SecurityPortfolioManager

QuantConnect.Securities.SecurityPortfolioManager

SecurityPortfolioManager(
    security_manager: SecurityManager,
    transactions: SecurityTransactionManager,
    algorithm_settings: IAlgorithmSettings,
    default_order_properties: IOrderProperties = None,
)

Bases: ExtendedDictionary[Symbol, SecurityHolding], IDictionary[Symbol, SecurityHolding], ISecurityProvider, Iterable[KeyValuePair[Symbol, SecurityHolding]]

Portfolio manager class groups popular properties and makes them accessible through one interface. It also provide indexing by the vehicle symbol to get the Security.Holding objects.

Initialise security portfolio manager.

securities

securities: SecurityManager

Local access to the securities collection for the portfolio summation.

transactions

transactions: SecurityTransactionManager

Local access to the transactions collection for the portfolio summation and updates.

positions

positions: SecurityPositionGroupModel

Local access to the position manager

cash_book

cash_book: CashBook

Gets the cash book that keeps track of all currency holdings (only settled cash)

unsettled_cash_book

unsettled_cash_book: CashBook

Gets the cash book that keeps track of all currency holdings (only unsettled cash)

count

count: int

Count the securities objects in the portfolio.

is_read_only

is_read_only: bool

Check if the underlying securities array is read only.

get_keys

get_keys: Iterable[Symbol]

Gets an System.Collections.Generic.ICollection{T} containing the Symbol objects of the System.Collections.Generic.IDictionary{TKey, TValue}.

This codeEntityType is protected.

get_values

get_values: Iterable[SecurityHolding]

Gets an System.Collections.Generic.ICollection{T} containing the values in the System.Collections.Generic.IDictionary{TKey, TValue}.

This codeEntityType is protected.

cash

cash: float

Sum of all currencies in account in US dollars (only settled cash)

unsettled_cash

unsettled_cash: float

Sum of all currencies in account in US dollars (only unsettled cash)

total_unlevered_absolute_holdings_cost

total_unlevered_absolute_holdings_cost: float

Absolute value of cash discounted from our total cash by the holdings we own.

total_absolute_holdings_cost

total_absolute_holdings_cost: float

Gets the total absolute holdings cost of the portfolio. This sums up the individual absolute cost of each holding

total_holdings_value

total_holdings_value: float

Absolute sum the individual items in portfolio.

hold_stock

hold_stock: bool

Boolean flag indicating we have any holdings in the portfolio.

invested

invested: bool

Alias for HoldStock. Check if we have any holdings.

total_unrealised_profit

total_unrealised_profit: float

Get the total unrealised profit in our portfolio from the individual security unrealized profits.

total_unrealized_profit

total_unrealized_profit: float

Get the total unrealised profit in our portfolio from the individual security unrealized profits.

total_portfolio_value

total_portfolio_value: float

Total portfolio value if we sold all holdings at current market rates.

total_portfolio_value_less_free_buffer

total_portfolio_value_less_free_buffer: float

Returns the adjusted total portfolio value removing the free amount If the IAlgorithmSettings.free_portfolio_value has not been set, the free amount will have a trailing behavior and be updated when requested

total_fees

total_fees: float

Total fees paid during the algorithm operation across all securities in portfolio.

total_profit

total_profit: float

Sum of all gross profit across all securities in portfolio and dividend payments.

total_net_profit

total_net_profit: float

Sum of all net profit across all securities in portfolio and dividend payments.

total_sale_volume

total_sale_volume: float

Total sale volume since the start of algorithm operations.

total_margin_used

total_margin_used: float

Gets the total margin used across all securities in the account's currency

margin_remaining

margin_remaining: float

Gets the remaining margin on the account in the account's currency

margin_call_model

margin_call_model: IMarginCallModel

Gets or sets the margin_call_model for the portfolio. This is used to executed margin call orders.

contains

__contains__(
    symbol: Union[Symbol, str, BaseContract],
) -> bool

__contains__(key: Union[Symbol, str, BaseContract]) -> bool

Signature descriptions:

Check if the portfolio contains this symbol string.
Checks if the dictionary contains the specified key.

