/// <summary>
/// Initializes a new instance of the <see cref="ConstantAlphaModel"/> class
/// </summary>
/// <param name="type">The type of insight</param>
/// <param name="direction">The direction of the insight</param>
/// <param name="period">The period over which the insight with come to fruition</param>
/// <param name="magnitude">The predicted change in magnitude as a +- percentage</param>
/// <param name="confidence">The confidence in the insight</param>
public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period, double?magnitude, double?confidence)
{
_type = type;
_direction = direction;
_period = period;
// Optional
_magnitude = magnitude;
_confidence = confidence;
_securities = new HashSet <Security>();
_insightsTimeBySymbol = new Dictionary <Symbol, DateTime>();
Name = $"{nameof(ConstantAlphaModel)}({type},{direction},{period}";
if (magnitude.HasValue)
{
Name += $",{magnitude.Value}";
}
if (confidence.HasValue)
{
Name += $",{confidence.Value}";
}
Name += ")";
}
/// <summary>
/// Private constructor used to keep track of how a user defined the insight period.
/// </summary>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="periodSpec">A specification defining how the insight's period was defined, via time span, via resolution/barcount, via close time</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this insight</param>
/// <param name="sourceModel">An identifier defining the model that generated this insight</param>
/// <param name="weight">The portfolio weight of this insight</param>
private Insight(Symbol symbol, IPeriodSpecification periodSpec, InsightType type, InsightDirection direction, double?magnitude, double?confidence, string sourceModel = null, double?weight = null)
{
Id = Guid.NewGuid();
Score = new InsightScore();
SourceModel = sourceModel;
Symbol = symbol;
Type = type;
Direction = direction;
// Optional
Magnitude = magnitude;
Confidence = confidence;
Weight = weight;
_periodSpecification = periodSpec;
// keep existing behavior of Insight.Price such that we set the period immediately
var period = (periodSpec as TimeSpanPeriodSpecification)?.Period;
if (period != null)
{
Period = period.Value;
}
}
public void AddConsumer(InsightType insightType, IAnalysisConsumer analysisConsumer, ConsumeOptions options)
{
switch (insightType)
{
case InsightType.PartitionInsight:
if (this.partitionInsightGenerator != null)
{
this.partitionInsightGenerator.AddConsumer(analysisConsumer, options);
}
break;
case InsightType.ReplicaInsight:
break;
case InsightType.CodePackageInsight:
break;
case InsightType.NodeInsight:
break;
case InsightType.ClusterInsight:
break;
default:
throw new NotSupportedException(string.Format(CultureInfo.InvariantCulture, "Insight Type '{0}' is currently not supported", insightType));
}
}
/// <summary>
/// Initializes a new instance of the <see cref="ConstantAlphaModel"/> class
/// </summary>
/// <param name="type">The type of insight</param>
/// <param name="direction">The direction of the insight</param>
/// <param name="period">The period over which the insight with come to fruition</param>
/// <param name="magnitude">The predicted change in magnitude as a +- percentage</param>
/// <param name="confidence">The confidence in the insight</param>
public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period, double?magnitude, double?confidence)
{
_type = type;
_direction = direction;
_period = period;
// Optional
_magnitude = magnitude;
_confidence = confidence;
_securities = new HashSet <Security>();
_insightsTimeBySymbol = new Dictionary <Symbol, DateTime>();
}
public void IgnoresFlatInsightsWithScore(InsightScoreType scoreType, InsightType insightType, double?magnitude)
{
var time = new DateTime(2000, 01, 01);
var stats = new StatisticsInsightManagerExtension(new TestAccountCurrencyProvider());
var insight = new Insight(Symbols.SPY, TimeSpan.FromDays(1), insightType, InsightDirection.Flat, magnitude, null);
var spySecurityValues = new SecurityValues(insight.Symbol, time, SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), 100m, 1m, 125000, 1m);
var context = new InsightAnalysisContext(insight, spySecurityValues, insight.Period);
context.Score.SetScore(InsightScoreType.Direction, .55, time);
context.Score.SetScore(InsightScoreType.Magnitude, .25, time);
stats.OnInsightAnalysisCompleted(context);
Assert.AreEqual(0.0, stats.Statistics.RollingAveragedPopulationScore.Direction);
Assert.AreEqual(0.0, stats.Statistics.RollingAveragedPopulationScore.Magnitude);
}
/// <summary>
/// Initializes a new instance of the <see cref="Insight"/> class
/// </summary>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="period">The period over which the prediction will come true</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this insight</param>
public Insight(Symbol symbol, InsightType type, InsightDirection direction, TimeSpan period, double?magnitude, double?confidence)
{
Id = Guid.NewGuid();
Score = new InsightScore();
Symbol = symbol;
Type = type;
Direction = direction;
Period = period;
// Optional
Magnitude = magnitude;
Confidence = confidence;
}
/// <summary>
/// Gets the security value corresponding to the specified insight type
/// </summary>
/// <param name="type">The insight type</param>
/// <returns>The security value for the specified insight type</returns>
public decimal Get(InsightType type)
{
switch (type)
{
case InsightType.Price:
return(Price);
case InsightType.Volatility:
return(Volatility);
default:
throw new ArgumentOutOfRangeException(nameof(type), type, null);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="Insight"/> class
/// </summary>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="period">The period over which the prediction will come true</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this insight</param>
/// <param name="sourceModel">An identifier defining the model that generated this insight</param>
public Insight(Symbol symbol, TimeSpan period, InsightType type, InsightDirection direction, double? magnitude, double? confidence, string sourceModel = null)
