Provides an implementation of IPortfolioConstructionModel that wraps a PyObject object More...

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

Public Member Functions
	PortfolioConstructionModelPythonWrapper (PyObject model)
	Constructor for initialising the IPortfolioConstructionModel class with wrapped PyObject object More...

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

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

Public Member Functions inherited from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel
	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...

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

override 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...

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

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

Protected Member Functions inherited from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel
void	SetPythonWrapper (PortfolioConstructionModelPythonWrapper pythonWrapper)
	Used to set the PortfolioConstructionModelPythonWrapper instance if any 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...

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

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

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

Properties inherited from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel
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...

Additional Inherited Members
Static Protected Member Functions inherited from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel
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 inherited from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel
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...

Detailed Description

Provides an implementation of IPortfolioConstructionModel that wraps a PyObject object

Definition at line 28 of file PortfolioConstructionModelPythonWrapper.cs.

Constructor & Destructor Documentation

◆ PortfolioConstructionModelPythonWrapper()

QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.PortfolioConstructionModelPythonWrapper ( PyObject model )

Constructor for initialising the IPortfolioConstructionModel class with wrapped PyObject object

Parameters

model Model defining how to build a portfolio from alphas

Definition at line 67 of file PortfolioConstructionModelPythonWrapper.cs.

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Member Function Documentation

◆ CreateTargets()

override IEnumerable<IPortfolioTarget> QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.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

Reimplemented from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.

Definition at line 92 of file PortfolioConstructionModelPythonWrapper.cs.

◆ OnSecuritiesChanged()

override void QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.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

Reimplemented from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.

Definition at line 102 of file PortfolioConstructionModelPythonWrapper.cs.

◆ ShouldCreateTargetForInsight()

override bool QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.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 from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.

Definition at line 113 of file PortfolioConstructionModelPythonWrapper.cs.

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◆ IsRebalanceDue()

override bool QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.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 from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.

Definition at line 126 of file PortfolioConstructionModelPythonWrapper.cs.

◆ GetTargetInsights()

override List<Insight> QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.GetTargetInsights ( )

protectedvirtual

Gets the target insights to calculate a portfolio target percent for

Returns: An enumerable of the target insights

Reimplemented from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.

Definition at line 135 of file PortfolioConstructionModelPythonWrapper.cs.

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◆ DetermineTargetPercent()

override Dictionary<Insight, double> QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.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 from QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModel.

Definition at line 145 of file PortfolioConstructionModelPythonWrapper.cs.

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Property Documentation

◆ RebalanceOnSecurityChanges

override bool QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.RebalanceOnSecurityChanges

getset

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

Definition at line 37 of file PortfolioConstructionModelPythonWrapper.cs.

◆ RebalanceOnInsightChanges

override bool QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper.RebalanceOnInsightChanges

getset

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

Definition at line 52 of file PortfolioConstructionModelPythonWrapper.cs.

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

Algorithm/Portfolio/PortfolioConstructionModelPythonWrapper.cs

Public Member Functions

Protected Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ PortfolioConstructionModelPythonWrapper()

Member Function Documentation

◆ CreateTargets()

◆ OnSecuritiesChanged()

◆ ShouldCreateTargetForInsight()

◆ IsRebalanceDue()

◆ GetTargetInsights()

◆ DetermineTargetPercent()

Property Documentation

◆ RebalanceOnSecurityChanges

◆ RebalanceOnInsightChanges