Parameters:

Name	Type	Description	Default
`symbol`	`Optional[Union[Symbol, str, BaseContract]]`	String search symbol for the security	`None`
`key`	`Optional[Union[Symbol, str, BaseContract]]`	The key to locate in the dictionary	`None`

Returns:

Type	Description
`bool`	Depends on the signature used. Case 1: [Boolean true if portfolio contains this symbol.]; Case 2: [true if the dictionary contains an element with the specified key; otherwise, false.]

getitem

__getitem__(
    symbol: Union[Symbol, str, BaseContract],
) -> SecurityHolding

__getitem__(
    key: Union[Symbol, str, BaseContract],
) -> SecurityHolding

Signature descriptions:

Indexer for the PortfolioManager class to access the underlying security holdings objects.
Indexer method for the base dictioanry to access the objects by their symbol.

Parameters:

Name	Type	Description	Default
`symbol`	`Optional[Union[Symbol, str, BaseContract]]`	Symbol object indexer	`None`
`key`	`Optional[Union[Symbol, str, BaseContract]]`	Key object indexer	`None`

Returns:

Type	Description
`SecurityHolding`	Depends on the signature used. Case 1: [SecurityHolding class from the algorithm securities.]; Case 2: [Object of t_value.]

setitem

__setitem__(
    symbol: Union[Symbol, str, BaseContract],
    value: SecurityHolding,
) -> None

__setitem__(
    key: Union[Symbol, str, BaseContract],
    value: SecurityHolding,
) -> None

Signature descriptions:

Indexer for the PortfolioManager class to access the underlying security holdings objects.
Indexer method for the base dictioanry to access the objects by their symbol.

Parameters:

Name	Type	Description	Default
`symbol`	`Optional[Union[Symbol, str, BaseContract]]`	Symbol object indexer	`None`
`key`	`Optional[Union[Symbol, str, BaseContract]]`	Key object indexer	`None`

Returns:

Type	Description
`Optional[None]`	Depends on the signature used. Case 1: [SecurityHolding class from the algorithm securities.]; Case 2: [Object of t_value.]

add

add(
    symbol: Union[Symbol, str, BaseContract],
    holding: SecurityHolding,
) -> None

add(pair: KeyValuePair[Symbol, SecurityHolding]) -> None

Signature descriptions:

Add a new securities string-security to the portfolio.
Add a new securities key value pair to the portfolio.

Parameters:

Name	Type	Description	Default
`symbol`	`Optional[Union[Symbol, str, BaseContract]]`	Symbol of dictionary	`None`
`holding`	`Optional[SecurityHolding]`	SecurityHoldings object	`None`
`pair`	`Optional[KeyValuePair[Symbol, SecurityHolding]]`	Key value pair of dictionary	`None`

contains_key

contains_key(
    symbol: Union[Symbol, str, BaseContract],
) -> bool

contains_key(key: Union[Symbol, str, BaseContract]) -> bool

Signature descriptions:

Check if the portfolio contains this symbol string.
Checks if the dictionary contains the specified key.

Parameters:

Name	Type	Description	Default
`symbol`	`Optional[Union[Symbol, str, BaseContract]]`	String search symbol for the security	`None`
`key`	`Optional[Union[Symbol, str, BaseContract]]`	The key to locate in the dictionary	`None`

Returns:

Type	Description
`bool`	Depends on the signature used. Case 1: [Boolean true if portfolio contains this symbol.]; Case 2: [true if the dictionary contains an element with the specified key; otherwise, false.]

get

get(
    key: Union[Symbol, str, BaseContract],
) -> SecurityHolding

get(
    key: Union[Symbol, str, BaseContract],
    value: SecurityHolding,
) -> SecurityHolding

Returns the value for the specified key if key is in dictionary.

