/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
if (_mean?.IsReady != true)
{
return(Enumerable.Empty <Insight>());
}
// don't re-emit the same direction
if (_state != State.LongRatio && _ratio > _upperThreshold)
{
_state = State.LongRatio;
// asset1/asset2 is more than 2 std away from mean, short asset1, long asset2
var shortAsset1 = Insight.Price(_asset1, TimeSpan.FromMinutes(15), InsightDirection.Down);
var longAsset2 = Insight.Price(_asset2, TimeSpan.FromMinutes(15), InsightDirection.Up);
// creates a group id and set the GroupId property on each insight object
return(Insight.Group(shortAsset1, longAsset2));
}
// don't re-emit the same direction
if (_state != State.ShortRatio && _ratio < _lowerThreshold)
{
_state = State.ShortRatio;
// asset1/asset2 is less than 2 std away from mean, long asset1, short asset2
var longAsset1 = Insight.Price(_asset1, TimeSpan.FromMinutes(15), InsightDirection.Up);
var shortAsset2 = Insight.Price(_asset2, TimeSpan.FromMinutes(15), InsightDirection.Down);
// creates a group id and set the GroupId property on each insight object
return(Insight.Group(longAsset1, shortAsset2));
}
return(Enumerable.Empty <Insight>());
}
/// <summary>
/// Gets the insights group for the pair
/// </summary>
/// <returns>Insights grouped by an unique group id</returns>
public IEnumerable <Insight> GetInsightGroup()
{
if (!_mean.IsReady)
{
return(Enumerable.Empty <Insight>());
}
// don't re-emit the same direction
if (_state != State.LongRatio && _ratio > _upperThreshold)
{
_state = State.LongRatio;
// asset1/asset2 is more than 2 std away from mean, short asset1, long asset2
var shortAsset1 = Insight.Price(_asset1, _predictionInterval, InsightDirection.Down);
var longAsset2 = Insight.Price(_asset2, _predictionInterval, InsightDirection.Up);
// creates a group id and set the GroupId property on each insight object
return(Insight.Group(shortAsset1, longAsset2));
}
// don't re-emit the same direction
if (_state != State.ShortRatio && _ratio < _lowerThreshold)
{
_state = State.ShortRatio;
// asset1/asset2 is less than 2 std away from mean, long asset1, short asset2
var longAsset1 = Insight.Price(_asset1, _predictionInterval, InsightDirection.Up);
var shortAsset2 = Insight.Price(_asset2, _predictionInterval, InsightDirection.Down);
// creates a group id and set the GroupId property on each insight object
return(Insight.Group(longAsset1, shortAsset2));
}
return(Enumerable.Empty <Insight>());
}