Michael Handschuh
3d7c49d6d2
The current targets are passed into the risk model for risk assessment. The risk model is only required to return any changes required from the point of view of the risk model. The risk adjusted targets are given priority, and if no risk adjusted target is specified for a symbol than the target produced by porfolio construction will be used.
80 lines
3.3 KiB
C#
80 lines
3.3 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 Python.Runtime;
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using QuantConnect.Data.UniverseSelection;
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using System;
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Portfolio;
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namespace QuantConnect.Algorithm.Framework.Risk
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{
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/// <summary>
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/// Provides an implementation of <see cref="IRiskManagementModel"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class RiskManagementModelPythonWrapper : IRiskManagementModel
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{
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private readonly dynamic _model;
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/// <summary>
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/// Constructor for initialising the <see cref="IRiskManagementModel"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Model defining how risk is managed</param>
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public RiskManagementModelPythonWrapper(PyObject model)
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{
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using (Py.GIL())
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{
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foreach (var attributeName in new[] { "ManageRisk", "OnSecuritiesChanged" })
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{
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if (!model.HasAttr(attributeName))
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{
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throw new NotImplementedException($"IRiskManagementModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
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}
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}
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}
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_model = model;
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}
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/// <summary>
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/// Manages the algorithm's risk at each time step
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="targets">The current portfolio targets to be assessed for risk</param>
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public IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithmFramework algorithm, IPortfolioTarget[] targets)
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{
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using (Py.GIL())
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{
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var riskTargetOverrides = _model.ManageRisk(algorithm) as PyObject;
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foreach (PyObject target in riskTargetOverrides)
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{
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yield return target.AsManagedObject(typeof(IPortfolioTarget)) as IPortfolioTarget;
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}
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}
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
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{
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using (Py.GIL())
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{
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_model.OnSecuritiesChanged(algorithm, changes);
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}
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}
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}
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} |