38d749caa4
The PairsTradingAlphaModel is a simple example of defining an insight grouping. Insights that are grouped together are assigned a unique group-id that can be used by the portfolio construction model. Updates were made to the CommonAlphaModelTests to give more control to derived types. Some changes are still needed here to give securities unique prices. I would recommend using a psuedo-random walk approach by using Random with a constant seed value.
244 lines
14 KiB
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244 lines
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