Lean
$LEAN_TAG$
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Provides a base class for risk management models More...
Public Member Functions | |
virtual IEnumerable< IPortfolioTarget > | ManageRisk (QCAlgorithm algorithm, IPortfolioTarget[] targets) |
Manages the algorithm's risk at each time step More... | |
virtual void | OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes) |
Event fired each time the we add/remove securities from the data feed More... | |
Provides a base class for risk management models
Definition at line 25 of file RiskManagementModel.cs.
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virtual |
Manages the algorithm's risk at each time step
algorithm | The algorithm instance |
targets | The current portfolio targets to be assessed for risk |
Implements QuantConnect.Algorithm.Framework.Risk.IRiskManagementModel.
Reimplemented in QuantConnect.Algorithm.Framework.Risk.CompositeRiskManagementModel, QuantConnect.Algorithm.Framework.Risk.MaximumSectorExposureRiskManagementModel, QuantConnect.Algorithm.Framework.Risk.MaximumDrawdownPercentPortfolio, QuantConnect.Algorithm.Framework.Risk.MaximumDrawdownPercentPerSecurity, QuantConnect.Algorithm.Framework.Risk.MaximumUnrealizedProfitPercentPerSecurity, QuantConnect.Algorithm.Framework.Risk.TrailingStopRiskManagementModel, QuantConnect.Algorithm.Framework.Risk.RiskManagementModelPythonWrapper, and QuantConnect.Algorithm.Framework.Risk.NullRiskManagementModel.
Definition at line 32 of file RiskManagementModel.cs.
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virtual |
Event fired each time the we add/remove securities from the data feed
algorithm | The algorithm instance that experienced the change in securities |
changes | The security additions and removals from the algorithm |
Implements QuantConnect.Algorithm.Framework.INotifiedSecurityChanges.
Reimplemented in QuantConnect.Algorithm.Framework.Risk.MaximumSectorExposureRiskManagementModel, QuantConnect.Algorithm.Framework.Risk.CompositeRiskManagementModel, and QuantConnect.Algorithm.Framework.Risk.RiskManagementModelPythonWrapper.
Definition at line 42 of file RiskManagementModel.cs.