Provides an implementation of IAlphaModel that combines multiple alpha models into a single alpha model and properly sets each insights 'SourceModel' property. More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel:

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Public Member Functions
	CompositeAlphaModel (params IAlphaModel[] alphaModels)
	Initializes a new instance of the CompositeAlphaModel class More...

	CompositeAlphaModel (params PyObject[] alphaModels)
	Initializes a new instance of the CompositeAlphaModel class More...

	CompositeAlphaModel (PyObject alphaModel)
	Initializes a new instance of the CompositeAlphaModel class More...

override IEnumerable< Insight >	Update (QCAlgorithm algorithm, Slice data)
	Updates this alpha model with the latest data from the algorithm. This is called each time the algorithm receives data for subscribed securities. This method patches this call through the each of the wrapped models. More...

override void	OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes)
	Event fired each time the we add/remove securities from the data feed. This method patches this call through the each of the wrapped models. More...

void	AddAlpha (IAlphaModel alphaModel)
	Adds a new AlphaModel More...

void	AddAlpha (PyObject pyAlphaModel)
	Adds a new AlphaModel More...

Public Member Functions inherited from QuantConnect.Algorithm.Framework.Alphas.AlphaModel
	AlphaModel ()
	Initialize new AlphaModel More...

Additional Inherited Members
Properties inherited from QuantConnect.Algorithm.Framework.Alphas.AlphaModel
virtual string	Name `[get, set]`
	Defines a name for a framework model More...

Properties inherited from QuantConnect.Algorithm.Framework.Alphas.INamedModel
string	Name `[get]`
	Defines a name for a framework model More...

Detailed Description

Provides an implementation of IAlphaModel that combines multiple alpha models into a single alpha model and properly sets each insights 'SourceModel' property.

Definition at line 29 of file CompositeAlphaModel.cs.

Constructor & Destructor Documentation

◆ CompositeAlphaModel() [1/3]

QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel.CompositeAlphaModel ( params IAlphaModel[] alphaModels )

Initializes a new instance of the CompositeAlphaModel class

Parameters

alphaModels The individual alpha models defining this composite model

Definition at line 37 of file CompositeAlphaModel.cs.

◆ CompositeAlphaModel() [2/3]

QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel.CompositeAlphaModel ( params PyObject[] alphaModels )

Initializes a new instance of the CompositeAlphaModel class

Parameters

alphaModels The individual alpha models defining this composite model

Definition at line 51 of file CompositeAlphaModel.cs.

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◆ CompositeAlphaModel() [3/3]

QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel.CompositeAlphaModel ( PyObject alphaModel )

Initializes a new instance of the CompositeAlphaModel class

Parameters

alphaModel The individual alpha model defining this composite model

Definition at line 68 of file CompositeAlphaModel.cs.

Member Function Documentation

◆ Update()

override IEnumerable<Insight> QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel.Update	(	QCAlgorithm	algorithm,
		Slice	data
	)

virtual

Updates this alpha model with the latest data from the algorithm. This is called each time the algorithm receives data for subscribed securities. This method patches this call through the each of the wrapped models.

Parameters

algorithm	The algorithm instance
data	The new data available

Returns: The new insights generated

Reimplemented from QuantConnect.Algorithm.Framework.Alphas.AlphaModel.

Definition at line 82 of file CompositeAlphaModel.cs.

◆ OnSecuritiesChanged()

override void QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel.OnSecuritiesChanged	(	QCAlgorithm	algorithm,
		SecurityChanges	changes
	)

virtual

Event fired each time the we add/remove securities from the data feed. This method patches this call through the each of the wrapped models.

Parameters

algorithm	The algorithm instance that experienced the change in securities
changes	The security additions and removals from the algorithm

Reimplemented from QuantConnect.Algorithm.Framework.Alphas.AlphaModel.

Definition at line 106 of file CompositeAlphaModel.cs.

◆ AddAlpha() [1/2]

void QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel.AddAlpha ( IAlphaModel alphaModel )

Adds a new AlphaModel

Parameters

alphaModel The alpha model to add

Definition at line 118 of file CompositeAlphaModel.cs.

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◆ AddAlpha() [2/2]

void QuantConnect.Algorithm.Framework.Alphas.CompositeAlphaModel.AddAlpha ( PyObject pyAlphaModel )

Adds a new AlphaModel

Parameters

pyAlphaModel The alpha model to add

Definition at line 127 of file CompositeAlphaModel.cs.

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

Algorithm/Alphas/CompositeAlphaModel.cs

Public Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CompositeAlphaModel() [1/3]

◆ CompositeAlphaModel() [2/3]

◆ CompositeAlphaModel() [3/3]

Member Function Documentation

◆ Update()

◆ OnSecuritiesChanged()

◆ AddAlpha() [1/2]

◆ AddAlpha() [2/2]