/// <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 unless RebalanceOnSecurityChanges is False
if (_removedSymbols != null)
{
/// <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);
}
