Provides a base class for portfolio construction models More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel:

Public Member Functions
	PortfolioConstructionModel (Func< DateTime, DateTime?> rebalancingFunc)
	Initialize a new instance of PortfolioConstructionModel More...

	PortfolioConstructionModel (Func< DateTime, DateTime > rebalancingFunc=null)
	Initialize a new instance of PortfolioConstructionModel More...

virtual IEnumerable< IPortfolioTarget >	CreateTargets (QCAlgorithm algorithm, Insight[] insights)
	Create portfolio targets from the specified insights More...

virtual void	OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes)
	Event fired each time the we add/remove securities from the data feed More...

Protected Member Functions
void	SetPythonWrapper (PortfolioConstructionModelPythonWrapper pythonWrapper)
	Used to set the PortfolioConstructionModelPythonWrapper instance if any More...

virtual List< Insight >	GetTargetInsights ()
	Gets the target insights to calculate a portfolio target percent for More...

virtual bool	ShouldCreateTargetForInsight (Insight insight)
	Method that will determine if the portfolio construction model should create a target for this insight More...

virtual Dictionary< Insight, double >	DetermineTargetPercent (List< Insight > activeInsights)
	Will determine the target percent for each insight More...

void	SetRebalancingFunc (PyObject rebalance)
	Python helper method to set the rebalancing function. This is required due to a python net limitation not being able to use the base type constructor, and also because when python algorithms use C# portfolio construction models, it can't convert python methods into func nor resolve the correct constructor for the date rules, timespan parameter. For performance we prefer python algorithms using the C# implementation More...

virtual bool	IsRebalanceDue (Insight[] insights, DateTime algorithmUtc)
	Determines if the portfolio should be rebalanced base on the provided rebalancing func, if any security change have been taken place or if an insight has expired or a new insight arrived If the rebalancing function has not been provided will return true. More...

void	RefreshRebalance (DateTime algorithmUtc)
	Refresh the next rebalance time and clears the security changes flag More...

Static Protected Member Functions
static Insight[]	FilterInvalidInsightMagnitude (IAlgorithm algorithm, Insight[] insights)
	Helper class that can be used by the different IPortfolioConstructionModel implementations to filter Insight instances with an invalid Insight.Magnitude value based on the IAlgorithmSettings More...

Protected Attributes
PortfolioConstructionModelPythonWrapper	PythonWrapper
	This is required due to a limitation in PythonNet to resolved overriden methods. When Python calls a C# method that calls a method that's overriden in python it won't run the python implementation unless the call is performed through python too. More...

Properties
virtual bool	RebalanceOnSecurityChanges = true `[get, set]`
	True if should rebalance portfolio on security changes. True by default More...

virtual bool	RebalanceOnInsightChanges = true `[get, set]`
	True if should rebalance portfolio on new insights or expiration of insights. True by default More...

IAlgorithm	Algorithm `[get]`
	The algorithm instance More...

Detailed Description

Provides a base class for portfolio construction models

Definition at line 30 of file PortfolioConstructionModel.cs.

Constructor & Destructor Documentation

◆ PortfolioConstructionModel() [1/2]

QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.PortfolioConstructionModel ( Func< DateTime, DateTime?> rebalancingFunc )

Initialize a new instance of PortfolioConstructionModel

Parameters

rebalancingFunc For a given algorithm UTC DateTime returns the next expected rebalance time or null if unknown, in which case the function will be called again in the next loop. Returning current time will trigger rebalance. If null will be ignored

Definition at line 64 of file PortfolioConstructionModel.cs.

◆ PortfolioConstructionModel() [2/2]

QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.PortfolioConstructionModel ( Func< DateTime, DateTime > rebalancingFunc = null )

Initialize a new instance of PortfolioConstructionModel

Parameters

rebalancingFunc For a given algorithm UTC DateTime returns the next expected rebalance UTC time. Returning current time will trigger rebalance. If null will be ignored

Definition at line 74 of file PortfolioConstructionModel.cs.

Member Function Documentation

◆ SetPythonWrapper()

void QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.SetPythonWrapper ( PortfolioConstructionModelPythonWrapper pythonWrapper )

protected

Used to set the PortfolioConstructionModelPythonWrapper instance if any

Definition at line 82 of file PortfolioConstructionModel.cs.

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◆ CreateTargets()

virtual IEnumerable<IPortfolioTarget> QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.CreateTargets	(	QCAlgorithm	algorithm,
		Insight[]	insights
	)

virtual

Create portfolio targets from the specified insights

Parameters

algorithm	The algorithm instance
insights	The insights to create portfolio targets from

Returns: An enumerable of portfolio targets to be sent to the execution model

Implements QuantConnect.Algorithm.Framework.Portfolio.IPortfolioConstructionModel.

Reimplemented in QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper, and QuantConnect.Algorithm.Framework.Portfolio.NullPortfolioConstructionModel.

Definition at line 93 of file PortfolioConstructionModel.cs.

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◆ OnSecuritiesChanged()

virtual void QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.OnSecuritiesChanged	(	QCAlgorithm	algorithm,
		SecurityChanges	changes
	)

virtual

Event fired each time the we add/remove securities from the data feed

Parameters

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

Implements QuantConnect.Algorithm.Framework.INotifiedSecurityChanges.

Reimplemented in QuantConnect.Algorithm.Framework.Portfolio.BlackLittermanOptimizationPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.MeanVarianceOptimizationPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.MeanReversionPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.RiskParityPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.SectorWeightingPortfolioConstructionModel, and QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.

Definition at line 150 of file PortfolioConstructionModel.cs.

