Defines a alpha prediction for a single symbol generated by the algorithm More...

Public Member Functions
bool	IsExpired (DateTime utcTime)
	Determines whether or not this insight is considered expired at the specified utcTime More...

bool	IsActive (DateTime utcTime)
	Determines whether or not this insight is considered active at the specified utcTime More...

void	Expire (DateTime utcTime)
	Expire this insight More...

void	Cancel (DateTime utcTime)
	Cancel this insight More...

	Insight (Symbol symbol, TimeSpan period, InsightType type, InsightDirection direction)
	Initializes a new instance of the Insight class More...

	Insight (Symbol symbol, TimeSpan period, InsightType type, InsightDirection direction, double? magnitude, double? confidence, string sourceModel=null, double? weight=null)
	Initializes a new instance of the Insight class More...

	Insight (Symbol symbol, Func< DateTime, DateTime > expiryFunc, InsightType type, InsightDirection direction)
	Initializes a new instance of the Insight class More...

	Insight (Symbol symbol, Func< DateTime, DateTime > expiryFunc, InsightType type, InsightDirection direction, double? magnitude, double? confidence, string sourceModel=null, double? weight=null)
	Initializes a new instance of the Insight class More...

	Insight (DateTime generatedTimeUtc, Symbol symbol, TimeSpan period, InsightType type, InsightDirection direction, double? magnitude, double? confidence, string sourceModel=null, double? weight=null)
	Initializes a new instance of the Insight class. This constructor is provided mostly for testing purposes. When running inside an algorithm, the generated and close times are set based on the algorithm's time. More...

void	SetPeriodAndCloseTime (SecurityExchangeHours exchangeHours)
	Sets the insight period and close times if they have not already been set. More...

virtual Insight	Clone ()
	Creates a deep clone of this insight instance More...

override string	ToString ()
	Returns a string that represents the current object. More...

string	ShortToString ()
	Returns a short string that represents the current object. More...

Static Public Member Functions
static Insight	Price (Symbol symbol, Resolution resolution, int barCount, InsightDirection direction, double? magnitude=null, double? confidence=null, string sourceModel=null, double? weight=null)
	Creates a new insight for predicting the percent change in price over the specified period More...

static Insight	Price (Symbol symbol, DateTime closeTimeLocal, InsightDirection direction, double? magnitude=null, double? confidence=null, string sourceModel=null, double? weight=null)
	Creates a new insight for predicting the percent change in price over the specified period More...

static Insight	Price (Symbol symbol, TimeSpan period, InsightDirection direction, double? magnitude=null, double? confidence=null, string sourceModel=null, double? weight=null)
	Creates a new insight for predicting the percent change in price over the specified period More...

static Insight	Price (Symbol symbol, Func< DateTime, DateTime > expiryFunc, InsightDirection direction, double? magnitude=null, double? confidence=null, string sourceModel=null, double? weight=null)
	Creates a new insight for predicting the percent change in price over the specified period More...

static IEnumerable< Insight >	Group (params Insight[] insights)
	Creates a new, unique group id and sets it on each insight More...

static IEnumerable< Insight >	Group (Insight insight)
	Creates a new, unique group id and sets it on each insight More...

static Insight	FromSerializedInsight (SerializedInsight serializedInsight)
	Creates a new Insight object from the specified serialized form More...

static DateTime	ComputeCloseTime (SecurityExchangeHours exchangeHours, DateTime generatedTimeUtc, Resolution resolution, int barCount)
	Computes the insight closing time from the given generated time, resolution and bar count. This will step through market hours using the given resolution, respecting holidays, early closes, weekends, etc.. More...

static DateTime	ComputeCloseTime (SecurityExchangeHours exchangeHours, DateTime generatedTimeUtc, TimeSpan period)
	computs the insight closing time from the given generated time and period More...

Properties
Guid	Id `[get, protected set]`
	Gets the unique identifier for this insight More...

Guid?	GroupId `[get, protected set]`
	Gets the group id this insight belongs to, null if not in a group More...

string	SourceModel `[get, set]`
	Gets an identifier for the source model that generated this insight. More...

DateTime	GeneratedTimeUtc `[get, set]`
	Gets the utc time this insight was generated More...

DateTime	CloseTimeUtc `[get, set]`
	Gets the insight's prediction end time. This is the time when this insight prediction is expected to be fulfilled. This time takes into account market hours, weekends, as well as the symbol's data resolution More...

