Martin-Molinero
104 lines
4.1 KiB
C#
104 lines
4.1 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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*/
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using System;
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using QuantConnect.Interfaces;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Alphas.Analysis;
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namespace QuantConnect.Lean.Engine.Alphas
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{
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/// <summary>
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/// Manages alpha statistics responsbilities
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/// </summary>
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public class StatisticsInsightManagerExtension : IInsightManagerExtension
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{
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/// <summary>
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/// Gets the current statistics. The values are current as of the time specified
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/// in <see cref="AlphaRuntimeStatistics.MeanPopulationScore"/> and <see cref="AlphaRuntimeStatistics.RollingAveragedPopulationScore"/>
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/// </summary>
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public AlphaRuntimeStatistics Statistics { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="StatisticsInsightManagerExtension"/> class
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/// </summary>
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public StatisticsInsightManagerExtension()
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{
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Statistics = new AlphaRuntimeStatistics();
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}
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/// <summary>
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/// Handles the <see cref="IAlgorithm.InsightsGenerated"/> event
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/// Increments total, long and short counters. Updates long/short ratio
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/// </summary>
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/// <param name="context">The newly generated insight context</param>
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public void OnInsightGenerated(InsightAnalysisContext context)
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{
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// incremement total insight counter
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Statistics.TotalInsightsGenerated++;
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// update long/short ratio statistics
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if (context.Insight.Direction == InsightDirection.Up)
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{
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Statistics.LongCount++;
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}
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else if (context.Insight.Direction == InsightDirection.Down)
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{
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Statistics.ShortCount++;
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}
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}
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/// <summary>
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/// Computes an estimated value for the insight. This is intended to be invoked at the end of the
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/// insight period, i.e, when now == insight.GeneratedTimeUtc + insight.Period;
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/// </summary>
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/// <param name="context">Context whose insight has just closed</param>
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public void OnInsightClosed(InsightAnalysisContext context)
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{
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// increment closed insight counter
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Statistics.TotalInsightsClosed += 1;
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}
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/// <summary>
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/// Updates the specified statistics with the new scores
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/// </summary>
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/// <param name="context">Context whose insight has just completed analysis</param>
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public void OnInsightAnalysisCompleted(InsightAnalysisContext context)
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{
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// increment analysis completed counter
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Statistics.TotalInsightsAnalysisCompleted += 1;
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}
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/// <summary>
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/// Invokes the manager at the end of the time step.
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/// </summary>
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/// <param name="frontierTimeUtc">The current frontier time utc</param>
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public void Step(DateTime frontierTimeUtc)
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{
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}
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/// <summary>
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/// Allows the extension to initialize itself over the expected range
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/// </summary>
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/// <param name="algorithmStartDate">The start date of the algorithm</param>
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/// <param name="algorithmEndDate">The end date of the algorithm</param>
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/// <param name="algorithmUtcTime">The algorithm's current utc time</param>
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public void InitializeForRange(DateTime algorithmStartDate, DateTime algorithmEndDate, DateTime algorithmUtcTime)
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{
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}
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}
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}
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