/// <summary>
/// Manages the algorithm's risk at each time step
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
public void ManageRisk(QCAlgorithmFramework algorithm)
{
foreach (var security in algorithm.Securities.Values)
{
if (!security.Invested)
{
continue;
}
var pnl = security.Holdings.UnrealizedProfitPercent;
if (pnl < _maximumDrawdownPercent)
{
algorithm.Liquidate(security.Symbol);
}
}
}
/// <summary>
/// Immediately submits orders for the specified portfolio targets.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The portfolio targets to be ordered</param>
public override void Execute(QCAlgorithmFramework algorithm, IPortfolioTarget[] targets)
{
_targetsCollection.AddRange(targets);
foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
{
var openQuantity = algorithm.Transactions.GetOpenOrders(target.Symbol)
.Sum(x => x.Quantity);
var existing = algorithm.Securities[target.Symbol].Holdings.Quantity + openQuantity;
var quantity = target.Quantity - existing;
// Liquidate positions in Crude Oil ETF that is no longer part of the highest-correlation pair
if (_previousSymbol != null && target.Symbol != _previousSymbol)
{
algorithm.Liquidate(_previousSymbol);
}
if (quantity != 0)
{
algorithm.MarketOrder(target.Symbol, quantity);
_previousSymbol = target.Symbol;
}
}
_targetsCollection.ClearFulfilled(algorithm);
}