/// <summary>
/// Helper class that can be used by the different <see cref="IPortfolioConstructionModel"/>
/// implementations to filter <see cref="Insight"/> instances with an invalid
/// <see cref="Insight.Magnitude"/> value based on the <see cref="IAlgorithmSettings"/>
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="insights">The insight collection to filter</param>
/// <returns>Returns a new array of insights removing invalid ones</returns>
public static Insight[] FilterInvalidInsightMagnitude(QCAlgorithm algorithm, Insight[] insights)
{
var result = insights.Where(insight =>
{
if (!insight.Magnitude.HasValue || insight.Magnitude == 0)
{
return(true);
}
var absoluteMagnitude = Math.Abs(insight.Magnitude.Value);
if (absoluteMagnitude > (double)algorithm.Settings.MaxAbsolutePortfolioTargetPercentage ||
absoluteMagnitude < (double)algorithm.Settings.MinAbsolutePortfolioTargetPercentage)
{
algorithm.Error("PortfolioConstructionModel.FilterInvalidInsightMagnitude():" +
$"The insight target Magnitude: {insight.Magnitude}, will not comply with the current " +
$"'Algorithm.Settings' 'MaxAbsolutePortfolioTargetPercentage': {algorithm.Settings.MaxAbsolutePortfolioTargetPercentage}" +
$" or 'MinAbsolutePortfolioTargetPercentage': {algorithm.Settings.MinAbsolutePortfolioTargetPercentage}. Skipping insight."
);
return(false);
}
return(true);
});
return(result.ToArray());
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
// added
foreach (var added in changes.AddedSecurities)
{
SymbolData symbolData;
if (!_symbolDataBySymbol.TryGetValue(added.Symbol, out symbolData))
{
// add symbol/symbolData pair to collection
symbolData = new SymbolData(_rangePeriod, _consolidatorTimeSpan)
{
Symbol = added.Symbol,
K1 = _k1,
K2 = _k2
};
_symbolDataBySymbol[added.Symbol] = symbolData;
//register consolidator
algorithm.SubscriptionManager.AddConsolidator(added.Symbol, symbolData.GetConsolidator());
}
}
// removed
foreach (var removed in changes.RemovedSecurities)
{
SymbolData symbolData;
if (_symbolDataBySymbol.TryGetValue(removed.Symbol, out symbolData))
{
// unsibscribe consolidator from data updates
algorithm.SubscriptionManager.RemoveConsolidator(removed.Symbol, symbolData.GetConsolidator());
// remove item from dictionary collection
if (!_symbolDataBySymbol.Remove(removed.Symbol))
{
algorithm.Error("Unable to remove data from collection: DualThrustAlphaModel");
}
}
}
}
/// <summary>
/// Send an error message for the algorithm
/// </summary>
/// <param name="message">String message</param>
public void Error(string message)
{
_baseAlgorithm.Error(message);
}
/// <summary>
/// Error handler override assing messages via static method to the console.
/// </summary>
/// <param name="errorMessage">String message to send.</param>
/// <seealso cref="WriteLine"/>
public static void Error(string errorMessage)
{
_algorithmNamespace.Error(errorMessage);
}
