/// <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 virtual IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithmFramework algorithm, Insight[] 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 (_securities.Count == 0)
{
return(Enumerable.Empty <IPortfolioTarget>());
}
// give equal weighting to each security
var percent = 1m / _securities.Count;
foreach (var insight in insights)
{
targets.Add(PortfolioTarget.Percent(algorithm, insight.Symbol, (int)insight.Direction * percent));
}
return(targets);
}
/// <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)
{
var targets = new List <IPortfolioTarget>();
if (algorithm.UtcTime <= _nextExpiryTime &&
algorithm.UtcTime <= _rebalancingTime &&
insights.Length == 0 &&
_removedSymbols == null)
{
return(targets);
}
_insightCollection.AddRange(insights);
// Create flatten target for each security that was removed from the universe
if (_removedSymbols != null)
{
var universeDeselectionTargets = _removedSymbols.Select(symbol => new PortfolioTarget(symbol, 0));
targets.AddRange(universeDeselectionTargets);
_removedSymbols = null;
}
// Get insight that haven't expired of each symbol that is still in the universe
var activeInsights = _insightCollection.GetActiveInsights(algorithm.UtcTime);
// Get the last generated active insight for each symbol
var lastActiveInsights = from insight in activeInsights
group insight by insight.Symbol into g
select g.OrderBy(x => x.GeneratedTimeUtc).Last();
// give equal weighting to each security
var count = lastActiveInsights.Count(x => x.Direction != InsightDirection.Flat);
var percent = count == 0 ? 0 : 1m / count;
foreach (var insight in lastActiveInsights)
{
targets.Add(PortfolioTarget.Percent(algorithm, insight.Symbol, (int)insight.Direction * percent));
}
// Get expired insights and create flatten targets for each symbol
var expiredInsights = _insightCollection.RemoveExpiredInsights(algorithm.UtcTime);
var expiredTargets = from insight in expiredInsights
group insight.Symbol by insight.Symbol into g
where !_insightCollection.HasActiveInsights(g.Key, algorithm.UtcTime)
select new PortfolioTarget(g.Key, 0);
targets.AddRange(expiredTargets);
_nextExpiryTime = _insightCollection.GetNextExpiryTime();
_rebalancingTime = algorithm.UtcTime.Add(_rebalancingPeriod);
return(targets);
}
/// <summary>
/// Create portfolio targets from the specified alphas
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="alphas">The alphas to create portoflio targets from</param>
/// <returns>An enumerable of portoflio targets to be sent to the execution model</returns>
public IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithmFramework algorithm, List <Alpha> alphas)
{
if (_securities.Count == 0)
{
return(Enumerable.Empty <IPortfolioTarget>());
}
// give equal weighting to each security
var percent = 1m / _securities.Count;
return(alphas.Select(alpha =>
PortfolioTarget.Percent(algorithm, alpha.Symbol, (int)alpha.Direction * percent)
));
}
/// <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 last insight that haven't expired of each symbol that is still in the universe
var activeInsights = (from insight in _insightCollection
// Remove expired insights
where insight.CloseTimeUtc > algorithm.UtcTime
// Force one group per symbol
group insight by insight.Symbol into g
// For direction, we'll trust the most recent insight
select g.OrderBy(x => x.GeneratedTimeUtc).LastOrDefault())
.ToList();
if (activeInsights.Count == 0)
{
return(targets);
}
// give equal weighting to each security
var count = activeInsights.Count(x => x.Direction != InsightDirection.Flat);
var percent = count == 0 ? 0 : 1m / count;
foreach (var insight in activeInsights)
{
targets.Add(PortfolioTarget.Percent(algorithm, insight.Symbol, (int)insight.Direction * percent));
}
// add targets to remove invested securities
targets.AddRange(from kvp in algorithm.Portfolio
where kvp.Value.Invested
where targets.All(x => kvp.Key != x.Symbol)
select new PortfolioTarget(kvp.Key, 0));
return(targets);
}
/// <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>
/// 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)
{
var targets = new List <IPortfolioTarget>();
// remove pending
foreach (var symbol in _pendingRemoval)
{
targets.Add(new PortfolioTarget(symbol, 0));