Symbol	Symbol `[get]`
	Gets the symbol this insight is for More...

InsightType	Type `[get]`
	Gets the type of insight, for example, price insight or volatility insight More...

decimal	ReferenceValue `[get, set]`
	Gets the initial reference value this insight is predicting against. The value is dependent on the specified InsightType More...

decimal	ReferenceValueFinal `[get, set]`
	Gets the final reference value, used for scoring, this insight is predicting against. The value is dependent on the specified InsightType More...

InsightDirection	Direction `[get]`
	Gets the predicted direction, down, flat or up More...

TimeSpan	Period `[get, set]`
	Gets the period over which this insight is expected to come to fruition More...

double?	Magnitude `[get]`
	Gets the predicted percent change in the insight type (price/volatility) More...

double?	Confidence `[get]`
	Gets the confidence in this insight More...

double?	Weight `[get]`
	Gets the portfolio weight of this insight More...

InsightScore	Score `[get, protected set]`
	Gets the most recent scores for this insight More...

decimal	EstimatedValue `[get, set]`
	Gets the estimated value of this insight in the account currency More...

Detailed Description

Defines a alpha prediction for a single symbol generated by the algorithm

Serialization of this type is delegated to the InsightJsonConverter which uses the SerializedInsight as a model.

Definition at line 32 of file Insight.cs.

Constructor & Destructor Documentation

◆ Insight() [1/5]

QuantConnect.Algorithm.Framework.Alphas.Insight.Insight	(	Symbol	symbol,
		TimeSpan	period,
		InsightType	type,
		InsightDirection	direction
	)

Initializes a new instance of the Insight class

Parameters

symbol	The symbol this insight is for
period	The period over which the prediction will come true
type	The type of insight, price/volatility
direction	The predicted direction

Definition at line 172 of file Insight.cs.

Here is the caller graph for this function:

◆ Insight() [2/5]

QuantConnect.Algorithm.Framework.Alphas.Insight.Insight	(	Symbol	symbol,
		TimeSpan	period,
		InsightType	type,
		InsightDirection	direction,
		double?	magnitude,
		double?	confidence,
		string	sourceModel = `null`,
		double?	weight = `null`
	)

Initializes a new instance of the Insight class

Parameters

symbol	The symbol this insight is for
period	The period over which the prediction will come true
type	The type of insight, price/volatility
direction	The predicted direction
magnitude	The predicted magnitude as a percentage change
confidence	The confidence in this insight
sourceModel	An identifier defining the model that generated this insight
weight	The portfolio weight of this insight

Definition at line 188 of file Insight.cs.

◆ Insight() [3/5]

QuantConnect.Algorithm.Framework.Alphas.Insight.Insight	(	Symbol	symbol,
		Func< DateTime, DateTime >	expiryFunc,
		InsightType	type,
		InsightDirection	direction
	)

Initializes a new instance of the Insight class

Parameters

symbol	The symbol this insight is for
expiryFunc	Func that defines the expiry time
type	The type of insight, price/volatility
direction	The predicted direction

Definition at line 214 of file Insight.cs.

◆ Insight() [4/5]

QuantConnect.Algorithm.Framework.Alphas.Insight.Insight	(	Symbol	symbol,
		Func< DateTime, DateTime >	expiryFunc,
		InsightType	type,
		InsightDirection	direction,
		double?	magnitude,
		double?	confidence,
		string	sourceModel = `null`,
		double?	weight = `null`
	)

Initializes a new instance of the Insight class

Parameters

symbol	The symbol this insight is for
expiryFunc	Func that defines the expiry time
type	The type of insight, price/volatility
direction	The predicted direction
magnitude	The predicted magnitude as a percentage change
confidence	The confidence in this insight
sourceModel	An identifier defining the model that generated this insight
weight	The portfolio weight of this insight

Definition at line 230 of file Insight.cs.

◆ Insight() [5/5]

QuantConnect.Algorithm.Framework.Alphas.Insight.Insight	(	DateTime	generatedTimeUtc,
		Symbol	symbol,
		TimeSpan	period,
		InsightType	type,
		InsightDirection	direction,
		double?	magnitude,
		double?	confidence,
		string	sourceModel = `null`,
		double?	weight = `null`
	)

Initializes a new instance of the Insight class. This constructor is provided mostly for testing purposes. When running inside an algorithm, the generated and close times are set based on the algorithm's time.

