/// <summary>
/// Determines the target percent for each insight
/// </summary>
/// <param name="activeInsights">The active insights to generate a target for</param>
/// <returns>A target percent for each insight</returns>
protected override Dictionary <Insight, double> DetermineTargetPercent(ICollection <Insight> activeInsights)
{
var percentPerSymbol = new Dictionary <Symbol, double>();
foreach (var insight in InsightCollection.GetActiveInsights(_currentUtcTime)
.OrderBy(insight => insight.GeneratedTimeUtc))
{
double targetPercent;
if (percentPerSymbol.TryGetValue(insight.Symbol, out targetPercent))
{
if (insight.Direction == InsightDirection.Flat)
{
// We received a Flat
// if adding or subtracting will push past 0, then make it 0
if (Math.Abs(targetPercent) < _percent)
{
targetPercent = 0;
}
else
{
// otherwise, we flatten by percent
targetPercent += (targetPercent > 0 ? -_percent : _percent);
}
}
}
targetPercent += _percent * (int)insight.Direction;
percentPerSymbol[insight.Symbol] = targetPercent;
}
return(activeInsights
.ToDictionary(insight => insight, insight => percentPerSymbol[insight.Symbol]));
}
/// <summary>
/// Gets the target insights to calculate a portfolio target percent for
/// </summary>
/// <returns>An enumerable of the target insights</returns>
protected virtual List <Insight> GetTargetInsights()
{
// Get insight that haven't expired of each symbol that is still in the universe
var activeInsights = InsightCollection.GetActiveInsights(Algorithm.UtcTime);
// Get the last generated active insight for each symbol
return((from insight in activeInsights
group insight by insight.Symbol into g
select g.OrderBy(x => x.GeneratedTimeUtc).Last()).ToList());
}
/// <summary>
/// Create portfolio targets from the specified insights
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="insights">The insights to create portoflio targets from</param>
/// <returns>An enumerable of portoflio targets to be sent to the execution model</returns>
public override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithmFramework algorithm, Insight[] insights)
{
var targets = new List <IPortfolioTarget>();
if (algorithm.UtcTime <= _nextExpiryTime &&
algorithm.UtcTime <= _rebalancingTime &&
insights.Length == 0 &&
_removedSymbols == null)
{
return(targets);
}
_insightCollection.AddRange(insights);
// 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;
}
// Get insight that haven't expired of each symbol that is still in the universe
var activeInsights = _insightCollection.GetActiveInsights(algorithm.UtcTime);
// Get the last generated active insight for each symbol
var lastActiveInsights = from insight in activeInsights
group insight by insight.Symbol into g
select g.OrderBy(x => x.GeneratedTimeUtc).Last();
// give equal weighting to each security
var count = lastActiveInsights.Count(x => x.Direction != InsightDirection.Flat);
var percent = count == 0 ? 0 : 1m / count;
foreach (var insight in lastActiveInsights)
{
targets.Add(PortfolioTarget.Percent(algorithm, insight.Symbol, (int)insight.Direction * percent));
}
// 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)
select new PortfolioTarget(g.Key, 0);
targets.AddRange(expiredTargets);
_nextExpiryTime = _insightCollection.GetNextExpiryTime();
_rebalancingTime = algorithm.UtcTime.Add(_rebalancingPeriod);
return(targets);
}
/// <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 override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
{
// always add new insights
if (insights.Length > 0)
{
// Validate we should create a target for this insight
InsightCollection.AddRange(insights.Where(ShouldCreateTargetForInsight));
}
if (!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;
}
// Get insight that haven't expired of each symbol that is still in the universe
var activeInsights = InsightCollection.GetActiveInsights(algorithm.UtcTime);
// Get the last generated active insight for each symbol
var lastActiveInsights = (from insight in activeInsights
group insight by insight.Symbol into g
select g.OrderBy(x => x.GeneratedTimeUtc).Last()).ToList();
var errorSymbols = new HashSet <Symbol>();
// Determine target percent for the given insights
var percents = DetermineTargetPercent(lastActiveInsights);
foreach (var insight in lastActiveInsights)
{
var target = PortfolioTarget.Percent(algorithm, insight.Symbol, percents[insight]);
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);
}
/// <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 override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
