This class includes user settings for the algorithm which can be changed in the IAlgorithm.Initialize method More...

Inheritance diagram for QuantConnect.AlgorithmSettings:

Public Member Functions
	AlgorithmSettings ()
	Initializes a new instance of the AlgorithmSettings class More...

Properties
bool?	RebalancePortfolioOnSecurityChanges `[get, set]`
	True if should rebalance portfolio on security changes. True by default More...

bool?	RebalancePortfolioOnInsightChanges `[get, set]`
	True if should rebalance portfolio on new insights or expiration of insights. True by default More...

decimal	MaxAbsolutePortfolioTargetPercentage `[get, set]`
	The absolute maximum valid total portfolio value target percentage More...

decimal	MinAbsolutePortfolioTargetPercentage `[get, set]`
	The absolute minimum valid total portfolio value target percentage More...

decimal	MinimumOrderMarginPortfolioPercentage `[get, set]`
	Configurable minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes More...

int	DataSubscriptionLimit = int.MaxValue `[get, set]`
	Gets/sets the maximum number of concurrent market data subscriptions available More...

decimal?	FreePortfolioValue `[get, set]`
	Gets/sets the SetHoldings buffers value. The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity More...

decimal	FreePortfolioValuePercentage `[get, set]`
	Gets/sets the SetHoldings buffers value percentage. This percentage will be used to set the FreePortfolioValue based on the SecurityPortfolioManager.TotalPortfolioValue More...

bool	LiquidateEnabled `[get, set]`
	Gets/sets if Liquidate() is enabled More...

TimeSpan	StalePriceTimeSpan `[get, set]`
	Gets/sets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour) More...

Resolution?	WarmupResolution `[get, set]`
	The warmup resolution to use if any More...

Resolution?	WarmUpResolution `[get, set]`
	The warmup resolution to use if any More...

int?	TradingDaysPerYear `[get, set]`
	Number of trading days per year for this Algorithm's portfolio statistics. More...

Properties inherited from QuantConnect.Interfaces.IAlgorithmSettings
bool?	RebalancePortfolioOnSecurityChanges `[get, set]`
	True if should rebalance portfolio on security changes. True by default More...

bool?	RebalancePortfolioOnInsightChanges `[get, set]`
	True if should rebalance portfolio on new insights or expiration of insights. True by default More...

decimal	MaxAbsolutePortfolioTargetPercentage `[get, set]`
	The absolute maximum valid total portfolio value target percentage More...

decimal	MinAbsolutePortfolioTargetPercentage `[get, set]`
	The absolute minimum valid total portfolio value target percentage More...

decimal	MinimumOrderMarginPortfolioPercentage `[get, set]`
	Configurable minimum order margin portfolio percentage to ignore bad orders, or orders with unrealistic sizes More...

decimal?	FreePortfolioValue `[get, set]`
	Gets/sets the SetHoldings buffers value. The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity More...

decimal	FreePortfolioValuePercentage `[get, set]`
	Gets/sets the SetHoldings buffers value percentage. This percentage will be used to set the FreePortfolioValue based on the SecurityPortfolioManager.TotalPortfolioValue More...

bool	LiquidateEnabled `[get, set]`
	Gets/sets if Liquidate() is enabled More...

int	DataSubscriptionLimit `[get, set]`
	Gets/sets the maximum number of concurrent market data subscriptions available More...

TimeSpan	StalePriceTimeSpan `[get, set]`
	Gets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour) More...

Resolution?	WarmupResolution `[get, set]`
	The warmup resolution to use if any More...

int?	TradingDaysPerYear `[get, set]`
	Gets or sets the number of trading days per year for this Algorithm's portfolio statistics. More...

Detailed Description

This class includes user settings for the algorithm which can be changed in the IAlgorithm.Initialize method

Definition at line 26 of file AlgorithmSettings.cs.

Constructor & Destructor Documentation

◆ AlgorithmSettings()

QuantConnect.AlgorithmSettings.AlgorithmSettings ( )

Initializes a new instance of the AlgorithmSettings class

Definition at line 138 of file AlgorithmSettings.cs.

Property Documentation

◆ RebalancePortfolioOnSecurityChanges

bool? QuantConnect.AlgorithmSettings.RebalancePortfolioOnSecurityChanges

getset

True if should rebalance portfolio on security changes. True by default

Definition at line 31 of file AlgorithmSettings.cs.

◆ RebalancePortfolioOnInsightChanges

bool? QuantConnect.AlgorithmSettings.RebalancePortfolioOnInsightChanges

getset

True if should rebalance portfolio on new insights or expiration of insights. True by default

Definition at line 36 of file AlgorithmSettings.cs.

