Insight

QuantConnect.Algorithm.Framework.Alphas.Insight

Insight(
    symbol: Union[Symbol, str, BaseContract],
    period: timedelta,
    type: InsightType,
    direction: InsightDirection,
    tag: str = ...,
)

Insight(
    symbol: Union[Symbol, str, BaseContract],
    period: timedelta,
    type: InsightType,
    direction: InsightDirection,
    magnitude: Optional[float],
    confidence: Optional[float],
    source_model: str = None,
    weight: Optional[float] = None,
    tag: str = ...,
)

Insight(
    symbol: Union[Symbol, str, BaseContract],
    expiry_func: Callable[[datetime], datetime],
    type: InsightType,
    direction: InsightDirection,
    tag: str = ...,
)

Insight(
    symbol: Union[Symbol, str, BaseContract],
    expiry_func: Callable[[datetime], datetime],
    type: InsightType,
    direction: InsightDirection,
    magnitude: Optional[float],
    confidence: Optional[float],
    source_model: str = None,
    weight: Optional[float] = None,
    tag: str = ...,
)

Insight(
    generated_time_utc: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract],
    period: timedelta,
    type: InsightType,
    direction: InsightDirection,
    magnitude: Optional[float],
    confidence: Optional[float],
    source_model: str = None,
    weight: Optional[float] = None,
    tag: str = ...,
)

Bases: Object

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

Signature descriptions:

Initializes a new instance of the Insight class
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:

Name	Type	Description	Default
`symbol`	`Union[Symbol, str, BaseContract]`	The symbol this insight is for	required
`period`	`Optional[timedelta]`	The period over which the prediction will come true	`None`
`type`	`InsightType`	The type of insight, price/volatility	required
`direction`	`InsightDirection`	The predicted direction	required
`tag`	`str`	The insight's tag containing additional information	`...`
`magnitude`	`Optional[Optional[float]]`	The predicted magnitude as a percentage change	`None`
`confidence`	`Optional[Optional[float]]`	The confidence in this insight	`None`
`source_model`	`Optional[str]`	An identifier defining the model that generated this insight	`None`
`weight`	`Optional[Optional[float]]`	The portfolio weight of this insight	`None`
`expiry_func`	`Optional[Callable[[datetime], datetime]]`	Func that defines the expiry time	`None`
`generated_time_utc`	`Optional[Union[datetime, date]]`	The time this insight was generated in utc	`None`

id

id: Guid

Gets the unique identifier for this insight

group_id

group_id: Optional[Guid]

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

source_model

source_model: str

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

generated_time_utc

generated_time_utc: datetime

Gets the utc time this insight was generated

close_time_utc

close_time_utc: datetime

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

symbol

symbol: Symbol

Gets the symbol this insight is for

type

type: InsightType

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

reference_value

reference_value: float

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

reference_value_final

reference_value_final: float

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

direction

direction: InsightDirection

Gets the predicted direction, down, flat or up

period

period: timedelta

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

magnitude

magnitude: Optional[float]

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

confidence

confidence: Optional[float]

Gets the confidence in this insight

weight

weight: Optional[float]

Gets the portfolio weight of this insight

score

score: InsightScore

Gets the most recent scores for this insight

estimated_value

estimated_value: float

Gets the estimated value of this insight in the account currency

tag

tag: str

The insight's tag containing additional information

compute_close_time

compute_close_time(
    exchange_hours: SecurityExchangeHours,
    generated_time_utc: Union[datetime, date],
    resolution: Resolution,
    bar_count: int,
) -> datetime

compute_close_time(
    exchange_hours: SecurityExchangeHours,
    generated_time_utc: Union[datetime, date],
    period: timedelta,
) -> datetime

Signature descriptions:

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

Parameters:

Name	Type	Description	Default
`exchange_hours`	`SecurityExchangeHours`	The exchange hours of the insight's security	required
`generated_time_utc`	`Union[datetime, date]`	The insight's generated time in utc	required
`resolution`	`Optional[Resolution]`	The resolution used to 'step-through' market hours to compute a reasonable close time	`None`
`bar_count`	`Optional[int]`	The number of resolution steps to take	`None`
`period`	`Optional[timedelta]`	The insight's period	`None`

Returns:

Type	Description
`datetime`	The insight's closing time in utc.

group

group(
    *insights: Union[Insight, Iterable[Insight]]
) -> Iterable[Insight]

group(insight: Insight) -> Iterable[Insight]

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

Parameters:

