BasePairsTradingAlphaModel

QuantConnect.Algorithm.Framework.Alphas.BasePairsTradingAlphaModel

BasePairsTradingAlphaModel(
    lookback: int = 1,
    resolution: Resolution = ...,
    threshold: float = 1,
)

Bases: AlphaModel

This alpha model is designed to accept every possible pair combination from securities selected by the universe selection model This model generates alternating long ratio/short ratio insights emitted as a group

Initializes a new instance of the BasePairsTradingAlphaModel class

Parameters:

Name	Type	Description	Default
lookback	int	Lookback period of the analysis	1
resolution	Resolution	Analysis resolution	...
threshold	float	The percent <0, 100> deviation of the ratio from the mean before emitting an insight	1

securities

securities: HashSet[Security]

List of security objects present in the universe

name

name: str

Defines a name for a framework model

instance

instance: Any

Gets the underlying python instance

This codeEntityType is protected.

PythonRuntimeChecker

Bases: Object

Set of helper methods to invoke Python methods with runtime checks for return values and out parameter's conversions.

has_passed_test

has_passed_test(
    algorithm: QCAlgorithm,
    asset_1: Union[Symbol, str, BaseContract],
    asset_2: Union[Symbol, str, BaseContract],
) -> bool

Check whether the assets pass a pairs trading test

Parameters:

Name	Type	Description	Default
algorithm	QCAlgorithm	The algorithm instance that experienced the change in securities	required
asset_1	Union[Symbol, str, BaseContract]	The first asset's symbol in the pair	required
asset_2	Union[Symbol, str, BaseContract]	The second asset's symbol in the pair	required

Returns:

Type	Description
bool	True if the statistical test for the pair is successful.

on_securities_changed

on_securities_changed(
    algorithm: QCAlgorithm, changes: SecurityChanges
) -> None

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

Parameters:

Name	Type	Description	Default
algorithm	QCAlgorithm	The algorithm instance that experienced the change in securities	required
changes	SecurityChanges	The security additions and removals from the algorithm	required

update

update(
    algorithm: QCAlgorithm, data: Slice
) -> Iterable[Insight]

Updates this alpha model with the latest data from the algorithm. This is called each time the algorithm receives data for subscribed securities

Parameters:

Name	Type	Description	Default
algorithm	QCAlgorithm	The algorithm instance	required
data	Slice	The new data available	required

Returns:

Type	Description
Iterable[Insight]	The new insights generated.

equals

equals(obj: Any) -> bool

equals(
    other: BasePythonWrapper[
        QuantConnect_Python_BasePythonWrapper_TInterface
    ],
) -> bool

Signature descriptions:

• Determines whether the specified object is an instance of BasePythonWrapper{TInterface} and wraps the same Python object reference as this instance, which would indicate that they are equal.

• Determines whether the specified instance wraps the same Python object reference as this instance, which would indicate that they are equal.

Parameters:

Name	Type	Description	Default
obj	Optional[Any]	The other object to compare this with	None
other	Optional[BasePythonWrapper[QuantConnect_Python_BasePythonWrapper_TInterface]]	The other object to compare this with	None

Returns:

Type	Description
bool	True if both instances are equal, that is if both wrap the same Python object reference.

set_python_instance

set_python_instance(instance: Any) -> None

set_python_instance(
    instance: Any, validate_interface: bool
) -> None

Signature descriptions:

• Sets the python instance

• Sets the python instance and sets the validate interface flag

Parameters:

Name	Type	Description	Default
instance	Any	The underlying python instance	required
validate_interface	Optional[bool]	Whether to perform validations for interface implementation	None

dispose

dispose() -> None

Dispose of this instance

get_event

get_event(name: str) -> Any

Gets the Python instance event with the specified name

Parameters:

Name	Type	Description	Default
name	str	The name of the event	required

get_hash_code

get_hash_code() -> int

Gets the hash code for the current instance

Returns:

Type	Description
int	The hash code of the current instance.

get_method

get_method(
    method_name: str, python_only: bool = False
) -> Any

Gets the Python instances method with the specified name and caches it

Parameters:

Name	Type	Description	Default
method_name	str	The name of the method	required
python_only	bool	Whether to only return python methods	False

Returns:

Type	Description
Any	The matched method.

get_property

get_property(property_name: str) -> Any

Gets the Python instance property with the specified name

Parameters:

Name	Type	Description	Default
property_name	str	The name of the property	required

has_attr

has_attr(name: str) -> bool

Determines whether the Python instance has the specified attribute

Parameters:

Name	Type	Description	Default
name	str	The attribute name	required

Returns:

Type	Description
bool	Whether the Python instance has the specified attribute.

invoke_method

invoke_method(
    method_name: str, *args: Union[Object, Iterable[Object]]
) -> Any

Invokes the specified method with the specified arguments

Parameters:

Name	Type	Description	Default
method_name	str	The name of the method	required
args	Union[Object, Iterable[Object]]	The arguments to call the method with	()

invoke_void_method

invoke_void_method(
    method_name: str, *args: Union[Object, Iterable[Object]]
) -> None

Invokes the specified method with the specified arguments without returning a value

Parameters:

Name	Type	Description	Default
method_name	str	The name of the method	required
args	Union[Object, Iterable[Object]]	The arguments to call the method with	()

set_property

set_property(property_name: str, value: Any) -> None

Sets the Python instance property with the specified name

Parameters:

Name	Type	Description	Default
property_name	str	The name of the property	required
value	Any	The property value	required