Parameters

generatedTimeUtc	The time this insight was generated in utc
symbol	The symbol this insight is for
period	The period over which the prediction will come true
type	The type of insight, price/volatility
direction	The predicted direction
magnitude	The predicted magnitude as a percentage change
confidence	The confidence in this insight
sourceModel	An identifier defining the model that generated this insight
weight	The portfolio weight of this insight

Definition at line 249 of file Insight.cs.

Member Function Documentation

◆ IsExpired()

bool QuantConnect.Algorithm.Framework.Alphas.Insight.IsExpired ( DateTime utcTime )

Determines whether or not this insight is considered expired at the specified utcTime

Parameters

utcTime The algorithm's current time in UTC. See IAlgorithm.UtcTime

Returns: True if this insight is expired, false otherwise

Definition at line 128 of file Insight.cs.

Here is the caller graph for this function:

◆ IsActive()

bool QuantConnect.Algorithm.Framework.Alphas.Insight.IsActive ( DateTime utcTime )

Determines whether or not this insight is considered active at the specified utcTime

Parameters

utcTime The algorithm's current time in UTC. See IAlgorithm.UtcTime

Returns: True if this insight is active, false otherwise

Definition at line 138 of file Insight.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ Expire()

void QuantConnect.Algorithm.Framework.Alphas.Insight.Expire ( DateTime utcTime )

Expire this insight

Parameters

utcTime The algorithm's current time in UTC. See IAlgorithm.UtcTime

Definition at line 147 of file Insight.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ Cancel()

void QuantConnect.Algorithm.Framework.Alphas.Insight.Cancel ( DateTime utcTime )

Cancel this insight

Parameters

utcTime The algorithm's current time in UTC. See IAlgorithm.UtcTime

Definition at line 160 of file Insight.cs.

Here is the call graph for this function:

◆ SetPeriodAndCloseTime()

void QuantConnect.Algorithm.Framework.Alphas.Insight.SetPeriodAndCloseTime ( SecurityExchangeHours exchangeHours )

Sets the insight period and close times if they have not already been set.

Parameters

exchangeHours The insight's security exchange hours

Definition at line 296 of file Insight.cs.

◆ Clone()

virtual Insight QuantConnect.Algorithm.Framework.Alphas.Insight.Clone ( )

virtual

Creates a deep clone of this insight instance

Returns: A new insight with identical values, but new instances

Definition at line 310 of file Insight.cs.

Here is the call graph for this function:

◆ Price() [1/4]

static Insight QuantConnect.Algorithm.Framework.Alphas.Insight.Price	(	Symbol	symbol,
		Resolution	resolution,
		int	barCount,
		InsightDirection	direction,
		double?	magnitude = `null`,
		double?	confidence = `null`,
		string	sourceModel = `null`,
		double?	weight = `null`
	)

static

Creates a new insight for predicting the percent change in price over the specified period

Parameters

symbol	The symbol this insight is for
resolution	The resolution used to define the insight's period and also used to determine the insight's close time
barCount	The number of resolution time steps to make in market hours to compute the insight's closing time
direction	The predicted direction
magnitude	The predicted magnitude as a percent change
confidence	The confidence in this insight
sourceModel	The model generating this insight
weight	The portfolio weight of this insight

Returns: A new insight object for the specified parameters

Definition at line 338 of file Insight.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ Price() [2/4]

static Insight QuantConnect.Algorithm.Framework.Alphas.Insight.Price	(	Symbol	symbol,
		DateTime	closeTimeLocal,
		InsightDirection	direction,
		double?	magnitude = `null`,
		double?	confidence = `null`,
		string	sourceModel = `null`,
		double?	weight = `null`
	)

static

Creates a new insight for predicting the percent change in price over the specified period

Parameters

symbol	The symbol this insight is for
closeTimeLocal	The insight's closing time in the security's exchange time zone
direction	The predicted direction
magnitude	The predicted magnitude as a percent change
confidence	The confidence in this insight
sourceModel	The model generating this insight
weight	The portfolio weight of this insight

Returns: A new insight object for the specified parameters

Definition at line 360 of file Insight.cs.