{
var targets = new List <IPortfolioTarget>();
if (algorithm.UtcTime <= _nextExpiryTime &&
algorithm.UtcTime <= _rebalancingTime &&
insights.Length == 0 &&
_removedSymbols == null)
{
return(targets);
}
insights = FilterInvalidInsightMagnitude(algorithm, insights);
_insightCollection.AddRange(insights);
// 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;
}
// Get insight that haven't expired of each symbol that is still in the universe
var activeInsights = _insightCollection.GetActiveInsights(algorithm.UtcTime);
// Get the last generated active insight for each symbol
var lastActiveInsights = (from insight in activeInsights
group insight by new { insight.Symbol, insight.SourceModel } into g
select g.OrderBy(x => x.GeneratedTimeUtc).Last())
.OrderBy(x => x.Symbol).ToArray();
double[,] P;
double[] Q;
if (TryGetViews(lastActiveInsights, out P, out Q))
{
// Updates the ReturnsSymbolData with insights
foreach (var insight in lastActiveInsights)
{
ReturnsSymbolData symbolData;
if (_symbolDataDict.TryGetValue(insight.Symbol, out symbolData))
{
if (insight.Magnitude == null)
{
algorithm.SetRunTimeError(new ArgumentNullException("BlackLittermanOptimizationPortfolioConstructionModel does not accept \'null\' as Insight.Magnitude. Please make sure your Alpha Model is generating Insights with the Magnitude property set."));
}
symbolData.Add(algorithm.Time, insight.Magnitude.Value.SafeDecimalCast());
}
}
// Get symbols' returns
var symbols = lastActiveInsights.Select(x => x.Symbol).Distinct().ToList();
var returns = _symbolDataDict.FormReturnsMatrix(symbols);
// Calculate posterior estimate of the mean and uncertainty in the mean
double[,] Σ;
var Π = GetEquilibriumReturns(returns, out Σ);
ApplyBlackLittermanMasterFormula(ref Π, ref Σ, P, Q);
// Create portfolio targets from the specified insights
var W = _optimizer.Optimize(returns, Π, Σ);
var sidx = 0;
foreach (var symbol in symbols)
{
var weight = W[sidx].SafeDecimalCast();
var target = PortfolioTarget.Percent(algorithm, symbol, weight);
if (target != null)
{
targets.Add(target);
}
sidx++;
}
}
// 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)
select new PortfolioTarget(g.Key, 0);
targets.AddRange(expiredTargets);
_nextExpiryTime = _insightCollection.GetNextExpiryTime();
_rebalancingTime = algorithm.UtcTime.Add(_rebalancingPeriod);
return(targets);
}
/// <summary>
/// Gets the target insights to calculate a portfolio target percent for
/// </summary>
/// <returns>An enumerable of the target insights</returns>
protected override List <Insight> GetTargetInsights()
{
return(InsightCollection.GetActiveInsights(Algorithm.UtcTime)
.OrderBy(insight => insight.GeneratedTimeUtc)
.ToList());
}
/// <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 override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
{
if (algorithm.UtcTime <= _nextExpiryTime &&
insights.Length == 0 &&
_removedSymbols == null)
{
yield break;
}
// Validate we should create a target for this insight
_insightCollection.AddRange(insights.Where(ShouldCreateTargetForInsight));
// Create flatten target for each security that was removed from the universe
foreach (var target in _removedSymbols.Select(symbol => new PortfolioTarget(symbol, 0)))
{
yield return(target);
}
// Get insight that haven't expired of each symbol that is still in the universe
var activeInsights = _insightCollection.GetActiveInsights(algorithm.UtcTime);
// Get the last generated active insight for each symbol
var lastActiveInsights = (from insight in activeInsights
group insight by insight.Symbol into g
select g.OrderBy(x => x.GeneratedTimeUtc).Last()).ToList();
var errorSymbols = new HashSet <Symbol>();
// Determine target percent for the given insights
var percents = DetermineTargetPercent(lastActiveInsights);
foreach (var insight in percents.Keys)
{
var target = PortfolioTarget.Percent(algorithm, insight.Symbol, percents[insight]);
if (target != null)
{
yield return(target);
}
else
{
errorSymbols.Add(insight.Symbol);
}
}
// Get expired insights and create flatten targets for each symbol
var expiredInsights = _insightCollection.RemoveExpiredInsights(algorithm.UtcTime);
percents = UpdateExpiredInsights(expiredInsights);
foreach (var insight in percents.Keys)
{
var target = PortfolioTarget.Percent(algorithm, insight.Symbol, percents[insight]);
if (target != null)
{
yield return(target);
}
else
{
errorSymbols.Add(insight.Symbol);
}
}
_nextExpiryTime = _insightCollection.GetNextExpiryTime();
}
