/// <summary>
/// Used to send security changes to algorithm framework models
/// </summary>
/// <param name="changes">Security additions/removals for this time step</param>
public sealed override void OnFrameworkSecuritiesChanged(SecurityChanges changes)
{
Alpha.OnSecuritiesChanged(this, changes);
PortfolioConstruction.OnSecuritiesChanged(this, changes);
Execution.OnSecuritiesChanged(this, changes);
RiskManagement.OnSecuritiesChanged(this, changes);
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
// generate, timestamp and emit insights
var insights = Alpha.Update(this, slice)
.Select(SetGeneratedAndClosedTimes)
.ToList();
// only fire insights generated event if we actually have insights
if (insights.Count != 0)
{
// debug printing of generated insights
if (DebugMode)
{
Log($"{Time}: ALPHA: {string.Join(" | ", insights.Select(i => i.ToString()).OrderBy(i => i))}");
}
OnInsightsGenerated(insights);
}
// construct portfolio targets from insights
var targets = PortfolioConstruction.CreateTargets(this, insights).ToList();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Any())
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverrides = RiskManagement.ManageRisk(this).ToList();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Any())
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
// execute on the targets, overriding targets for symbols w/ risk targets
Execution.Execute(this, riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol));
}
/// <summary>
/// Used to send security changes to algorithm framework models
/// </summary>
/// <param name="changes">Security additions/removals for this time step</param>
public sealed override void OnFrameworkSecuritiesChanged(SecurityChanges changes)
{
if (DebugMode)
{
Log($"{Time}: {changes}");
}
Alpha.OnSecuritiesChanged(this, changes);
PortfolioConstruction.OnSecuritiesChanged(this, changes);
Execution.OnSecuritiesChanged(this, changes);
RiskManagement.OnSecuritiesChanged(this, changes);
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
// generate, timestamp and emit alphas
var alphas = Alpha.Update(this, slice)
.Select(alpha => { alpha.GeneratedTimeUtc = UtcTime; return(alpha); })
.ToList();
if (alphas.Count != 0)
{
// only fire alphas generated event if we actually have alphas
OnAlphasGenerated(alphas);
}
// construct portfolio targets from alphas
var targets = PortfolioConstruction.CreateTargets(this, alphas);
// execute on the targets and manage risk
Execution.Execute(this, targets);
RiskManagement.ManageRisk(this);
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
// generate, timestamp and emit insights
var insights = Alpha.Update(this, slice)
.Select(SetGeneratedAndClosedTimes)
.ToList();
if (insights.Count != 0)
{
// only fire insights generated event if we actually have insights
OnInsightsGenerated(insights);
}
// construct portfolio targets from insights
var targets = PortfolioConstruction.CreateTargets(this, insights);
// execute on the targets and manage risk
Execution.Execute(this, targets);
RiskManagement.ManageRisk(this);
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
// generate, timestamp and emit insights
var insights = Alpha.Update(this, slice)
.Select(SetGeneratedAndClosedTimes)
.ToList();
if (insights.Count != 0)
{
// only fire insights generated event if we actually have insights
OnInsightsGenerated(insights);
}
// construct portfolio targets from insights
var targets = PortfolioConstruction.CreateTargets(this, insights);
var riskTargetOverrides = RiskManagement.ManageRisk(this);
// execute on the targets, overriding targets for symbols w/ risk targets
Execution.Execute(this, riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol));
}
/// <summary>
/// Called by setup handlers after Initialize and allows the algorithm a chance to organize
/// the data gather in the Initialize method
/// </summary>
public void FrameworkPostInitialize()
{
//Prevents execution in the case of cash brokerage with IExecutionModel and IPortfolioConstructionModel
if (PortfolioConstruction.GetType() != typeof(NullPortfolioConstructionModel) &&
Execution.GetType() != typeof(NullExecutionModel) &&
BrokerageModel.AccountType == AccountType.Cash)
{
throw new InvalidOperationException($"Non null {nameof(IExecutionModel)} and {nameof(IPortfolioConstructionModel)} are currently unsuitable for Cash Modeled brokerages (e.g. GDAX) and may result in unexpected trades."
+ " To prevent possible user error we've restricted them to Margin trading. You can select margin account types with"
+ $" SetBrokerage( ... AccountType.Margin). Or please set them to {nameof(NullExecutionModel)}, {nameof(NullPortfolioConstructionModel)}");
}
foreach (var universe in UniverseSelection.CreateUniverses(this))
{
// on purpose we don't call 'AddUniverse' here so that these universes don't get registered as user added
// this is so that later during 'UniverseSelection.CreateUniverses' we wont remove them from UniverseManager
_pendingUniverseAdditions.Add(universe);
}
if (DebugMode)
{
InsightsGenerated += (algorithm, data) => Log($"{Time}: {string.Join(" | ", data.Insights.OrderBy(i => i.Symbol.ToString()))}");
}
}
/// <summary>
/// They different framework models will process the new provided insight.
