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.
35 lines
1.4 KiB
C#
35 lines
1.4 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.Collections.Generic;
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using QuantConnect.Data;
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namespace QuantConnect.Algorithm.Framework.Alphas
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{
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/// <summary>
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/// Algorithm framework model that produces insights
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/// </summary>
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public interface IAlphaModel : INotifiedSecurityChanges
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{
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/// <summary>
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/// Updates this alpha model with the latest data from the algorithm.
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/// This is called each time the algorithm receives data for subscribed securities
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="data">The new data available</param>
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/// <returns>The new insights generated</returns>
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IEnumerable<Insight> Update(QCAlgorithmFramework algorithm, Slice data);
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}
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} |