/// <summary>
/// Create portfolio targets from the specified insights
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="insights">The insights to create portoflio targets from</param>
/// <returns>An enumerable of portoflio targets to be sent to the execution model</returns>
public override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithmFramework algorithm, Insight[] insights)
{
_insightCollection.AddRange(insights);
var targets = new List <IPortfolioTarget>();
if (_removedSymbols != null)
{
// zero out securities removes from the universe
targets.AddRange(_removedSymbols.Select(s => new PortfolioTarget(s, 0)));
_removedSymbols = null;
}
if (insights.Length == 0)
{
return(targets);
}
// Get symbols that have emit insights, are still in the universe, and insigths haven't expired
var symbols = _insightCollection
.Where(x => x.CloseTimeUtc > algorithm.UtcTime)
.Select(x => x.Symbol).Distinct().ToList();
if (symbols.Count == 0)
{
return(targets);
}
// give equal weighting to each security
var percent = 1m / symbols.Count;
foreach (var symbol in symbols)
{
List <Insight> activeInsights;
if (_insightCollection.TryGetValue(symbol, out activeInsights))
{
var direction = activeInsights.Last().Direction;
targets.Add(PortfolioTarget.Percent(algorithm, symbol, (int)direction * percent));
}
}
return(targets);
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
// save securities removed so we can zero out our holdings
_removedSymbols = changes.RemovedSecurities.Select(x => x.Symbol).ToList();
// remove the insights of the removed symbol from the collection
foreach (var removedSymbol in _removedSymbols)
{
List <Insight> insights;
if (_insightCollection.TryGetValue(removedSymbol, out insights))
{
foreach (var insight in insights.ToList())
{
_insightCollection.Remove(insight);
}
}
}
}