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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
8000
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Util;
using QuantConnect.Securities;
using System.Collections.Generic;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Algorithm.Framework.Alphas.Analysis;
namespace QuantConnect.Algorithm
{
public partial class QCAlgorithm
{
// this is so that later during 'UniverseSelection.CreateUniverses' we wont remove the user universes from the UniverseManager
private readonly HashSet<Symbol> _universeSelectionUniverses = new ();
private bool _isEmitWarmupInsightWarningSent;
private bool _isEmitDelistedInsightWarningSent;
/// <summary>
/// Enables additional logging of framework models including:
/// All insights, portfolio targets, order events, and any risk management altered targets
/// </summary>
[DocumentationAttribute(Logging)]
public bool DebugMode { get; set; }
/// <summary>
/// Gets or sets the universe selection model.
/// </summary>
[DocumentationAttribute(AlgorithmFramework)]
public IUniverseSelectionModel UniverseSelection { get; set; }
/// <summary>
/// Gets or sets the alpha model
/// </summary>
[DocumentationAttribute(AlgorithmFramework)]
public IAlphaModel Alpha { get; set; }
/// <summary>
/// Gets the insight manager
/// </summary>
[DocumentationAttribute(AlgorithmFramework)]
public InsightManager Insights { get; private set; }
/// <summary>
/// Gets or sets the portfolio construction model
/// </summary>
[DocumentationAttribute(AlgorithmFramework)]
public IPortfolioConstructionModel PortfolioConstruction { get; set; }
/// <summary>
/// Gets or sets the execution model
/// </summary>
[DocumentationAttribute(AlgorithmFramework)]
public IExecutionModel Execution { get; set; }
/// <summary>
/// Gets or sets the risk management model
/// </summary>
[DocumentationAttribute(AlgorithmFramework)]
public IRiskManagementModel RiskManagement { get; set; }
/// <summary>
/// Called by setup handlers after <see cref="Initialize"/> and allows the algorithm a chance to organize
/// the data gather in the <see cref="Initialize"/> method
/// </summary>
[DocumentationAttribute(AlgorithmFramework)]
public void FrameworkPostInitialize()
{
foreach (var universe in UniverseSelection.CreateUniverses(this))
{
AddUniverse(universe);
_universeSelectionUniverses.Add(universe.Configuration.Symbol);
}
if (DebugMode)
{
InsightsGenerated += (algorithm, data) => Log($"{Time}: {string.Join(" | ", data.Insights.OrderBy(i => i.Symbol.ToString()))}");
}
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data <see cref="Slice"/></param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(HandlingData)]
public void OnFrameworkData(Slice slice)
{
if (UtcTime >= UniverseSelection.GetNextRefreshTimeUtc())
{
// remove deselected universes by symbol before we create new universes
foreach (var ukvp in UniverseManager.Where(kvp => kvp.Value.DisposeRequested))
{
var universeSymbol = ukvp.Key;
// have to remove in the next loop after the universe is marked as disposed, when 'Dispose()' is called it will trigger universe selection
// and deselect all symbols, sending the removed security changes, which are picked up by the AlgorithmManager and tags securities
// as non tradable as long as they are not active in any universe (uses UniverseManager.ActiveSecurities)
// but they will remain tradable if a position is still being hold since they won't be remove from the UniverseManager
// but this last part will not happen if we remove the universe from the UniverseManager right away, since it won't be part of 'UniverseManager'.
// And we have to remove the universe even if it's present at 'universes' because that one is another New universe that should get added!
// 'UniverseManager' will skip duplicate entries getting added.
UniverseManager.Remove(universeSymbol);
_universeSelectionUniverses.Remove(universeSymbol);
}
var toRemove = new HashSet<Symbol>(_universeSelectionUniverses);
foreach (var universe in UniverseSelection.CreateUniverses(this))
{
// add newly sel
8000
ected universes
_universeSelectionUniverses.Add(universe.Configuration.Symbol);
AddUniverse(universe);
toRemove.Remove(universe.Configuration.Symbol);
}
// remove deselected universes by symbol but prevent removal of qc algorithm created user defined universes
foreach (var universeSymbol in toRemove)
{
// mark this universe as disposed to remove all child subscriptions
UniverseManager[universeSymbol].Dispose();
}
}
// update scores
Insights.Step(UtcTime);
// we only want to run universe selection if there's no data available in the slice
if (!slice.HasData)
{
return;
}
// insight timestamping handled via InsightsGenerated event handler
var insightsEnumerable = Alpha.Update(this, slice);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var insights = insightsEnumerable == Enumerable.Empty<Insight>()
? new Insight[] { } : insightsEnumerable.ToArray();
// only fire insights generated event if we actually have insights
if (insights.Length != 0)
{
insights = InitializeInsights(insights);
OnInsightsGenerated(insights);
}
ProcessInsights(insights);
}
/// <summary>
/// They different framework models will process the new provided <see cref="Insight"/>.