Here is the call graph for this function:

◆ Price() [3/4]

static Insight QuantConnect.Algorithm.Framework.Alphas.Insight.Price	(	Symbol	symbol,
		TimeSpan	period,
		InsightDirection	direction,
		double?	magnitude = `null`,
		double?	confidence = `null`,
		string	sourceModel = `null`,
		double?	weight = `null`
	)

static

Creates a new insight for predicting the percent change in price over the specified period

Parameters

symbol	The symbol this insight is for
period	The period over which the prediction will come true
direction	The predicted direction
magnitude	The predicted magnitude as a percent change
confidence	The confidence in this insight
sourceModel	The model generating this insight
weight	The portfolio weight of this insight

Returns: A new insight object for the specified parameters

Definition at line 378 of file Insight.cs.

Here is the call graph for this function:

◆ Price() [4/4]

static Insight QuantConnect.Algorithm.Framework.Alphas.Insight.Price	(	Symbol	symbol,
		Func< DateTime, DateTime >	expiryFunc,
		InsightDirection	direction,
		double?	magnitude = `null`,
		double?	confidence = `null`,
		string	sourceModel = `null`,
		double?	weight = `null`
	)

static

Creates a new insight for predicting the percent change in price over the specified period

Parameters

symbol	The symbol this insight is for
expiryFunc	Func that defines the expiry time
direction	The predicted direction
magnitude	The predicted magnitude as a percent change
confidence	The confidence in this insight
sourceModel	The model generating this insight
weight	The portfolio weight of this insight

Returns: A new insight object for the specified parameters

Definition at line 401 of file Insight.cs.

Here is the call graph for this function:

◆ Group() [1/2]

static IEnumerable<Insight> QuantConnect.Algorithm.Framework.Alphas.Insight.Group ( params Insight[] insights )

static

Creates a new, unique group id and sets it on each insight

Parameters

insights The insights to be grouped

Definition at line 410 of file Insight.cs.

◆ Group() [2/2]

static IEnumerable<Insight> QuantConnect.Algorithm.Framework.Alphas.Insight.Group ( Insight insight )

static

Creates a new, unique group id and sets it on each insight

Parameters

insight The insight to be grouped

◆ FromSerializedInsight()

static Insight QuantConnect.Algorithm.Framework.Alphas.Insight.FromSerializedInsight ( SerializedInsight serializedInsight )

static

Creates a new Insight object from the specified serialized form

Parameters

serializedInsight The insight DTO

Returns: A new insight containing the information specified

Definition at line 441 of file Insight.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ComputeCloseTime() [1/2]

static DateTime QuantConnect.Algorithm.Framework.Alphas.Insight.ComputeCloseTime	(	SecurityExchangeHours	exchangeHours,
		DateTime	generatedTimeUtc,
		Resolution	resolution,
		int	barCount
	)

static

Computes the insight closing time from the given generated time, resolution and bar count. This will step through market hours using the given resolution, respecting holidays, early closes, weekends, etc..

Parameters

exchangeHours	The exchange hours of the insight's security
generatedTimeUtc	The insight's generated time in utc
resolution	The resolution used to 'step-through' market hours to compute a reasonable close time
barCount	The number of resolution steps to take

Returns: The insight's closing time in utc

Definition at line 495 of file Insight.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ComputeCloseTime() [2/2]

static DateTime QuantConnect.Algorithm.Framework.Alphas.Insight.ComputeCloseTime	(	SecurityExchangeHours	exchangeHours,
		DateTime	generatedTimeUtc,
		TimeSpan	period
	)

static

computs the insight closing time from the given generated time and period

Parameters

exchangeHours	The exchange hours of the insight's security
generatedTimeUtc	The insight's generated time in utc
period	The insight's period

Returns: The insight's closing time in utc

Definition at line 525 of file Insight.cs.

Here is the call graph for this function:

◆ ToString()

override string QuantConnect.Algorithm.Framework.Alphas.Insight.ToString ( )

Returns a string that represents the current object.

Returns: A string that represents the current object.

Definition at line 573 of file Insight.cs.

◆ ShortToString()

string QuantConnect.Algorithm.Framework.Alphas.Insight.ShortToString ( )

Returns a short string that represents the current object.

Returns: A string that represents the current object.

Definition at line 582 of file Insight.cs.

Property Documentation

◆ Id

Guid QuantConnect.Algorithm.Framework.Alphas.Insight.Id

getprotected set

Gets the unique identifier for this insight

Definition at line 39 of file Insight.cs.

◆ GroupId

Guid? QuantConnect.Algorithm.Framework.Alphas.Insight.GroupId

getprotected set

Gets the group id this insight belongs to, null if not in a group

Definition at line 44 of file Insight.cs.

