/// <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>
/// Determines if the portfolio should be rebalanced base on the provided rebalancing func,
/// if any security change have been taken place or if an insight has expired or a new insight arrived
/// If the rebalancing function has not been provided will return true.
/// </summary>
/// <param name="insights">The insights to create portfolio targets from</param>
/// <param name="algorithmUtc">The current algorithm UTC time</param>
/// <returns>True if should rebalance</returns>
protected virtual bool IsRebalanceDue(Insight[] insights, DateTime algorithmUtc)
{
// if there is no rebalance func set, just return true but refresh state
// just in case the rebalance func is going to be set.
if (_rebalancingFunc == null)
{
RefreshRebalance(algorithmUtc);
return(true);
}
// we always get the next expiry time
// we don't know if a new insight was added or removed
var nextInsightExpiryTime = InsightCollection.GetNextExpiryTime();
if (_rebalancingTime == null)
{
_rebalancingTime = _rebalancingFunc(algorithmUtc);
if (_rebalancingTime != null && _rebalancingTime <= algorithmUtc)
{
// if the rebalancing time stopped being null and is current time
// we will ask for the next rebalance time in the next loop.
// we don't want to call the '_rebalancingFunc' twice in the same loop,
// since its internal state machine will probably be in the same state.
_rebalancingTime = null;
_securityChanges = false;
return(true);
}
}
if (_rebalancingTime != null && _rebalancingTime <= algorithmUtc ||
RebalanceOnSecurityChanges && _securityChanges ||
RebalanceOnInsightChanges &&
(insights.Length != 0 ||
nextInsightExpiryTime != null && nextInsightExpiryTime < algorithmUtc))
{
RefreshRebalance(algorithmUtc);
return(true);
}
return(false);
}
/// <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>
/// 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);
}
// 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
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);
_nextExpiryTime = _insightCollection.GetNextExpiryTime();
_rebalancingTime = algorithm.UtcTime.Add(_rebalancingPeriod);
return(targets);
}
