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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.
* 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;
using System.Collections.Generic;
using QuantConnect.Data;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Securities;
namespace QuantConnect.Algorithm.Framework.Alphas
{
/// <summary>
/// Provides an implementation of <see cref="IAlphaModel"/> that always returns the same insight for each security
/// </summary>
public class ConstantAlphaModel : AlphaModel
{
private readonly InsightType _type;
private readonly InsightDirection _direction;
private readonly TimeSpan _period;
private readonly double? _magnitude;
private readonly double? _confidence;
private readonly double? _weight;
private readonly HashSet<Security> _securities;
private readonly Dictionary<Symbol, DateTime> _insightsTimeBySymbol;
/// <summary>
/// Initializes a new instance of the <see cref="ConstantAlphaModel"/> class
/// </summary>
/// <param name="type">The type of insight</param>
/// <param name="direction">The direction of the insight</param>
/// <param name="period">The period over which the insight with come to fruition</param>
public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period)
: this(type, direction, period, null, null)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="ConstantAlphaModel"/> class
/// </summary>
/// <param name="type">The type of insight</param>
/// <param name="direction">The direction of the insight</param>
/// <param name="period">The period over which the insight with come to fruition</param>
/// <param name="magnitude">The predicted change in magnitude as a +- percentage</param>
/// <param name="confidence">The confidence in the insight</param>
/// <param name="weight">The portfolio weight of the insights</param>
public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period, double? magnitude, double? confidence, double? weight = null)
{
_type = type;
_direction = direction;
_period = period;
// Optional
_magnitude = magnitude;
_confidence = confidence;
_weight = weight;
_securities = new HashSet<Security>();
_insightsTimeBySymbol = new Dictionary<Symbol, DateTime>();
Name = $"{nameof(ConstantAlphaModel)}({type},{direction},{period}";
if (magnitude.HasValue)
{
Name += $",{magnitude.Value}";
}
if (confidence.HasValue)
{
Name += $",{confidence.Value}";
}
Name += ")";
}
/// <summary>
/// Creates a constant insight for each security as specified via the constructor
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
{
foreach (var security in _securities)
{
if (ShouldEmitInsight(algorithm.UtcTime, security.Symbol))
{
yield return new Insight(security.Symbol, _period, _type, _direction, _magnitude, _confidence, weight: _weight);
}
}
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
NotifiedSecurityChanges.UpdateCollection(_securities, changes);
// this will allow the insight to be re-sent when the security re-joins the universe
foreach (var removed in changes.RemovedSecurities)
{
_insightsTimeBySymbol.Remove(removed.Symbol);
}
}
protected virtual bool ShouldEmitInsight(DateTime utcTime, Symbol symbol)
{
DateTime generatedTimeUtc;
if (_insightsTimeBySymbol.TryGetValue(symbol, out generatedTimeUtc))
{
// we previously emitted a insight for this symbol, check it's period to see
// if we should emit another insight
if (utcTime - generatedTimeUtc < _period)
{
return false;
}
}
// we either haven't emitted a insight for this symbol or the previous
// insight's period has expired, so emit a new insight now for this symbol
_insightsTimeBySymbol[symbol] = utcTime;
return true;
}
}
}
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