/// <summary>
/// Add alphas to the manager from the collection
/// </summary>
/// <param name="collection">The alpha collection emitted from <see cref="IAlgorithm.AlphasGenerated"/></param>
public void AddAlphas(AlphaCollection collection)
{
foreach (var alpha in collection.Alphas)
{
var initialValues = _securityValuesProvider.GetValues(alpha.Symbol);
var analysisPeriod = alpha.Period + TimeSpan.FromTicks((long)(_extraAnalysisPeriodRatio * alpha.Period.Ticks));
_openAlphaContexts[alpha.Id] = new AlphaAnalysisContext(alpha, initialValues, analysisPeriod);
}
}
private Insight SetGeneratedAndClosedTimes(Insight insight)
{
insight.GeneratedTimeUtc = UtcTime;
insight.ReferenceValue = _securityValuesProvider.GetValues(insight.Symbol).Get(insight.Type);
if (string.IsNullOrEmpty(insight.SourceModel))
{
// set the source model name if not already set
insight.SourceModel = Alpha.GetModelName();
}
TimeSpan barSize;
Security security;
SecurityExchangeHours exchangeHours;
if (Securities.TryGetValue(insight.Symbol, out security))
{
exchangeHours = security.Exchange.Hours;
barSize = security.Resolution.ToTimeSpan();
}
else
{
barSize = insight.Period.ToHigherResolutionEquivalent(false).ToTimeSpan();
exchangeHours = MarketHoursDatabase.GetExchangeHours(insight.Symbol.ID.Market, insight.Symbol, insight.Symbol.SecurityType);
}
var localStart = UtcTime.ConvertFromUtc(exchangeHours.TimeZone);
barSize = QuantConnect.Time.Max(barSize, QuantConnect.Time.OneMinute);
var barCount = (int)(insight.Period.Ticks / barSize.Ticks);
insight.CloseTimeUtc = QuantConnect.Time.GetEndTimeForTradeBars(exchangeHours, localStart, barSize, barCount, false).ConvertToUtc(exchangeHours.TimeZone);
return(insight);
}
/// <summary>
/// Add alphas to the manager from the collection
/// </summary>
/// <param name="collection">The alpha collection emitted from <see cref="IAlgorithm.AlphasGenerated"/></param>
public void AddAlphas(AlphaCollection collection)
{
foreach (var alpha in collection.Alphas)
{
// save initial security values and deterine analysis period
var initialValues = _securityValuesProvider.GetValues(alpha.Symbol);
var analysisPeriod = alpha.Period + TimeSpan.FromTicks((long)(_extraAnalysisPeriodRatio * alpha.Period.Ticks));
// set this as an open analysis context
var context = new AlphaAnalysisContext(alpha, initialValues, analysisPeriod);
_openAlphaContexts[alpha.Id] = context;
// let everyone know we've received alpha
OnAlphaReceived(context);
}
}
/// <summary>
/// Helper class used to set values not required to be set by alpha models
/// </summary>
/// <param name="insight">The <see cref="Insight"/> to set the values for</param>
/// <returns>The same <see cref="Insight"/> instance with the values set</returns>
private Insight InitializeInsightFields(Insight insight)
{
insight.GeneratedTimeUtc = UtcTime;
insight.ReferenceValue = _securityValuesProvider.GetValues(insight.Symbol).Get(insight.Type);
insight.SourceModel = string.IsNullOrEmpty(insight.SourceModel) ? Alpha.GetModelName() : insight.SourceModel;
var exchangeHours = MarketHoursDatabase.GetExchangeHours(insight.Symbol.ID.Market, insight.Symbol, insight.Symbol.SecurityType);
insight.SetPeriodAndCloseTime(exchangeHours);
return(insight);
}
/// <summary>
/// Creates a new instance of <see cref="ReadOnlySecurityValuesCollection"/> to hold all <see cref="SecurityValues"/> for
/// the specified symbol at the current instant in time
/// </summary>
/// <param name="securityValuesProvider">Security values provider fetches security values for each symbol</param>
/// <param name="symbols">The symbols to get values for</param>
/// <returns>A collection of</returns>
public static ReadOnlySecurityValuesCollection GetValues(this ISecurityValuesProvider securityValuesProvider, IEnumerable <Symbol> symbols)
{
var values = new Dictionary <Symbol, SecurityValues>();
foreach (var symbol in symbols.Distinct())
{
values[symbol] = securityValuesProvider.GetValues(symbol);
}
return(new ReadOnlySecurityValuesCollection(values));
}
/// <summary>
/// Event invocator for the <see cref="QCAlgorithm.InsightsGenerated"/> event
/// </summary>
/// <remarks>
/// This method is sealed because the framework must be able to force setting of the
/// generated and close times before any event handlers are run. Bind directly to the
/// <see cref="QCAlgorithm.InsightsGenerated"/> event insead of overriding.
/// </remarks>
/// <param name="insights">The collection of insights generaed at the current time step</param>
protected sealed override void OnInsightsGenerated(IEnumerable <Insight> insights)
{
// set values not required to be set by alpha models
base.OnInsightsGenerated(insights.Select(insight =>
{
insight.GeneratedTimeUtc = UtcTime;
insight.ReferenceValue = _securityValuesProvider.GetValues(insight.Symbol).Get(insight.Type);
insight.SourceModel = string.IsNullOrEmpty(insight.SourceModel) ? Alpha.GetModelName() : insight.SourceModel;
var exchangeHours = MarketHoursDatabase.GetExchangeHours(insight.Symbol.ID.Market, insight.Symbol, insight.Symbol.SecurityType);
insight.SetPeriodAndCloseTime(exchangeHours);
return(insight);
}));
}