Name	Type	Description	Default
`insights`	`Union[Insight, Iterable[Insight]]`	The insights to be grouped	`()`
`insight`	`Optional[Insight]`	The insight to be grouped	`None`

price

price(
    symbol: Union[Symbol, str, BaseContract],
    resolution: Resolution,
    bar_count: int,
    direction: InsightDirection,
    magnitude: Optional[float] = None,
    confidence: Optional[float] = None,
    source_model: str = None,
    weight: Optional[float] = None,
    tag: str = ...,
) -> Insight

price(
    symbol: Union[Symbol, str, BaseContract],
    close_time_local: Union[datetime, date],
    direction: InsightDirection,
    magnitude: Optional[float] = None,
    confidence: Optional[float] = None,
    source_model: str = None,
    weight: Optional[float] = None,
    tag: str = ...,
) -> Insight

price(
    symbol: Union[Symbol, str, BaseContract],
    period: timedelta,
    direction: InsightDirection,
    magnitude: Optional[float] = None,
    confidence: Optional[float] = None,
    source_model: str = None,
    weight: Optional[float] = None,
    tag: str = ...,
) -> Insight

price(
    symbol: Union[Symbol, str, BaseContract],
    expiry_func: Callable[[datetime], datetime],
    direction: InsightDirection,
    magnitude: Optional[float] = None,
    confidence: Optional[float] = None,
    source_model: str = None,
    weight: Optional[float] = None,
    tag: str = ...,
) -> Insight

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

Parameters:

Name	Type	Description	Default
`symbol`	`Union[Symbol, str, BaseContract]`	The symbol this insight is for	required
`resolution`	`Optional[Resolution]`	The resolution used to define the insight's period and also used to determine the insight's close time	`None`
`bar_count`	`Optional[int]`	The number of resolution time steps to make in market hours to compute the insight's closing time	`None`
`direction`	`InsightDirection`	The predicted direction	required
`magnitude`	`Optional[float]`	The predicted magnitude as a percent change	`None`
`confidence`	`Optional[float]`	The confidence in this insight	`None`
`source_model`	`str`	The model generating this insight	`None`
`weight`	`Optional[float]`	The portfolio weight of this insight	`None`
`tag`	`str`	The insight's tag containing additional information	`...`
`close_time_local`	`Optional[Union[datetime, date]]`	The insight's closing time in the security's exchange time zone	`None`
`period`	`Optional[timedelta]`	The period over which the prediction will come true	`None`
`expiry_func`	`Optional[Callable[[datetime], datetime]]`	Func that defines the expiry time	`None`

Returns:

Type	Description
`Insight`	A new insight object for the specified parameters.

cancel

cancel(utc_time: Union[datetime, date]) -> None

Cancel this insight

Parameters:

Name	Type	Description	Default
`utc_time`	`Union[datetime, date]`	The algorithm's current time in UTC. See IAlgorithm.UtcTime	required

clone

clone() -> Insight

Creates a deep clone of this insight instance

Returns:

Type	Description
`Insight`	A new insight with identical values, but new instances.

expire

expire(utc_time: Union[datetime, date]) -> None

Expire this insight

Parameters:

Name	Type	Description	Default
`utc_time`	`Union[datetime, date]`	The algorithm's current time in UTC. See IAlgorithm.UtcTime	required

from_serialized_insight

from_serialized_insight(
    serialized_insight: SerializedInsight,
) -> Insight

Creates a new Insight object from the specified serialized form

Parameters:

Name	Type	Description	Default
`serialized_insight`	`SerializedInsight`	The insight DTO	required

Returns:

Type	Description
`Insight`	A new insight containing the information specified.

is_active

is_active(utc_time: Union[datetime, date]) -> bool

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

Parameters:

Name	Type	Description	Default
`utc_time`	`Union[datetime, date]`	The algorithm's current time in UTC. See IAlgorithm.UtcTime	required

Returns:

Type	Description
`bool`	True if this insight is active, false otherwise.

is_expired

is_expired(utc_time: Union[datetime, date]) -> bool

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

Parameters:

Name	Type	Description	Default
`utc_time`	`Union[datetime, date]`	The algorithm's current time in UTC. See IAlgorithm.UtcTime	required

Returns:

Type	Description
`bool`	True if this insight is expired, false otherwise.

set_period_and_close_time

set_period_and_close_time(
    exchange_hours: SecurityExchangeHours,
) -> None

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

Parameters:

Name	Type	Description	Default
`exchange_hours`	`SecurityExchangeHours`	The insight's security exchange hours	required

short_to_string

short_to_string() -> str

Returns a short string that represents the current object.

Returns:

Type	Description
`str`	A string that represents the current object.

to_string

to_string() -> str

Returns a string that represents the current object.

Returns:

Type	Description
`str`	A string that represents the current object.