Martin-Molinero
ad865e2a53
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
- Add new CustomWeight PCM for alpha streams - Add new AlphaStreams AlphaModule that will handle security additions and removals, removing this logic from AlphaStreamsBasicTemplateAlgo
52 lines
2.3 KiB
C#
52 lines
2.3 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 System.Linq;
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using QuantConnect.Logging;
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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
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{
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/// <summary>
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/// Custom weighting alpha streams portfolio construction model that will generate aggregated security targets taking into account all the alphas positions
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/// and a custom weighting factor for each alpha, which is also factored by the relation of the alphas portfolio value and the current algorithms portfolio value
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/// </summary>
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public class CustomWeightingAlphaStreamsPortfolioConstructionModel : EqualWeightingAlphaStreamsPortfolioConstructionModel
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{
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private Dictionary<string, decimal> _alphaWeights;
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/// <summary>
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/// Specify a custom set of alpha portfolio weights to use
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/// </summary>
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/// <param name="alphaWeights">The alpha portfolio weights</param>
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public void SetAlphaWeights(Dictionary<string, decimal> alphaWeights)
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{
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Log.Trace($"CustomWeightingAlphaStreamsPortfolioConstructionModel.SetAlphaWeights(): new weights: [{string.Join(",", alphaWeights.Select(pair => $"{pair.Key}:{pair.Value}"))}]");
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_alphaWeights = alphaWeights;
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}
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/// <summary>
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/// Get's the weight for an alpha
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/// </summary>
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/// <param name="alphaId">The algorithm instance that experienced the change in securities</param>
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/// <returns>The alphas weight</returns>
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public override decimal GetAlphaWeight(string alphaId)
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{
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return !_alphaWeights.TryGetValue(alphaId, out var alphaWeight) ? 0 : alphaWeight;
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}
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}
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}
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