/// <summary>
/// Initializes a new instance of the <see cref="AlphaManager"/> class
/// </summary>
/// <param name="securityValuesProvider">Providers security values, such as price/volatility</param>
/// <param name="scoreFunctionProvider">Provides scoring functions by alpha type/score type</param>
/// <param name="extraAnalysisPeriodRatio">Ratio of the alpha period to keep the analysis open</param>
public AlphaManager(ISecurityValuesProvider securityValuesProvider, IAlphaScoreFunctionProvider scoreFunctionProvider, double extraAnalysisPeriodRatio)
{
if (extraAnalysisPeriodRatio < 0)
{
throw new ArgumentOutOfRangeException(nameof(extraAnalysisPeriodRatio), "extraAnalysisPeriodRatio must be greater than or equal to zero.");
}
_scoreFunctionProvider = scoreFunctionProvider;
_securityValuesProvider = securityValuesProvider;
_extraAnalysisPeriodRatio = extraAnalysisPeriodRatio;
_openAlphaContexts = new ConcurrentDictionary <Guid, AlphaAnalysisContext>();
_closedAlphaContexts = new ConcurrentDictionary <Guid, AlphaAnalysisContext>();
_updatedAlphaContextsByAlphaId = new ConcurrentDictionary <Guid, AlphaAnalysisContext>();
}
/// <summary>
/// Initializes a new instance of the <see cref="AlphaManager"/> class
/// </summary>
/// <param name="scoreFunctionProvider">Provides scoring functions by alpha type/score type</param>
/// <param name="extraAnalysisPeriodRatio">Ratio of the alpha period to keep the analysis open</param>
/// <param name="extensions">Extensions used to perform tasks at certain events</param>
public AlphaManager(IAlphaScoreFunctionProvider scoreFunctionProvider, double extraAnalysisPeriodRatio, params IAlphaManagerExtension[] extensions)
{
if (extraAnalysisPeriodRatio < 0)
{
throw new ArgumentOutOfRangeException(nameof(extraAnalysisPeriodRatio), "extraAnalysisPeriodRatio must be greater than or equal to zero.");
}
_scoreFunctionProvider = scoreFunctionProvider;
_extraAnalysisPeriodRatio = extraAnalysisPeriodRatio;
_extensions = extensions?.ToList() ?? new List <IAlphaManagerExtension>();
_openAlphaContexts = new HashSet <AlphaAnalysisContext>();
_updatedAlphaContexts = new HashSet <AlphaAnalysisContext>();
_closedAlphaContexts = new ConcurrentDictionary <Guid, AlphaAnalysisContext>();
}