Parameters:

Name	Type	Description	Default
`key`	`Union[Symbol, str, BaseContract]`	key to be searched in the dictionary	required
`value`	`Optional[SecurityHolding]`	Value to be returned if the key is not found. The default value is null.	`None`

Returns:

Type	Description
`SecurityHolding`	The value for the specified key if key is in dictionary.

get_margin_remaining

get_margin_remaining(total_portfolio_value: float) -> float

get_margin_remaining(
    symbol: Union[Symbol, str, BaseContract],
    direction: OrderDirection = ...,
) -> float

Gets the remaining margin on the account in the account's currency for the given total portfolio value

Parameters:

Name	Type	Description	Default
`total_portfolio_value`	`Optional[float]`	The total portfolio value total_portfolio_value	`None`

pop

pop(
    key: Union[Symbol, str, BaseContract],
) -> SecurityHolding

pop(
    key: Union[Symbol, str, BaseContract],
    default_value: SecurityHolding,
) -> SecurityHolding

Removes and returns an element from a dictionary having the given key.

Parameters:

Name	Type	Description	Default
`key`	`Union[Symbol, str, BaseContract]`	Key which is to be searched for removal	required
`default_value`	`Optional[SecurityHolding]`	Value which is to be returned when the key is not in the dictionary	`None`

Returns:

Type	Description
`SecurityHolding`	If key is found - removed/popped element from the dictionary

remove

remove(pair: KeyValuePair[Symbol, SecurityHolding]) -> bool

remove(symbol: Union[Symbol, str, BaseContract]) -> bool

remove(key: Union[Symbol, str, BaseContract]) -> bool

Signature descriptions:

Remove this keyvalue pair from the portfolio.
Remove this symbol from the portfolio.
Removes the value with the specified key

Parameters:

Name	Type	Description	Default
`pair`	`Optional[KeyValuePair[Symbol, SecurityHolding]]`	Key value pair of dictionary	`None`
`symbol`	`Optional[Union[Symbol, str, BaseContract]]`	Symbol of dictionary	`None`
`key`	`Optional[Union[Symbol, str, BaseContract]]`	The key object of the element to remove.	`None`

Returns:

Type	Description
`bool`	true if the element is successfully found and removed; otherwise, false.

set_cash

set_cash(cash: float) -> None

set_cash(
    symbol: str, cash: float, conversion_rate: float
) -> None

Signature descriptions:

Set the account currency cash this algorithm is to manage.
Set the cash for the specified symbol

Parameters:

Name	Type	Description	Default
`cash`	`float`	Decimal cash value of portfolio	required
`symbol`	`Optional[str]`	The cash symbol to set	`None`
`conversion_rate`	`Optional[float]`	The current conversion rate for the	`None`

set_margin_call_model

set_margin_call_model(py_object: Any) -> None

set_margin_call_model(
    margin_call_model: IMarginCallModel,
) -> None

Sets the margin call model

Parameters:

Name	Type	Description	Default
`py_object`	`Optional[Any]`	Model that represents a portfolio's model to executed margin call orders.	`None`
`margin_call_model`	`Optional[IMarginCallModel]`	Model that represents a portfolio's model to executed margin call orders.	`None`

setdefault

setdefault(
    key: Union[Symbol, str, BaseContract],
) -> SecurityHolding

setdefault(
    key: Union[Symbol, str, BaseContract],
    default_value: SecurityHolding,
) -> SecurityHolding

Returns the value of a key (if the key is in dictionary). If not, it inserts key with a value to the dictionary.

Parameters:

Name	Type	Description	Default
`key`	`Union[Symbol, str, BaseContract]`	Key with null/None value is inserted to the dictionary if key is not in the dictionary.	required
`default_value`	`Optional[SecurityHolding]`	Default value	`None`

Returns:

Type	Description
`SecurityHolding`	The value of the key if it is in the dictionary

try_get_value

try_get_value(
    symbol: Union[Symbol, str, BaseContract],
    holding: Optional[SecurityHolding],
) -> Tuple[bool, SecurityHolding]

try_get_value(
    key: Union[Symbol, str, BaseContract],
    value: Optional[SecurityHolding],
) -> Tuple[bool, SecurityHolding]

Signature descriptions:

Attempt to get the value of the securities holding class if this symbol exists.
Gets the value associated with the specified key.

