QuantConnect.Algorithm.Framework.Portfolio.AlphaStreamsPortfolioConstructionModel Class Reference

Base alpha streams portfolio construction model More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Portfolio.AlphaStreamsPortfolioConstructionModel:

Public Member Functions
virtual decimal	GetAlphaWeight (string alphaId)
	Get's the weight for an alpha More...
virtual void	OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes)
	Event fired each time the we add/remove securities from the data feed More...
virtual IEnumerable< IPortfolioTarget >	CreateTargets (QCAlgorithm algorithm, Insight[] insights)
	Create portfolio targets from the specified insights More...

Detailed Description

Base alpha streams portfolio construction model

Definition at line 25 of file AlphaStreamsPortfolioConstructionModel.cs.

Member Function Documentation

GetAlphaWeight()

virtual decimal QuantConnect.Algorithm.Framework.Portfolio.AlphaStreamsPortfolioConstructionModel.GetAlphaWeight ( string  alphaId )

virtual

Get's the weight for an alpha

Parameters

alphaId

The algorithm instance that experienced the change in securities

Returns

The alphas weight

Definition at line 32 of file AlphaStreamsPortfolioConstructionModel.cs.

OnSecuritiesChanged()

virtual void QuantConnect.Algorithm.Framework.Portfolio.AlphaStreamsPortfolioConstructionModel.OnSecuritiesChanged ( QCAlgorithm  algorithm, SecurityChanges  changes  )

virtual

Event fired each time the we add/remove securities from the data feed

Parameters

algorithm	The algorithm instance that experienced the change in securities
changes	The security additions and removals from the algorithm

Implements QuantConnect.Algorithm.Framework.INotifiedSecurityChanges.

Definition at line 42 of file AlphaStreamsPortfolioConstructionModel.cs.

CreateTargets()

virtual IEnumerable<IPortfolioTarget> QuantConnect.Algorithm.Framework.Portfolio.AlphaStreamsPortfolioConstructionModel.CreateTargets ( QCAlgorithm  algorithm, Insight[]  insights  )

virtual

Create portfolio targets from the specified insights

Parameters

algorithm	The algorithm instance
insights	The insights to create portfolio targets from

Returns

An enumerable of portfolio targets to be sent to the execution model

Implements QuantConnect.Algorithm.Framework.Portfolio.IPortfolioConstructionModel.

Definition at line 53 of file AlphaStreamsPortfolioConstructionModel.cs.

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The documentation for this class was generated from the following file:

• Algorithm.Framework/Portfolio/AlphaStreamsPortfolioConstructionModel.cs