/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public 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 insightsEnumerable = Alpha.Update(this, slice);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var insights = insightsEnumerable == Enumerable.Empty <Insight>()
? new Insight[] { } : insightsEnumerable.ToArray();
// only fire insights generated event if we actually have insights
if (insights.Length != 0)
{
OnInsightsGenerated(insights.Select(InitializeInsightFields));
}
ProcessInsights(insights);
}
/// <summary>
/// Called by setup handlers after Initialize and allows the algorithm a chance to organize
/// the data gather in the Initialize method
/// </summary>
public override void PostInitialize()
{
CheckModels();
foreach (var universe in UniverseSelection.CreateUniverses(this))
{
AddUniverse(universe);
}
base.PostInitialize();
}
/// <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()
{
foreach (var universe in UniverseSelection.CreateUniverses(this))
{
AddUniverse(universe);
}
if (DebugMode)
{
InsightsGenerated += (algorithm, data) => Log($"{Time}: {string.Join(" | ", data.Insights.OrderBy(i => i.Symbol.ToString()))}");
}
}
/// <summary>
/// Called by setup handlers after Initialize and allows the algorithm a chance to organize
/// the data gather in the Initialize method
/// </summary>
public void FrameworkPostInitialize()
{
foreach (var universe in UniverseSelection.CreateUniverses(this))
{
// on purpose we don't call 'AddUniverse' here so that these universes don't get registered as user added
// this is so that later during 'UniverseSelection.CreateUniverses' we wont remove them from UniverseManager
_pendingUniverseAdditions.Add(universe);
}
if (DebugMode)
{
InsightsGenerated += (algorithm, data) => Log($"{Time}: {string.Join(" | ", data.Insights.OrderBy(i => i.Symbol.ToString()))}");
}
}
/// <summary>
/// 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>
/// Called by setup handlers after Initialize and allows the algorithm a chance to organize
/// the data gather in the Initialize method
/// </summary>
public override void PostInitialize()
{
CheckModels();
foreach (var universe in UniverseSelection.CreateUniverses(this))
{
AddUniverse(universe);
}
if (DebugMode)
{
InsightsGenerated += (algorithm, data) => Log($"{Time}: {string.Join(" | ", data.Insights.OrderBy(i => i.Symbol.ToString()))}");
}
// emit warning message about using the framework with cash modelling
if (BrokerageModel.AccountType == AccountType.Cash)
{
Error("These models 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)");
}
base.PostInitialize();
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public 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;
if (_userAddedUniverses.Contains(universeSymbol))
{
// prevent removal of qc algorithm created user defined universes
continue;
}
if (ukvp.Value.DisposeRequested)
{
// have to remove in the next loop after the universe is marked as disposed, when 'Dispose()' is called it will trigger universe selection
// and deselect all symbols, sending the removed security changes, which are picked up by the AlgorithmManager and tags securities
// as non tradable as long as they are not active in any universe (uses UniverseManager.ActiveSecurities)
// but they will remain tradable if a position is still being hold since they won't be remove from the UniverseManager
// but this last part will not happen if we remove the universe from the UniverseManager right away, since it won't be part of 'UniverseManager'.
// And we have to remove the universe even if it's present at 'universes' because that one is another New universe that should get added!
// 'UniverseManager' will skip duplicate entries getting added.
UniverseManager.Remove(universeSymbol);
}
Universe universe;
if (!universes.TryGetValue(universeSymbol, out universe))
{
// 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 insightsEnumerable = Alpha.Update(this, slice);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var insights = insightsEnumerable == Enumerable.Empty <Insight>()
? new Insight[] { } : insightsEnumerable.ToArray();
// only fire insights generated event if we actually have insights
if (insights.Length != 0)
{
insights = InitializeInsights(insights);
OnInsightsGenerated(insights);
}
ProcessInsights(insights);
}
/// <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);
}