◆ SourceModel

string QuantConnect.Algorithm.Framework.Alphas.Insight.SourceModel

getset

Gets an identifier for the source model that generated this insight.

Definition at line 49 of file Insight.cs.

◆ GeneratedTimeUtc

DateTime QuantConnect.Algorithm.Framework.Alphas.Insight.GeneratedTimeUtc

getset

Gets the utc time this insight was generated

The algorithm framework handles setting this value appropriately. If providing custom Insight implementation, be sure to set this value to algorithm.UtcTime when the insight is generated.

Definition at line 59 of file Insight.cs.

◆ CloseTimeUtc

DateTime QuantConnect.Algorithm.Framework.Alphas.Insight.CloseTimeUtc

getset

Gets the insight's prediction end time. This is the time when this insight prediction is expected to be fulfilled. This time takes into account market hours, weekends, as well as the symbol's data resolution

Definition at line 66 of file Insight.cs.

◆ Symbol

Symbol QuantConnect.Algorithm.Framework.Alphas.Insight.Symbol

get

Gets the symbol this insight is for

Definition at line 71 of file Insight.cs.

◆ Type

InsightType QuantConnect.Algorithm.Framework.Alphas.Insight.Type

get

Gets the type of insight, for example, price insight or volatility insight

Definition at line 76 of file Insight.cs.

◆ ReferenceValue

decimal QuantConnect.Algorithm.Framework.Alphas.Insight.ReferenceValue

getset

Gets the initial reference value this insight is predicting against. The value is dependent on the specified InsightType

Definition at line 81 of file Insight.cs.

◆ ReferenceValueFinal

decimal QuantConnect.Algorithm.Framework.Alphas.Insight.ReferenceValueFinal

getset

Gets the final reference value, used for scoring, this insight is predicting against. The value is dependent on the specified InsightType

Definition at line 86 of file Insight.cs.

◆ Direction

InsightDirection QuantConnect.Algorithm.Framework.Alphas.Insight.Direction

get

Gets the predicted direction, down, flat or up

Definition at line 91 of file Insight.cs.

◆ Period

TimeSpan QuantConnect.Algorithm.Framework.Alphas.Insight.Period

getset

Gets the period over which this insight is expected to come to fruition

Definition at line 96 of file Insight.cs.

◆ Magnitude

double? QuantConnect.Algorithm.Framework.Alphas.Insight.Magnitude

get

Gets the predicted percent change in the insight type (price/volatility)

Definition at line 101 of file Insight.cs.

◆ Confidence

double? QuantConnect.Algorithm.Framework.Alphas.Insight.Confidence

get

Gets the confidence in this insight

Definition at line 106 of file Insight.cs.

◆ Weight

double? QuantConnect.Algorithm.Framework.Alphas.Insight.Weight

get

Gets the portfolio weight of this insight

Definition at line 111 of file Insight.cs.

◆ Score

InsightScore QuantConnect.Algorithm.Framework.Alphas.Insight.Score

getprotected set

Gets the most recent scores for this insight

Definition at line 116 of file Insight.cs.

◆ EstimatedValue

decimal QuantConnect.Algorithm.Framework.Alphas.Insight.EstimatedValue

getset

Gets the estimated value of this insight in the account currency

Definition at line 121 of file Insight.cs.

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

Common/Algorithm/Framework/Alphas/Insight.cs

Public Member Functions

Static Public Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ Insight() [1/5]

◆ Insight() [2/5]

◆ Insight() [3/5]

◆ Insight() [4/5]

◆ Insight() [5/5]

Member Function Documentation

◆ IsExpired()

◆ IsActive()

◆ Expire()

◆ Cancel()

◆ SetPeriodAndCloseTime()

◆ Clone()

◆ Price() [1/4]

◆ Price() [2/4]

◆ Price() [3/4]

◆ Price() [4/4]

◆ Group() [1/2]

◆ Group() [2/2]

◆ FromSerializedInsight()

◆ ComputeCloseTime() [1/2]

◆ ComputeCloseTime() [2/2]

◆ ToString()

◆ ShortToString()

Property Documentation

◆ Id

◆ GroupId

◆ SourceModel

◆ GeneratedTimeUtc

◆ CloseTimeUtc

◆ Symbol

◆ Type

◆ ReferenceValue

◆ ReferenceValueFinal

◆ Direction

◆ Period

◆ Magnitude

◆ Confidence

◆ Weight

◆ Score

◆ EstimatedValue