}
_pendingRemoval.Clear();
var symbols = insights.Select(x => x.Symbol).Distinct();
if (symbols.Count() == 0 || insights.All(x => x.Magnitude == 0))
{
return(targets);
}
// Get symbols' returns
var returns = _symbolDataDict.FormReturnsMatrix(symbols);
// Calculate equilibrium returns
double[] Π;
double[,] Σ;
GetEquilibriumReturns(returns, out Π, out Σ);
// Calculate implied equilibrium returns
double[,] P;
double[] Q;
if (TryGetViews(insights, out P, out Q))
{
// Create the diagonal covariance matrix of error terms from the expressed views
var Ω = P.Dot(Σ).DotWithTransposed(P).Multiply(_tau);
double[,] matrix = Matrix.Diagonal(P.Dot(Σ).DotWithTransposed(P).Multiply(_tau).Diagonal());
if (Ω.Determinant() != 0)
{
var invCov = Σ.Multiply(_tau).Inverse();
var PTomega = P.TransposeAndDot(Ω.Inverse());
var A = invCov.Add(PTomega.Dot(P));
var B = invCov.Dot(Π).Add(PTomega.Dot(Q));
Π = A.Inverse().Dot(B);
}
}
// The optimization method processes the data frame
var W = _optimizer.Optimize(returns, expectedReturns: Π);
// Create portfolio targets from the specified insights
if (W.Length > 0)
{
int sidx = 0;
foreach (var symbol in symbols)
{
var weight = (decimal)W[sidx];
targets.Add(PortfolioTarget.Percent(algorithm, symbol, weight));
sidx++;
}
}
return(targets);
}
/// <summary>
/// Create portfolio targets from the specified insights
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="insights">The insights to create portfolio targets from</param>
/// <returns>An enumerable of portfolio targets to be sent to the execution model</returns>
public override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
{
var targets = new List <IPortfolioTarget>();
// remove pending
foreach (var symbol in _pendingRemoval)
{
targets.Add(new PortfolioTarget(symbol, 0));
}
_pendingRemoval.Clear();
insights = FilterInvalidInsightMagnitude(algorithm, insights);
var symbols = insights.Select(x => x.Symbol).Distinct();
if (symbols.Count() == 0 || insights.All(x => x.Magnitude == 0))
{
return(targets);
}
foreach (var insight in insights)
{
ReturnsSymbolData data;
if (_symbolDataDict.TryGetValue(insight.Symbol, out data))
{
if (!insight.Magnitude.HasValue)
{
algorithm.SetRunTimeError(
new ArgumentNullException(
insight.Symbol.Value,
"MeanVarianceOptimizationPortfolioConstructionModel does not accept 'null' as Insight.Magnitude. " +
"Please checkout the selected Alpha Model specifications: " + insight.SourceModel));
continue;
}
data.Add(algorithm.Time, insight.Magnitude.Value.SafeDecimalCast());
}
}
// Get symbols' returns
var returns = _symbolDataDict.FormReturnsMatrix(symbols);
// Calculate rate of returns
var rreturns = returns.Apply(e => Math.Pow(1.0 + e, 252.0) - 1.0);
// Calculate geometric mean of rate of returns
var gmean = Enumerable.Range(0, rreturns.GetLength(1))
.Select(i => rreturns.GetColumn(i))
.Select(c => Math.Pow(Elementwise.Add(c, 1.0).Product(), 1.0 / c.Length) - 1.0)
.ToArray();
// The optimization method processes the data frame
var W = _optimizer.Optimize(rreturns); //, gmean);
// process results
if (W.Length > 0)
{
int sidx = 0;
foreach (var symbol in symbols)
{
var weight = W[sidx].SafeDecimalCast();
var target = PortfolioTarget.Percent(algorithm, symbol, weight);
if (target != null)
{
targets.Add(target);
}
sidx++;
}
}
return(targets);
}
/// <summary>
/// Create portfolio targets from the specified insights
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="insights">The insights to create portfolio targets from</param>
/// <returns>An enumerable of portfolio targets to be sent to the execution model</returns>
public override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
{
// always add new insights
if (insights.Length > 0)
{
// Validate we should create a target for this insight
InsightCollection.AddRange(insights.Where(ShouldCreateTargetForInsight));
}
if (!IsRebalanceDue(insights, algorithm.UtcTime))
{
return(Enumerable.Empty <IPortfolioTarget>());
}
var targets = new List <IPortfolioTarget>();
// Create flatten target for each security that was removed from the universe
if (_removedSymbols != null)
{
var universeDeselectionTargets = _removedSymbols.Select(symbol => new PortfolioTarget(symbol, 0));
targets.AddRange(universeDeselectionTargets);
_removedSymbols = null;
