/// <summary>
/// Manages the algorithm's risk at each time step
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The current portfolio targets to be assessed for risk</param>
public override IEnumerable <IPortfolioTarget> ManageRisk(QCAlgorithmFramework algorithm, IPortfolioTarget[] targets)
{
var maximumSectorExposureValue = algorithm.Portfolio.TotalPortfolioValue * _maximumSectorExposure;
_targetsCollection.AddRange(targets);
// Group the securities by their sector
var groupBySector = algorithm.UniverseManager.ActiveSecurities
.Where(x => x.Value.Fundamentals != null && x.Value.Fundamentals.HasFundamentalData)
.GroupBy(x => x.Value.Fundamentals.CompanyReference.IndustryTemplateCode);
foreach (var securities in groupBySector)
{
// Compute the sector absolute holdings value
// If the construction model has created a target, we consider that
// value to calculate the security absolute holding value
var sectorAbsoluteHoldingsValue = 0m;
foreach (var security in securities)
{
var absoluteHoldingsValue = security.Value.Holdings.AbsoluteHoldingsValue;
IPortfolioTarget target;
if (_targetsCollection.TryGetValue(security.Value.Symbol, out target))
{
absoluteHoldingsValue = security.Value.Price * Math.Abs(target.Quantity) *
security.Value.SymbolProperties.ContractMultiplier *
security.Value.QuoteCurrency.ConversionRate;
}
sectorAbsoluteHoldingsValue += absoluteHoldingsValue;
}
// If the ratio between the sector absolute holdings value and the maximum sector exposure value
// exceeds the unity, it means we need to reduce each security of that sector by that ratio
// Otherwise, it means that the sector exposure is below the maximum and there is nothing to do.
var ratio = sectorAbsoluteHoldingsValue / maximumSectorExposureValue;
if (ratio > 1)
{
foreach (var security in securities)
{
var quantity = security.Value.Holdings.Quantity;
var symbol = security.Value.Symbol;
IPortfolioTarget target;
if (_targetsCollection.TryGetValue(symbol, out target))
{
quantity = target.Quantity;
}
if (quantity != 0)
{
yield return(new PortfolioTarget(symbol, quantity / ratio));
}
}
}
}
}