Parameters:

Name	Type	Description	Default
`symbol`	`Optional[Union[Symbol, str, BaseContract]]`	String search symbol	`None`
`holding`	`Optional[Optional[SecurityHolding]]`	Holdings object of this security	`None`
`key`	`Optional[Union[Symbol, str, BaseContract]]`	The key whose value to get.	`None`
`value`	`Optional[Optional[SecurityHolding]]`	When this method returns, the value associated with the specified key, if the key is found; otherwise, the default value for the type of the value parameter. This parameter is passed uninitialized.	`None`

Returns:

Type	Description
`Tuple[bool, SecurityHolding]`	Depends on the signature used. Case 1: [Boolean true if successful locating and setting the holdings object.]; Case 2: [true if the object that implements System.Collections.Generic.IDictionary`2 contains an element with the specified key; otherwise, false.]

iter

__iter__() -> (
    Iterator[KeyValuePair[Symbol, SecurityHolding]]
)

len

__len__() -> int

add_transaction_record

add_transaction_record(
    time: Union[datetime, date],
    transaction_profit_loss: float,
    is_win: bool,
) -> None

Record the transaction value and time in a list to later be processed for statistics creation.

Parameters:

Name	Type	Description	Default
`time`	`Union[datetime, date]`	Time of order processed	required
`transaction_profit_loss`	`float`	Profit Loss.	required
`is_win`	`bool`	Whether the transaction is a win. For options exercise, this might not depend only on the profit/loss value	required

apply_dividend

apply_dividend(
    dividend: Dividend,
    live_mode: bool,
    mode: DataNormalizationMode,
) -> None

Applies a dividend to the portfolio

Parameters:

Name	Type	Description	Default
`dividend`	`Dividend`	The dividend to be applied	required
`live_mode`	`bool`	True if live mode, false for backtest	required
`mode`	`DataNormalizationMode`	The DataNormalizationMode for this security	required

apply_split

apply_split(
    split: Split,
    security: Security,
    live_mode: bool,
    mode: DataNormalizationMode,
) -> None

Applies a split to the portfolio

Parameters:

Name	Type	Description	Default
`split`	`Split`	The split to be applied	required
`security`	`Security`	The security the split will be applied to	required
`live_mode`	`bool`	True if live mode, false for backtest	required
`mode`	`DataNormalizationMode`	The DataNormalizationMode for this security	required

clear

clear() -> None

Clear the portfolio of securities objects.

contains

contains(
    pair: KeyValuePair[Symbol, SecurityHolding],
) -> bool

Check if the key-value pair is in the portfolio.

Parameters:

Name	Type	Description	Default
`pair`	`KeyValuePair[Symbol, SecurityHolding]`	Pair we're searching for	required

Returns:

Type	Description
`bool`	True if we have this object.

copy_to

copy_to(
    array: List[KeyValuePair[Symbol, SecurityHolding]],
    index: int,
) -> None

Copy contents of the portfolio collection to a new destination.

Parameters:

Name	Type	Description	Default
`array`	`List[KeyValuePair[Symbol, SecurityHolding]]`	Destination array	required
`index`	`int`	Position in array to start copying	required

get_buying_power

get_buying_power(
    symbol: Union[Symbol, str, BaseContract],
    direction: OrderDirection = ...,
) -> float

Gets the margin available for trading a specific symbol in a specific direction. Alias for get_margin_remaining(Symbol, OrderDirection)

Parameters:

Name	Type	Description	Default
`symbol`	`Union[Symbol, str, BaseContract]`	The symbol to compute margin remaining for	required
`direction`	`OrderDirection`	The order/trading direction	`...`

Returns:

Type	Description
`float`	The maximum order size that is currently executable in the specified direction.

get_items

get_items() -> (
    Iterable[KeyValuePair[Symbol, SecurityHolding]]
)

Gets all the items in the dictionary

Returns:

Type	Description
`Iterable[KeyValuePair[Symbol, SecurityHolding]]`	All the items in the dictionary.

has_sufficient_buying_power_for_order

has_sufficient_buying_power_for_order(
    orders: List[Order],
) -> HasSufficientBuyingPowerForOrderResult

Will determine if the algorithms portfolio has enough buying power to fill the given orders

Parameters:

Name	Type	Description	Default
`orders`	`List[Order]`	The orders to check	required

Returns:

Type	Description
`HasSufficientBuyingPowerForOrderResult`	True if the algorithm has enough buying power available.