/// The <see cref="IPortfolioConstructionModel"/> will create targets,
/// the <see cref="IRiskManagementModel"/> will adjust the targets
/// and the <see cref="IExecutionModel"/> will execute the <see cref="IPortfolioTarget"/>
/// </summary>
/// <param name="insights">The <see cref="Insight"/> to process</param>
[DocumentationAttribute(AlgorithmFramework)]
private void ProcessInsights(Insight[] insights)
{
// construct portfolio targets from insights
var targetsEnumerable = PortfolioConstruction.CreateTargets(this, insights);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var targets = targetsEnumerable == Enumerable.Empty<IPortfolioTarget>()
? new IPortfolioTarget[] { } : targetsEnumerable.ToArray();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Length > 0)
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverridesEnumerable = RiskManagement.ManageRisk(this, targets);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var riskTargetOverrides = riskTargetOverridesEnumerable == Enumerable.Empty<IPortfolioTarget>()
? new IPortfolioTarget[] { } : riskTargetOverridesEnumerable.ToArray();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
IPortfolioTarget[] riskAdjustedTargets;
// for performance we check the length before
if (riskTargetOverrides.Length != 0
|| targets.Length != 0)
{
// execute on the targets, overriding targets for symbols w/ risk targets
riskAdjustedTargets = riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol).ToArray();
}
else
{
riskAdjustedTargets = new IPortfolioTarget[] { };
}
if (DebugMode)
{
// only log adjusted targets if we've performed an adjustment
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
Execution.Execute(this, riskAdjustedTargets);
}
/// <summary>
/// Used to send security changes to algorithm framework models
/// </summary>
/// <param name="changes">Security additions/removals for this time step</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(Universes)]
public void OnFrameworkSecuritiesChanged(SecurityChanges changes)
{
if (DebugMode)
{
Debug($"{Time}: {changes}");
}
Alpha.OnSecuritiesChanged(this, changes);
PortfolioConstruction.OnSecuritiesChanged(this, changes);
Execution.OnSecuritiesChanged(this, changes);
RiskManagement.OnSecuritiesChanged(this, changes);
}
/// <summary>
/// Sets the universe selection model
/// </summary>
/// <param name="universeSelection">Model defining universes for the algorithm</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(Universes)]
public void SetUniverseSelection(IUniverseSelectionModel universeSelection)
{
UniverseSelection = universeSelection;
}
/// <summary>
/// Adds a new universe selection model
/// </summary>
/// <param name="universeSelection">Model defining universes for the algorithm to add</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(Universes)]
public void AddUniverseSelection(IUniverseSelectionModel universeSelection)
{
if (UniverseSelection.GetType() != typeof(NullUniverseSelectionModel))
{
var compositeUniverseSelection = UniverseSelection as CompositeUniverseSelectionModel;
if (compositeUniverseSelection != null)
{
compositeUniverseSelection.AddUniverseSelection(universeSelection);
}
else
{
UniverseSelection = new CompositeUniverseSelectionModel(UniverseSelection, universeSelection);
}
}
else
{
UniverseSelection = universeSelection;
}
}
/// <summary>
/// Sets the alpha model
/// </summary>
/// <param name="alpha">Model that generates alpha</param>
[DocumentationAttribute(AlgorithmFramework)]
public void SetAlpha(IAlphaModel alpha)
{
Alpha = alpha;
}
/// <summary>
/// Adds a new alpha model
/// </summary>
/// <param name="alpha">Model that generates alpha to add</param>
[DocumentationAttribute(AlgorithmFramework)]
public void AddAlpha(IAlphaModel alpha)
{
if (Alpha.GetType() != typeof(NullAlphaModel))
{
var compositeAlphaModel = Alpha as CompositeAlphaModel;
if (compositeAlphaModel != null)
{
compositeAlphaModel.AddAlpha(alpha);
}
else
{
Alpha = new CompositeAlphaModel(Alpha, alpha);
}
}
else
{
Alpha = alpha;
}
}
/// <summary>
/// Sets the portfolio construction model
/// </summary>
/// <param name="portfolioConstruction">Model defining how to build a portfolio from insights</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(TradingAndOrders)]
public void SetPortfolioConstruction(IPortfolioConstructionModel portfolioConstruction)
{
PortfolioConstruction = portfolioConstruction;
}
/// <summary>
/// Sets the execution model
/// </summary>
/// <param name="execution">Model defining how to execute trades to reach a portfolio target</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(TradingAndOrders)]
public void SetExecution(IExecutionModel execution)
{
Execution = execution;
}
/// <summary>
/// Sets the risk management model
/// </summary>
/// <param name="riskManagement">Model defining how risk is managed</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(TradingAndOrders)]
public void SetRiskManagement(IRiskManagementModel riskManagement)
{
RiskManagement = riskManagement;
}
/// <summary>
/// Adds a new risk management model
/// </summary>
/// <param name="riskManagement">Model defining how risk is managed to add</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(TradingAndOrders)]
public void AddRiskManagement(IRiskManagementModel riskManagement)
{
if (RiskManagement.GetType() != typeof(NullRiskManagementModel))
{
var compositeRiskModel = RiskManagement as CompositeRiskManagementModel;
if (compositeRiskModel != null)
{
compositeRiskModel.AddRiskManagement(riskManagement);
}
else
{
RiskManagement = new CompositeRiskManagementModel(RiskManagement, riskManagement);
}
}
else
{
RiskManagement = riskManagement;
}
}
/// <summary>
/// Manually emit insights from an algorithm.
