CapacityEstimate
CapacityEstimate(algorithm: IAlgorithm)
Bases: Object
Estimates dollar volume capacity of algorithm (in account currency) using all Symbols in the portfolio.
Initializes an instance of the class.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
algorithm
|
IAlgorithm
|
Used to get data at the current time step and access the portfolio state |
required |
capacity: float
The total capacity of the strategy at a point in time
lowest_capacity_asset: Symbol
Provide a reference to the lowest capacity symbol used in scaling down the capacity for debugging.
on_order_event(order_event: OrderEvent) -> None
Processes an order whenever it's encountered so that we can calculate the capacity
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
order_event
|
OrderEvent
|
Order event to use to calculate capacity |
required |
update_market_capacity(force_process: bool) -> None