Lean
$LEAN_TAG$
|
Provides an implementation of IRiskManagementModel that combines multiple risk models into a single risk management model and properly sets each insights 'SourceModel' property. More...
Public Member Functions | |
CompositeRiskManagementModel (params IRiskManagementModel[] riskManagementModels) | |
Initializes a new instance of the CompositeRiskManagementModel class More... | |
CompositeRiskManagementModel (IEnumerable< IRiskManagementModel >riskManagementModels) | |
Initializes a new instance of the CompositeRiskManagementModel class More... | |
CompositeRiskManagementModel (params PyObject[] riskManagementModels) | |
Initializes a new instance of the CompositeRiskManagementModel class More... | |
CompositeRiskManagementModel (PyObject riskManagementModel) | |
Initializes a new instance of the CompositeRiskManagementModel class More... | |
override IEnumerable< IPortfolioTarget > | ManageRisk (QCAlgorithm algorithm, IPortfolioTarget[] targets) |
Manages the algorithm's risk at each time step. This method patches this call through the each of the wrapped models. More... | |
override void | OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes) |
Event fired each time the we add/remove securities from the data feed. This method patches this call through the each of the wrapped models. More... | |
void | AddRiskManagement (IRiskManagementModel riskManagementModel) |
Adds a new IRiskManagementModel instance More... | |
void | AddRiskManagement (PyObject pyRiskManagementModel) |
Adds a new IRiskManagementModel instance More... | |
Provides an implementation of IRiskManagementModel that combines multiple risk models into a single risk management model and properly sets each insights 'SourceModel' property.
Definition at line 30 of file CompositeRiskManagementModel.cs.
QuantConnect.Algorithm.Framework.Risk.CompositeRiskManagementModel.CompositeRiskManagementModel | ( | params IRiskManagementModel[] | riskManagementModels | ) |
Initializes a new instance of the CompositeRiskManagementModel class
riskManagementModels | The individual risk management models defining this composite model |
Definition at line 38 of file CompositeRiskManagementModel.cs.
QuantConnect.Algorithm.Framework.Risk.CompositeRiskManagementModel.CompositeRiskManagementModel | ( | IEnumerable< IRiskManagementModel > | riskManagementModels | ) |
Initializes a new instance of the CompositeRiskManagementModel class
riskManagementModels | The individual risk management models defining this composite model |
Definition at line 52 of file CompositeRiskManagementModel.cs.
QuantConnect.Algorithm.Framework.Risk.CompositeRiskManagementModel.CompositeRiskManagementModel | ( | params PyObject[] | riskManagementModels | ) |
Initializes a new instance of the CompositeRiskManagementModel class
riskManagementModels | The individual risk management models defining this composite model |
Definition at line 69 of file CompositeRiskManagementModel.cs.
QuantConnect.Algorithm.Framework.Risk.CompositeRiskManagementModel.CompositeRiskManagementModel | ( | PyObject | riskManagementModel | ) |
Initializes a new instance of the CompositeRiskManagementModel class
riskManagementModel | The individual risk management model defining this composite model |
Definition at line 86 of file CompositeRiskManagementModel.cs.
|
virtual |
Manages the algorithm's risk at each time step. This method patches this call through the each of the wrapped models.
algorithm | The algorithm instance |
targets | The current portfolio targets to be assessed for risk |
Reimplemented from QuantConnect.Algorithm.Framework.Risk.RiskManagementModel.
Definition at line 99 of file CompositeRiskManagementModel.cs.
|
virtual |
Event fired each time the we add/remove securities from the data feed. This method patches this call through the each of the wrapped models.
algorithm | The algorithm instance that experienced the change in securities |
changes | The security additions and removals from the algorithm |
Reimplemented from QuantConnect.Algorithm.Framework.Risk.RiskManagementModel.
Definition at line 119 of file CompositeRiskManagementModel.cs.
void QuantConnect.Algorithm.Framework.Risk.CompositeRiskManagementModel.AddRiskManagement | ( | IRiskManagementModel | riskManagementModel | ) |
Adds a new IRiskManagementModel instance
riskManagementModel | The risk management model to add |
Definition at line 131 of file CompositeRiskManagementModel.cs.
void QuantConnect.Algorithm.Framework.Risk.CompositeRiskManagementModel.AddRiskManagement | ( | PyObject | pyRiskManagementModel | ) |
Adds a new IRiskManagementModel instance
pyRiskManagementModel | The risk management model to add |
Definition at line 140 of file CompositeRiskManagementModel.cs.