/// The <see cref="IPortfolioConstructionModel"/> will create targets,
/// the <see cref="IRiskManagementModel"/> will adjust the targets
/// and the <see cref="IExecutionModel"/> will execute the <see cref="IPortfolioTarget"/>
/// </summary>
/// <param name="insights">The insight to process</param>
private void ProcessInsights(Insight[] insights)
{
// construct portfolio targets from insights
var targetsEnumerable = PortfolioConstruction.CreateTargets(this, insights);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var targets = targetsEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] {} : targetsEnumerable.ToArray();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Length > 0)
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverridesEnumerable = RiskManagement.ManageRisk(this, targets);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var riskTargetOverrides = riskTargetOverridesEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] { } : riskTargetOverridesEnumerable.ToArray();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
IPortfolioTarget[] riskAdjustedTargets;
// for performance we check the length before
if (riskTargetOverrides.Length != 0 ||
targets.Length != 0)
{
// execute on the targets, overriding targets for symbols w/ risk targets
riskAdjustedTargets = riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol).ToArray();
}
else
{
riskAdjustedTargets = new IPortfolioTarget[] { };
}
if (DebugMode)
{
// only log adjusted targets if we've performed an adjustment
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
Execution.Execute(this, riskAdjustedTargets);
}
/// <summary>
/// They different framework models will process the new provided insight.
/// The <see cref="IPortfolioConstructionModel"/> will create targets,
/// the <see cref="IRiskManagementModel"/> will adjust the targets
/// and the <see cref="IExecutionModel"/> will execute the <see cref="IPortfolioTarget"/>
/// </summary>
/// <param name="insights">The insight to process</param>
protected void ProcessInsights(Insight[] insights)
{
// construct portfolio targets from insights
var targetsEnumerable = PortfolioConstruction.CreateTargets(this, insights);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var targets = targetsEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] {} : targetsEnumerable.ToArray();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Length > 0)
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverridesEnumerable = RiskManagement.ManageRisk(this, targets);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var riskTargetOverrides = riskTargetOverridesEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] { } : riskTargetOverridesEnumerable.ToArray();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
IPortfolioTarget[] riskAdjustedTargets;
// for performance we check the length before
if (riskTargetOverrides.Length != 0 ||
targets.Length != 0)
{
// execute on the targets, overriding targets for symbols w/ risk targets
riskAdjustedTargets = riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol).ToArray();
}
else
{
riskAdjustedTargets = new IPortfolioTarget[] { };
}
if (DebugMode)
{
// only log adjusted targets if we've performed an adjustment
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
if (riskAdjustedTargets.Length > 0 &&
Execution.GetType() != typeof(NullExecutionModel) &&
BrokerageModel.AccountType == AccountType.Cash)
{
throw new InvalidOperationException($"Non null {nameof(IExecutionModel)} and {nameof(IPortfolioConstructionModel)} are currently unsuitable for Cash Modeled brokerages (e.g. GDAX) and may result in unexpected trades."
+ " To prevent possible user error we've restricted them to Margin trading. You can select margin account types with"
+ $" SetBrokerage( ... AccountType.Margin). Or please set them to {nameof(NullExecutionModel)}, {nameof(NullPortfolioConstructionModel)}");
}
Execution.Execute(this, riskAdjustedTargets);
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
if (UtcTime >= UniverseSelection.GetNextRefreshTimeUtc())
{
var universes = UniverseSelection.CreateUniverses(this).ToDictionary(u => u.Configuration.Symbol);
// remove deselected universes by symbol
foreach (var ukvp in UniverseManager)
{
var universeSymbol = ukvp.Key;
var qcUserDefined = UserDefinedUniverse.CreateSymbol(ukvp.Value.SecurityType, ukvp.Value.Market);
if (universeSymbol.Equals(qcUserDefined))
{
// prevent removal of qc algorithm created user defined universes
continue;
}
Universe universe;
if (!universes.TryGetValue(universeSymbol, out universe))
{
if (ukvp.Value.DisposeRequested)
{
UniverseManager.Remove(universeSymbol);
}
// mark this universe as disposed to remove all child subscriptions
ukvp.Value.Dispose();
}
}
// add newly selected universes
foreach (var ukvp in universes)
{
// note: UniverseManager.Add uses TryAdd, so don't need to worry about duplicates here
UniverseManager.Add(ukvp);
}
}
// we only want to run universe selection if there's no data available in the slice
if (!slice.HasData)
{
return;
}
// insight timestamping handled via InsightsGenerated event handler
var insights = Alpha.Update(this, slice).ToArray();
// only fire insights generated event if we actually have insights
if (insights.Length != 0)
{
// debug printing of generated insights
if (DebugMode)
{
Log($"{Time}: ALPHA: {string.Join(" | ", insights.Select(i => i.ToString()).OrderBy(i => i))}");
}
OnInsightsGenerated(insights);
}
// construct portfolio targets from insights
var targets = PortfolioConstruction.CreateTargets(this, insights).ToArray();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Length > 0)
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverrides = RiskManagement.ManageRisk(this, targets).ToArray();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
// execute on the targets, overriding targets for symbols w/ risk targets
var riskAdjustedTargets = riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol).ToArray();
if (DebugMode)
{
// only log adjusted targets if we've performed an adjustment
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
Execution.Execute(this, riskAdjustedTargets);
}