◆ MaxAbsolutePortfolioTargetPercentage

decimal QuantConnect.AlgorithmSettings.MaxAbsolutePortfolioTargetPercentage

getset

The absolute maximum valid total portfolio value target percentage

This setting is currently being used to filter out undesired target percent values, caused by the IPortfolioConstructionModel implementation being used. For example rounding errors, math operations

Definition at line 44 of file AlgorithmSettings.cs.

◆ MinAbsolutePortfolioTargetPercentage

decimal QuantConnect.AlgorithmSettings.MinAbsolutePortfolioTargetPercentage

getset

The absolute minimum valid total portfolio value target percentage

This setting is currently being used to filter out undesired target percent values, caused by the IPortfolioConstructionModel implementation being used. For example rounding errors, math operations

Definition at line 52 of file AlgorithmSettings.cs.

◆ MinimumOrderMarginPortfolioPercentage

decimal QuantConnect.AlgorithmSettings.MinimumOrderMarginPortfolioPercentage

getset

Configurable minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes

Default value is 0.1% of the portfolio value. This setting is useful to avoid small trading noise when using SetHoldings

Definition at line 58 of file AlgorithmSettings.cs.

◆ DataSubscriptionLimit

int QuantConnect.AlgorithmSettings.DataSubscriptionLimit = int.MaxValue

getset

Gets/sets the maximum number of concurrent market data subscriptions available

All securities added with IAlgorithm.AddSecurity are counted as one, with the exception of options and futures where every single contract in a chain counts as one.

Definition at line 68 of file AlgorithmSettings.cs.

◆ FreePortfolioValue

decimal? QuantConnect.AlgorithmSettings.FreePortfolioValue

getset

Gets/sets the SetHoldings buffers value. The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity

Definition at line 74 of file AlgorithmSettings.cs.

◆ FreePortfolioValuePercentage

decimal QuantConnect.AlgorithmSettings.FreePortfolioValuePercentage

getset

Gets/sets the SetHoldings buffers value percentage. This percentage will be used to set the FreePortfolioValue based on the SecurityPortfolioManager.TotalPortfolioValue

Definition at line 81 of file AlgorithmSettings.cs.

◆ LiquidateEnabled

bool QuantConnect.AlgorithmSettings.LiquidateEnabled

getset

Gets/sets if Liquidate() is enabled

Definition at line 86 of file AlgorithmSettings.cs.

◆ StalePriceTimeSpan

TimeSpan QuantConnect.AlgorithmSettings.StalePriceTimeSpan

getset

Gets/sets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour)

In the default fill models, a warning message will be added to market order fills if this time span (or more) has elapsed since the price was last updated.

See also: FillModel, ImmediateFillModel

Definition at line 97 of file AlgorithmSettings.cs.

◆ WarmupResolution

Resolution? QuantConnect.AlgorithmSettings.WarmupResolution

getset

The warmup resolution to use if any

This allows improving the warmup speed by setting it to a lower resolution than the one added in the algorithm

Definition at line 103 of file AlgorithmSettings.cs.

◆ WarmUpResolution

Resolution? QuantConnect.AlgorithmSettings.WarmUpResolution

getset

The warmup resolution to use if any

This allows improving the warmup speed by setting it to a lower resolution than the one added in the algorithm. Pass through version to be user friendly

Definition at line 111 of file AlgorithmSettings.cs.

◆ TradingDaysPerYear

int? QuantConnect.AlgorithmSettings.TradingDaysPerYear

getset

Number of trading days per year for this Algorithm's portfolio statistics.

Effect on Statistics.PortfolioStatistics.AnnualVariance,

See also: Statistics.PortfolioStatistics.AnnualStandardDeviation, Statistics.PortfolioStatistics.SharpeRatio, Statistics.PortfolioStatistics.SortinoRatio, Statistics.PortfolioStatistics.TrackingError, Statistics.PortfolioStatistics.InformationRatio

, , , , .

Definition at line 133 of file AlgorithmSettings.cs.

The documentation for this class was generated from the following file:

Common/AlgorithmSettings.cs

Public Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ AlgorithmSettings()

Property Documentation

◆ RebalancePortfolioOnSecurityChanges

◆ RebalancePortfolioOnInsightChanges

◆ MaxAbsolutePortfolioTargetPercentage

◆ MinAbsolutePortfolioTargetPercentage

◆ MinimumOrderMarginPortfolioPercentage

◆ DataSubscriptionLimit

◆ FreePortfolioValue

◆ FreePortfolioValuePercentage

◆ LiquidateEnabled

◆ StalePriceTimeSpan

◆ WarmupResolution

◆ WarmUpResolution

◆ TradingDaysPerYear