{
Id = Guid.NewGuid();
Score = new InsightScore();
SourceModel = sourceModel;
Symbol = symbol;
Type = type;
Direction = direction;
Period = period;
// Optional
Magnitude = magnitude;
Confidence = confidence;
_periodSpecification = new TimeSpanPeriodSpecification(period);
}
public void ShouldAnalyzeInsight(InsightScoreType scoreType,
InsightType insightType,
double?magnitude)
{
var context = new InsightAnalysisContext(
new Insight(Symbols.SPY,
TimeSpan.FromDays(1),
insightType,
InsightDirection.Flat,
magnitude,
null),
new SecurityValues(Symbols.SPY,
new DateTime(2013, 1, 1),
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
1, 1, 1, 1),
TimeSpan.FromDays(1));
Assert.AreEqual(false, context.ShouldAnalyze(scoreType));
}
/// <summary>
/// Initializes a new instance of the <see cref="Insight"/> class
/// </summary>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="period">The period over which the prediction will come true</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
public Insight(Symbol symbol, TimeSpan period, InsightType type, InsightDirection direction)
: this(symbol, period, type, direction, null, null)
{
}
/// <inheritdoc />
public IInsightScoreFunction GetScoreFunction(InsightType insightType, InsightScoreType scoreType)
{
return(Function);
}
/// <summary>
/// Initializes a new instance of the <see cref="ConstantAlphaModel"/> class
/// </summary>
/// <param name="type">The type of insight</param>
/// <param name="direction">The direction of the insight</param>
/// <param name="period">The period over which the insight with come to fruition</param>
public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period)
: this(type, direction, period, null, null)
{
}
public InsightsMetadata CreateInsightsMetadata(string messageName, string mappingId, InsightType insightType)
{
var millisecondsSinceEpoch = _unixTimestampGenerator.GenerateTimestamp();
return(new InsightsMetadata
{
Name = messageName,
InsightMappingId = mappingId,
InsightType = insightType,
Tags = new Dictionary <string, string>
{
{ "language", "csharp" }
},
Timestamp = millisecondsSinceEpoch
});
}
public AlphaStreamInsight(DateTime generatedTimeUtc, Symbol symbol, TimeSpan period, InsightType type, InsightDirection direction,
double?magnitude, double?confidence, string sourceModel = null, double?weight = null) :
base(generatedTimeUtc, symbol, period, type, direction, magnitude, confidence, sourceModel, weight)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="Insight"/> class.
/// This constructor is provided mostly for testing purposes. When running inside an algorithm,
/// the generated and close times are set based on the algorithm's time.
/// </summary>
/// <param name="generatedTimeUtc">The time this insight was generated in utc</param>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="period">The period over which the prediction will come true</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this insight</param>
public Insight(DateTime generatedTimeUtc, Symbol symbol, InsightType type, InsightDirection direction, TimeSpan period, double?magnitude, double?confidence)
: this(symbol, type, direction, period, magnitude, confidence)
{
GeneratedTimeUtc = generatedTimeUtc;
CloseTimeUtc = generatedTimeUtc + period;
}
/// <summary>
/// Initializes a new instance of the <see cref="Insight"/> class
/// </summary>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="expiryFunc">Func that defines the expiry time</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this insight</param>
/// <param name="sourceModel">An identifier defining the model that generated this insight</param>
/// <param name="weight">The portfolio weight of this insight</param>
public Insight(Symbol symbol, Func <DateTime, DateTime> expiryFunc, InsightType type, InsightDirection direction, double?magnitude, double?confidence, string sourceModel = null, double?weight = null)
: this(symbol, new FuncPeriodSpecification(expiryFunc), type, direction, magnitude, confidence, sourceModel, weight)
{
}
public DerivedInsight(Symbol symbol, TimeSpan period, InsightType type, InsightDirection direction)
: base(symbol, period, type, direction)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="Insight"/> class.
/// This constructor is provided mostly for testing purposes. When running inside an algorithm,
/// the generated and close times are set based on the algorithm's time.
/// </summary>
/// <param name="generatedTimeUtc">The time this insight was generated in utc</param>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="period">The period over which the prediction will come true</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
/// <param name="magnitude">The predicted magnitude as a percentage change</param>
/// <param name="confidence">The confidence in this insight</param>
/// <param name="sourceModel">An identifier defining the model that generated this insight</param>
public Insight(DateTime generatedTimeUtc, Symbol symbol, TimeSpan period, InsightType type, InsightDirection direction, double? magnitude, double? confidence, string sourceModel = null)
: this(symbol, period, type, direction, magnitude, confidence, sourceModel)
{
GeneratedTimeUtc = generatedTimeUtc;
CloseTimeUtc = generatedTimeUtc + period;
}
public ConstantFutureContractAlphaModel(InsightType type, InsightDirection direction, TimeSpan period)
: base(type, direction, period)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="Insight"/> class
/// </summary>
/// <param name="symbol">The symbol this insight is for</param>
/// <param name="expiryFunc">Func that defines the expiry time</param>
/// <param name="type">The type of insight, price/volatility</param>
/// <param name="direction">The predicted direction</param>
public Insight(Symbol symbol, Func <DateTime, DateTime> expiryFunc, InsightType type, InsightDirection direction)
: this(symbol, expiryFunc, type, direction, null, null)
{
}
