PortfolioLooper

QuantConnect.Report.PortfolioLooper

Bases: Object, IDisposable

Runs LEAN to calculate the portfolio at a given time from Order objects. Generates and returns PointInTimePortfolio objects that represents the holdings and other miscellaneous metrics at a point in time by reprocessing the orders as they were filled.

algorithm

algorithm: PortfolioLooperAlgorithm

QCAlgorithm derived class that sets up internal data feeds for use with crypto and forex data, as well as managing the SecurityPortfolioManager

dispose

dispose() -> None

Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.

from_orders

from_orders(
    equity_curve: Any,
    orders: List[Order],
    algorithm_configuration: AlgorithmConfiguration = None,
    live_series: bool = False,
) -> Iterable[PointInTimePortfolio]

Gets the point in time portfolio over multiple deployments

Parameters:

Name	Type	Description	Default
equity_curve	Any	Equity curve series	required
orders	List[Order]	Orders	required
algorithm_configuration	AlgorithmConfiguration	Optional parameter to override default algorithm configuration	None
live_series	bool	Equity curve series originates from LiveResult	False

Returns:

Type	Description
Iterable[PointInTimePortfolio]	Enumerable of PointInTimePortfolio.

get_history

get_history(
    symbols: List[Symbol],
    start: Union[datetime, date],
    end: Union[datetime, date],
    resolution: Resolution,
) -> Iterable[Slice]

Gets the history for the given symbols from the start to the end

Parameters:

Name	Type	Description	Default
symbols	List[Symbol]	Symbols to request history for	required
start	Union[datetime, date]	Start date of history request	required
end	Union[datetime, date]	End date of history request	required
resolution	Resolution	Resolution of history request	required

Returns:

Type	Description
Iterable[Slice]	Enumerable of slices.