"/> method
    /// </summary>
    public interface IAlgorithmSettings
    {
        /// <summary>
        /// Gets whether or not WarmUpIndicator is allowed to warm up indicators
        /// </summary>
        bool AutomaticIndicatorWarmUp { get; set; }

        /// <summary>
        /// True if should rebalance portfolio on security changes. True by default
        /// </summary>
        bool? RebalancePortfolioOnSecurityChanges { get; set; }

        /// <summary>
        /// True if should rebalance portfolio on new insights or expiration of insights. True by default
        /// </summary>
        bool? RebalancePortfolioOnInsightChanges { get; set; }

        /// <summary>
        /// The absolute maximum valid total portfolio value target percentage
        /// </summary>
        /// <remarks>This setting is currently being used to filter out undesired target percent values,
        /// caused by the IPortfolioConstructionModel implementation being used.
        /// For example rounding errors, math operations</remarks>
        decimal MaxAbsolutePortfolioTargetPercentage { get; set; }

        /// <summary>
        /// The absolute minimum valid total portfolio value target percentage
        /// </summary>
        /// <remarks>This setting is currently being used to filter out undesired target percent values,
        /// caused by the IPortfolioConstructionModel implementation being used.
        /// For example rounding errors, math operations</remarks>
        decimal MinAbsolutePortfolioTargetPercentage { get; set; }

        /// <summary>
        /// Configurable minimum order margin portfolio percentage to ignore bad orders, or orders with unrealistic sizes
        /// </summary>
        /// <remarks>Default minimum order size is $0 value</remarks>
        decimal MinimumOrderMarginPortfolioPercentage { get; set; }

        /// <summary>
        /// Gets/sets the SetHoldings buffers value.
        /// The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity
        /// </summary>
        decimal? FreePortfolioValue { get; set; }

        /// <summary>
        /// Gets/sets the SetHoldings buffers value percentage.
        /// This percentage will be used to set the <see cref="FreePortfolioValue"/>
        /// based on the <see cref="SecurityPortfolioManager.TotalPortfolioValue"/>
        /// </summary>
        decimal FreePortfolioValuePercentage { get; set; }

        /// <summary>
        /// Gets/sets if Liquidate() is enabled
        /// </summary>
        bool LiquidateEnabled { get; set; }

        /// <summary>
        /// True if daily strict end times are enabled
        /// </summary>
        bool DailyPreciseEndTime { get; set; }

        /// <summary>
        /// True if extended market hours should be used for daily consolidation, when extended market hours is enabled
        /// </summary>
        bool DailyConsolidationUseExtendedMarketHours { get; set; }

        /// <summary>
        /// Gets/sets the maximum number of concurrent market data subscriptions available
        /// </summary>
        /// <remarks>
        /// All securities added with <see cref="IAlgorithm.AddSecurity"/> are counted as one,
        /// with the exception of options and futures where every single contract in a chain counts as one.
        /// </remarks>
        [Obsolete("This property is deprecated. Please observe data subscription limits set by your brokerage to avoid runtime errors.")]
        int DataSubscriptionLimit { get; set; }

        /// <summary>
        /// Gets/sets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour)
        /// </summary>
        /// <remarks>
        /// In the default fill models, a market order on an hour or daily resolution subscription is not filled on
        /// data older than this time span; instead it waits for fresh data (e.g. the next bar), avoiding a
        /// fill at the stale previous close. Market orders on minute/second/tick subscriptions still fill on stale
        /// data, only adding a warning message. Tighten it (e.g. to one minute) to make hour/daily orders wait for
        /// the next bar more aggressively.
        /// </remarks>
        TimeSpan StalePriceTimeSpan { get; set; }

        /// <summary>
        /// The warmup resolution to use if any
        /// </summary>
        /// <remarks>This allows improving the warmup speed by setting it to a lower resolution than the one added in the algorithm</remarks>
        Resolution? WarmupResolution { get; set; }

        /// <summary>
        /// Gets or sets the number of trading days per year for this Algorithm's portfolio statistics.
        /// </summary>
        /// <remarks>
        /// This property affects the calculation of various portfolio statistics, including:
        /// - <see cref="Statistics.PortfolioStatistics.AnnualVariance"/>
        /// - <seealso cref="Statistics.PortfolioStatistics.AnnualStandardDeviation"/>
        /// - <seealso cref="Statistics.PortfolioStatistics.SharpeRatio"/>
        /// - <seealso cref="Statistics.PortfolioStatistics.SortinoRatio"/>
        /// - <seealso cref="Statistics.PortfolioStatistics.TrackingError"/>
        /// - <seealso cref="Statistics.PortfolioStatistics.InformationRatio"/>.
        ///
        /// The default values are:
        /// - Cryptocurrency Exchanges: 365 days
        /// - Traditional Stock Exchanges: 252 days
        ///
        /// Users can also set a custom value for this property.
        /// </remarks>
        int? TradingDaysPerYear { get; set; }

        /// <summary>
        /// Gets the time span used to refresh the market hours and symbol properties databases
        /// </summary>
        TimeSpan DatabasesRefreshPeriod { get; set; }

        /// <summary>
        /// Determines whether to terminate the algorithm when an asset is not supported by Lean or the brokerage
        /// </summary>
        bool IgnoreUnknownAssetHoldings { get; set; }

        /// <summary>
        /// Performance tracking sample period to use if any, useful to debug performance issues
        /// </summary>
        TimeSpan PerformanceSamplePeriod { get; set; }

        /// <summary>
        /// Determines whether to seed initial prices for all selected and manually added securities.
        /// </summary>
        bool SeedInitialPrices { get; set; }
    }
}