invalidate_total_portfolio_value

invalidate_total_portfolio_value() -> None

Will flag the current total_portfolio_value as invalid so it is recalculated when gotten

log_margin_information

log_margin_information(
    order_request: OrderRequest = None,
) -> None

Logs margin information for debugging

process_fills

process_fills(fills: List[OrderEvent]) -> None

Calculate the new average price after processing a list of partial/complete order fill events.

set_account_currency

set_account_currency(
    account_currency: str,
    starting_cash: Optional[float] = None,
) -> None

Sets the account currency cash symbol this algorithm is to manage, as well as the starting cash in this currency if given

Parameters:

Name	Type	Description	Default
`account_currency`	`str`	The account currency cash symbol to set	required
`starting_cash`	`Optional[float]`	The account currency starting cash to set	`None`

set_positions

set_positions(
    position_group_model: SecurityPositionGroupModel,
) -> None

Will set the security position group model to use

Parameters:

Name	Type	Description	Default
`position_group_model`	`SecurityPositionGroupModel`	The position group model instance	required

get_security

get_security(
    symbol: Union[Symbol, str, BaseContract],
) -> Security

Retrieves a summary of the holdings for the specified symbol

Parameters:

Name	Type	Description	Default
`symbol`	`Union[Symbol, str, BaseContract]`	The symbol to get holdings for	required

Returns:

Type	Description
`Security`	The holdings for the symbol or null if the symbol is invalid and/or not in the portfolio.

fromkeys

fromkeys(
    sequence: List[QuantConnect_ExtendedDictionary_TKey],
) -> Dict[Any, Any]

fromkeys(
    sequence: List[QuantConnect_ExtendedDictionary_TKey],
    value: QuantConnect_ExtendedDictionary_TValue,
) -> Dict[Any, Any]

Signature descriptions:

Creates a new dictionary from the given sequence of elements.
Creates a new dictionary from the given sequence of elements with a value provided by the user.

Parameters:

Name	Type	Description	Default
`sequence`	`List[QuantConnect_ExtendedDictionary_TKey]`	Sequence of elements which is to be used as keys for the new dictionary	required
`value`	`Optional[QuantConnect_ExtendedDictionary_TValue]`	Value which is set to each each element of the dictionary	`None`

Returns:

Type	Description
`Dict[Any, Any]`	Returns a new dictionary with the given sequence of elements as the keys of the dictionary.

copy

copy() -> Dict[Any, Any]

Creates a shallow copy of the IExtendedDictionary{TKey, TValue}.

Returns:

Type	Description
`Dict[Any, Any]`	Returns a shallow copy of the dictionary. It doesn't modify the original dictionary.

items

items() -> List[Any]

Returns a view object that displays a list of dictionary's (key, value) tuple pairs.

Returns:

Type	Description
`List[Any]`	Returns a view object that displays a list of a given dictionary's (key, value) tuple pair.

keys

keys() -> List[Any]

Returns a view object that displays a list of all the key objects in the dictionary

Returns:

Type	Description
`List[Any]`	Returns a view object that displays a list of all the key objects. When the dictionary is changed, the view object also reflect these changes.

popitem

popitem() -> Any

Returns and removes an arbitrary element (key, value) pair from the dictionary.

Returns:

Type	Description
`Any`	Returns an arbitrary element (key, value) pair from the dictionary removes an arbitrary element(the same element which is returned) from the dictionary. Note: Arbitrary elements and random elements are not same.The popitem() doesn't return a random element.

update

update(other: Any) -> None

Updates the dictionary with the elements from the another dictionary object or from an iterable of key/value pairs. The update() method adds element(s) to the dictionary if the key is not in the dictionary.If the key is in the dictionary, it updates the key with the new value.

Parameters:

Name	Type	Description	Default
`other`	`Any`	Takes either a dictionary or an iterable object of key/value pairs (generally tuples).	required

values

values() -> List[Any]

Returns a view object that displays a list of all the values in the dictionary.

Returns:

Type	Description
`List[Any]`	Returns a view object that displays a list of all values in a given dictionary.

check_for_implicitly_created_symbol

check_for_implicitly_created_symbol(
    symbol: Union[Symbol, str, BaseContract],
) -> None

Checks if the symbol is implicitly created from a string, in which case it is not in the symbol cache, and throws a KeyNotFoundException.

This codeEntityType is protected.