/// This is typically invoked before calls to submit orders in algorithms written against
/// QCAlgorithm that have been ported into the algorithm framework.
/// </summary>
/// <param name="insights">The array of insights to be emitted</param>
[DocumentationAttribute(AlgorithmFramework)]
public void EmitInsights(params Insight[] insights)
{
if (IsWarmingUp)
{
if (!_isEmitWarmupInsightWarningSent)
{
Error("Warning: insights emitted during algorithm warmup are ignored.");
_isEmitWarmupInsightWarningSent = true;
}
return;
}
insights = InitializeInsights(insights);
OnInsightsGenerated(insights);
ProcessInsights(insights);
}
/// <summary>
/// Manually emit insights from an algorithm.
/// This is typically invoked before calls to submit orders in algorithms written against
/// QCAlgorithm that have been ported into the algorithm framework.
/// </summary>
/// <param name="insight">The insight to be emitted</param>
[DocumentationAttribute(AlgorithmFramework)]
public void EmitInsights(Insight insight)
{
EmitInsights(new[] { insight });
}
/// <summary>
/// Helper method used to validate insights and prepare them to be emitted
/// </summary>
/// <param name="insights">insights preparing to be emitted</param>
/// <returns>Validated insights</returns>
private Insight[] InitializeInsights(Insight[] insights)
{
List<Insight> validInsights = null;
for (var i = 0; i < insights.Length; i++)
{
var security = Securities[insights[i].Symbol];
if (security.IsDelisted)
{
if (!_isEmitDelistedInsightWarningSent)
{
Error($"QCAlgorithm.EmitInsights(): Warning: cannot emit insights for delisted securities, these will be discarded");
_isEmitDelistedInsightWarningSent = true;
}
// If this is our first invalid insight, create the list and fill it with previous values
if (validInsights == null)
{
validInsights = new List<Insight>() {};
for (var j = 0; j < i; j++)
{
validInsights.Add(insights[j]);
}
}
}
else
{
// Initialize the insight fields
insights[i] = InitializeInsightFields(insights[i], security);
// If we already had an invalid insight, this will have been initialized storing the valid ones.
if (validInsights != null)
{
validInsights.Add(insights[i]);
}
}
}
return validInsights == null ? insights : validInsights.ToArray();
}
/// <summary>
/// Helper class used to set values not required to be set by alpha models
/// </summary>
/// <param name="insight">The <see cref="Insight"/> to set the values for</param>
/// <param name="security">The <see cref="Security"/> instance associated with this insight</param>
/// <returns>The same <see cref="Insight"/> instance with the values set</returns>
private Insight InitializeInsightFields(Insight insight, Security security)
{
insight.GeneratedTimeUtc = UtcTime;
switch (insight.Type)
{
case InsightType.Price:
insight.ReferenceValue = security.Price;
break;
case InsightType.Volatility:
insight.ReferenceValue = security.VolatilityModel.Volatility;
break;
}
insight.SourceModel = string.IsNullOrEmpty(insight.SourceModel) ? Alpha.GetModelName() : insight.SourceModel;
var exchangeHours = MarketHoursDatabase.GetExchangeHours(insight.Symbol.ID.Market, insight.Symbol, insight.Symbol.SecurityType);
insight.SetPeriodAndCloseTime(exchangeHours);
return insight;
}
}
}