}
// Get insight that haven't expired of each symbol that is still in the universe
var activeInsights = InsightCollection.GetActiveInsights(algorithm.UtcTime);
// Get the last generated active insight for each symbol
var lastActiveInsights = (from insight in activeInsights
group insight by insight.Symbol into g
select g.OrderBy(x => x.GeneratedTimeUtc).Last()).ToList();
var errorSymbols = new HashSet <Symbol>();
// Determine target percent for the given insights
var percents = DetermineTargetPercent(lastActiveInsights);
foreach (var insight in lastActiveInsights)
{
var target = PortfolioTarget.Percent(algorithm, insight.Symbol, percents[insight]);
if (target != null)
{
targets.Add(target);
}
else
{
errorSymbols.Add(insight.Symbol);
}
}
// Get expired insights and create flatten targets for each symbol
var expiredInsights = InsightCollection.RemoveExpiredInsights(algorithm.UtcTime);
var expiredTargets = from insight in expiredInsights
group insight.Symbol by insight.Symbol into g
where !InsightCollection.HasActiveInsights(g.Key, algorithm.UtcTime) && !errorSymbols.Contains(g.Key)
select new PortfolioTarget(g.Key, 0);
targets.AddRange(expiredTargets);
return(targets);
}
/// <summary>
/// Create portfolio targets from the specified insights
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="insights">The insights to create portfolio targets from</param>
/// <returns>An enumerable of portfolio targets to be sent to the execution model</returns>
public virtual IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
{
Algorithm = algorithm;
// always add new insights
if (insights.Length > 0)
{
// Validate we should create a target for this insight
InsightCollection.AddRange(insights
.Where(insight => PythonWrapper?.ShouldCreateTargetForInsight(insight)
?? ShouldCreateTargetForInsight(insight)));
}
if (!(PythonWrapper?.IsRebalanceDue(insights, algorithm.UtcTime)
?? IsRebalanceDue(insights, algorithm.UtcTime)))
{
return(Enumerable.Empty <IPortfolioTarget>());
}
var targets = new List <IPortfolioTarget>();
// Create flatten target for each security that was removed from the universe
if (_removedSymbols != null)
{
var universeDeselectionTargets = _removedSymbols.Select(symbol => new PortfolioTarget(symbol, 0));
targets.AddRange(universeDeselectionTargets);
_removedSymbols = null;
}
var lastActiveInsights = PythonWrapper?.GetTargetInsights()
?? GetTargetInsights();
var errorSymbols = new HashSet <Symbol>();
// Determine target percent for the given insights
var percents = PythonWrapper?.DetermineTargetPercent(lastActiveInsights)
?? DetermineTargetPercent(lastActiveInsights);
foreach (var insight in lastActiveInsights)
{
double percent;
if (!percents.TryGetValue(insight, out percent))
{
continue;
}
var target = PortfolioTarget.Percent(algorithm, insight.Symbol, percent);
if (target != null)
{
targets.Add(target);
}
else
{
errorSymbols.Add(insight.Symbol);
}
}
// Get expired insights and create flatten targets for each symbol
var expiredInsights = InsightCollection.RemoveExpiredInsights(algorithm.UtcTime);
var expiredTargets = from insight in expiredInsights
group insight.Symbol by insight.Symbol into g
where !InsightCollection.HasActiveInsights(g.Key, algorithm.UtcTime) && !errorSymbols.Contains(g.Key)
select new PortfolioTarget(g.Key, 0);
targets.AddRange(expiredTargets);
return(targets);
}
/// <summary>
/// Create portfolio targets from the specified insights
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="insights">The insights to create portfolio targets from</param>
/// <returns>An enumerable of portfolio targets to be sent to the execution model</returns>
public override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
{
var targets = new List <IPortfolioTarget>();
if (algorithm.UtcTime <= _nextExpiryTime &&
algorithm.UtcTime <= _rebalancingTime &&
insights.Length == 0 &&
_removedSymbols == null)
{
return(targets);
}
insights = FilterInvalidInsightMagnitude(algorithm, insights);
_insightCollection.AddRange(insights);
// Create flatten target for each security that was removed from the universe
if (_removedSymbols != null)
{
var universeDeselectionTargets = _removedSymbols.Select(symbol => new PortfolioTarget(symbol, 0));
targets.AddRange(universeDeselectionTargets);