◆ GetTargetInsights()

virtual List<Insight> QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.GetTargetInsights ( )

protectedvirtual

Gets the target insights to calculate a portfolio target percent for

Returns: An enumerable of the target insights

Reimplemented in QuantConnect.Algorithm.Framework.Portfolio.BlackLittermanOptimizationPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.AccumulativeInsightPortfolioConstructionModel, and QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.

Definition at line 164 of file PortfolioConstructionModel.cs.

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◆ ShouldCreateTargetForInsight()

virtual bool QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.ShouldCreateTargetForInsight ( Insight insight )

protectedvirtual

Method that will determine if the portfolio construction model should create a target for this insight

Parameters

insight The insight to create a target for

Returns: True if the portfolio should create a target for the insight

Reimplemented in QuantConnect.Algorithm.Framework.Portfolio.BlackLittermanOptimizationPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.MeanVarianceOptimizationPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.ConfidenceWeightedPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper, and QuantConnect.Algorithm.Framework.Portfolio.SectorWeightingPortfolioConstructionModel.

Definition at line 185 of file PortfolioConstructionModel.cs.

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◆ DetermineTargetPercent()

virtual Dictionary<Insight, double> QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.DetermineTargetPercent ( List< Insight > activeInsights )

protectedvirtual

Will determine the target percent for each insight

Parameters

activeInsights The active insights to generate a target for

Returns: A target percent for each insight

Reimplemented in QuantConnect.Algorithm.Framework.Portfolio.BlackLittermanOptimizationPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.MeanVarianceOptimizationPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.RiskParityPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.MeanReversionPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.AccumulativeInsightPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper, QuantConnect.Algorithm.Framework.Portfolio.InsightWeightingPortfolioConstructionModel, QuantConnect.Algorithm.Framework.Portfolio.SectorWeightingPortfolioConstructionModel, and QuantConnect.Algorithm.Framework.Portfolio.EqualWeightingPortfolioConstructionModel.

Definition at line 195 of file PortfolioConstructionModel.cs.

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◆ SetRebalancingFunc()

void QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.SetRebalancingFunc ( PyObject rebalance )

protected

Python helper method to set the rebalancing function. This is required due to a python net limitation not being able to use the base type constructor, and also because when python algorithms use C# portfolio construction models, it can't convert python methods into func nor resolve the correct constructor for the date rules, timespan parameter. For performance we prefer python algorithms using the C# implementation

Parameters

rebalance Rebalancing func or if a date rule, timedelta will be converted into func. For a given algorithm UTC DateTime the func returns the next expected rebalance time or null if unknown, in which case the function will be called again in the next loop. Returning current time will trigger rebalance. If null will be ignored

Definition at line 211 of file PortfolioConstructionModel.cs.

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◆ IsRebalanceDue()

virtual bool QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.IsRebalanceDue	(	Insight[]	insights,
		DateTime	algorithmUtc
	)

protectedvirtual

Determines if the portfolio should be rebalanced base on the provided rebalancing func, if any security change have been taken place or if an insight has expired or a new insight arrived If the rebalancing function has not been provided will return true.

Parameters

insights	The insights to create portfolio targets from
algorithmUtc	The current algorithm UTC time

Returns: True if should rebalance

Reimplemented in QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.

Definition at line 248 of file PortfolioConstructionModel.cs.

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◆ RefreshRebalance()

void QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.RefreshRebalance ( DateTime algorithmUtc )

protected

Refresh the next rebalance time and clears the security changes flag

Definition at line 294 of file PortfolioConstructionModel.cs.

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◆ FilterInvalidInsightMagnitude()

static Insight [] QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.FilterInvalidInsightMagnitude	(	IAlgorithm	algorithm,
		Insight[]	insights
	)

staticprotected

Helper class that can be used by the different IPortfolioConstructionModel implementations to filter Insight instances with an invalid Insight.Magnitude value based on the IAlgorithmSettings

Parameters

algorithm	The algorithm instance
insights	The insight collection to filter

Returns: Returns a new array of insights removing invalid ones

Definition at line 311 of file PortfolioConstructionModel.cs.

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Member Data Documentation

◆ PythonWrapper

PortfolioConstructionModelPythonWrapper QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.PythonWrapper

protected

This is required due to a limitation in PythonNet to resolved overriden methods. When Python calls a C# method that calls a method that's overriden in python it won't run the python implementation unless the call is performed through python too.

Definition at line 56 of file PortfolioConstructionModel.cs.

Property Documentation

◆ RebalanceOnSecurityChanges

virtual bool QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.RebalanceOnSecurityChanges = true

getset

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

Definition at line 39 of file PortfolioConstructionModel.cs.

◆ RebalanceOnInsightChanges

virtual bool QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.RebalanceOnInsightChanges = true

getset

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

Definition at line 44 of file PortfolioConstructionModel.cs.

◆ Algorithm

IAlgorithm QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.Algorithm

getprotected

The algorithm instance

Definition at line 49 of file PortfolioConstructionModel.cs.

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

Algorithm/Portfolio/PortfolioConstructionModel.cs

Public Member Functions

Protected Member Functions

Static Protected Member Functions

Protected Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ PortfolioConstructionModel() [1/2]

◆ PortfolioConstructionModel() [2/2]

Member Function Documentation

◆ SetPythonWrapper()

◆ CreateTargets()

◆ OnSecuritiesChanged()

◆ GetTargetInsights()

◆ ShouldCreateTargetForInsight()

◆ DetermineTargetPercent()

◆ SetRebalancingFunc()

◆ IsRebalanceDue()

◆ RefreshRebalance()

◆ FilterInvalidInsightMagnitude()

Member Data Documentation

◆ PythonWrapper

Property Documentation

◆ RebalanceOnSecurityChanges

◆ RebalanceOnInsightChanges

◆ Algorithm