Exemplo n.º 1
0
 /// <summary>
 /// Calculate Alpha and Beta, the initial number of shares for each security needed to achieve a 50/50 weighting
 /// </summary>
 /// <param name="algorithm"></param>
 private void CalculateAlphaBeta(QCAlgorithmFramework algorithm)
 {
     _alpha = algorithm.CalculateOrderQuantity(_longSymbol, 0.5);
     _beta  = algorithm.CalculateOrderQuantity(_shortSymbol, 0.5);
     algorithm.Log($"{algorithm.Time} :: Alpha: {_alpha} Beta: {_beta}");
 }