Lean  $LEAN_TAG$
IPortfolioConstructionModel.cs
1 /*
2  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
3  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4  *
5  * Licensed under the Apache License, Version 2.0 (the "License");
6  * you may not use this file except in compliance with the License.
7  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
8  *
9  * Unless required by applicable law or agreed to in writing, software
10  * distributed under the License is distributed on an "AS IS" BASIS,
11  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12  * See the License for the specific language governing permissions and
13  * limitations under the License.
14 */
15 
16 using System.Collections.Generic;
17 using QuantConnect.Algorithm.Framework.Alphas;
18 
19 namespace QuantConnect.Algorithm.Framework.Portfolio
20 {
21  /// <summary>
22  /// Algorithm framework model that
23  /// </summary>
24  public interface IPortfolioConstructionModel : INotifiedSecurityChanges
25  {
26  /// <summary>
27  /// Create portfolio targets from the specified insights
28  /// </summary>
29  /// <param name="algorithm">The algorithm instance</param>
30  /// <param name="insights">The insights to create portfolio targets from</param>
31  /// <returns>An enumerable of portfolio targets to be sent to the execution model</returns>
32  IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights);
33  }
34 }