_removedSymbols = null;
}
// Get insight that haven't expired of each symbol that is still in the universe
var activeInsights = _insightCollection.GetActiveInsights(algorithm.UtcTime);
// Get the last generated active insight for each symbol
var lastActiveInsights = (from insight in activeInsights
group insight by new { insight.Symbol, insight.SourceModel } into g
select g.OrderBy(x => x.GeneratedTimeUtc).Last())
.OrderBy(x => x.Symbol).ToArray();
double[,] P;
double[] Q;
if (TryGetViews(lastActiveInsights, out P, out Q))
{
// Updates the ReturnsSymbolData with insights
foreach (var insight in lastActiveInsights)
{
ReturnsSymbolData symbolData;
if (_symbolDataDict.TryGetValue(insight.Symbol, out symbolData))
{
if (insight.Magnitude == null)
{
algorithm.SetRunTimeError(new ArgumentNullException("BlackLittermanOptimizationPortfolioConstructionModel does not accept \'null\' as Insight.Magnitude. Please make sure your Alpha Model is generating Insights with the Magnitude property set."));
}
symbolData.Add(algorithm.Time, insight.Magnitude.Value.SafeDecimalCast());
}
}
// Get symbols' returns
var symbols = lastActiveInsights.Select(x => x.Symbol).Distinct().ToList();
var returns = _symbolDataDict.FormReturnsMatrix(symbols);
// Calculate posterior estimate of the mean and uncertainty in the mean
double[,] Σ;
var Π = GetEquilibriumReturns(returns, out Σ);
ApplyBlackLittermanMasterFormula(ref Π, ref Σ, P, Q);
// Create portfolio targets from the specified insights
var W = _optimizer.Optimize(returns, Π, Σ);
var sidx = 0;
foreach (var symbol in symbols)
{
var weight = W[sidx].SafeDecimalCast();
var target = PortfolioTarget.Percent(algorithm, symbol, weight);
if (target != null)
{
targets.Add(target);
}
sidx++;
}
}
// Get expired insights and create flatten targets for each symbol
var expiredInsights = _insightCollection.RemoveExpiredInsights(algorithm.UtcTime);
var expiredTargets = from insight in expiredInsights
group insight.Symbol by insight.Symbol into g
where !_insightCollection.HasActiveInsights(g.Key, algorithm.UtcTime)
select new PortfolioTarget(g.Key, 0);
targets.AddRange(expiredTargets);
_nextExpiryTime = _insightCollection.GetNextExpiryTime();
_rebalancingTime = algorithm.UtcTime.Add(_rebalancingPeriod);
return(targets);
}
/// <summary>
/// Create portfolio targets from the specified insights
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="insights">The insights to create portfolio targets from</param>
/// <returns>An enumerable of portfolio targets to be sent to the execution model</returns>
public override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
{
if (algorithm.UtcTime <= _nextExpiryTime &&
insights.Length == 0 &&
_removedSymbols == null)
{
yield break;
}
// Validate we should create a target for this insight
_insightCollection.AddRange(insights.Where(ShouldCreateTargetForInsight));
// Create flatten target for each security that was removed from the universe
foreach (var target in _removedSymbols.Select(symbol => new PortfolioTarget(symbol, 0)))
{
yield return(target);
}
// Get insight that haven't expired of each symbol that is still in the universe
var activeInsights = _insightCollection.GetActiveInsights(algorithm.UtcTime);
// Get the last generated active insight for each symbol
var lastActiveInsights = (from insight in activeInsights
group insight by insight.Symbol into g
select g.OrderBy(x => x.GeneratedTimeUtc).Last()).ToList();
var errorSymbols = new HashSet <Symbol>();
// Determine target percent for the given insights
var percents = DetermineTargetPercent(lastActiveInsights);
foreach (var insight in percents.Keys)
{
var target = PortfolioTarget.Percent(algorithm, insight.Symbol, percents[insight]);
if (target != null)
{
yield return(target);
}
else
{
errorSymbols.Add(insight.Symbol);
}
}
// Get expired insights and create flatten targets for each symbol
var expiredInsights = _insightCollection.RemoveExpiredInsights(algorithm.UtcTime);
percents = UpdateExpiredInsights(expiredInsights);
foreach (var insight in percents.Keys)
{
var target = PortfolioTarget.Percent(algorithm, insight.Symbol, percents[insight]);
if (target != null)
{
yield return(target);
}
else
{
errorSymbols.Add(insight.Symbol);
}
}
_nextExpiryTime = _insightCollection.GetNextExpiryTime();
}