Runs LEAN to calculate the portfolio at a given time from Order objects. Generates and returns PointInTimePortfolio objects that represents the holdings and other miscellaneous metrics at a point in time by reprocessing the orders as they were filled. More...

Inheritance diagram for QuantConnect.Report.PortfolioLooper:

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Public Member Functions
void	Dispose ()
	Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources. More...

Static Public Member Functions
static IEnumerable< Slice >	GetHistory (List< Symbol > symbols, DateTime start, DateTime end, Resolution resolution)
	Gets the history for the given symbols from the start to the end More...

static IEnumerable< PointInTimePortfolio >	FromOrders (Series< DateTime, double > equityCurve, IEnumerable< Order > orders, AlgorithmConfiguration algorithmConfiguration=null, bool liveSeries=false)
	Gets the point in time portfolio over multiple deployments More...

Properties
PortfolioLooperAlgorithm	Algorithm `[get, protected set]`
	QCAlgorithm derived class that sets up internal data feeds for use with crypto and forex data, as well as managing the SecurityPortfolioManager More...

Detailed Description

Runs LEAN to calculate the portfolio at a given time from Order objects. Generates and returns PointInTimePortfolio objects that represents the holdings and other miscellaneous metrics at a point in time by reprocessing the orders as they were filled.

Definition at line 43 of file PortfolioLooper.cs.

Member Function Documentation

◆ Dispose()

void QuantConnect.Report.PortfolioLooper.Dispose ( )

Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.

Definition at line 158 of file PortfolioLooper.cs.

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◆ GetHistory()

static IEnumerable<Slice> QuantConnect.Report.PortfolioLooper.GetHistory	(	List< Symbol >	symbols,
		DateTime	start,
		DateTime	end,
		Resolution	resolution
	)

static

Gets the history for the given symbols from the start to the end

Parameters

symbols	Symbols to request history for
start	Start date of history request
end	End date of history request
resolution	Resolution of history request

Returns: Enumerable of slices

Definition at line 217 of file PortfolioLooper.cs.

◆ FromOrders()

static IEnumerable<PointInTimePortfolio> QuantConnect.Report.PortfolioLooper.FromOrders	(	Series< DateTime, double >	equityCurve,
		IEnumerable< Order >	orders,
		AlgorithmConfiguration	algorithmConfiguration = `null`,
		bool	liveSeries = `false`
	)

static

Gets the point in time portfolio over multiple deployments

Parameters

equityCurve	Equity curve series
orders	Orders
algorithmConfiguration	Optional parameter to override default algorithm configuration
liveSeries	Equity curve series originates from LiveResult

Returns: Enumerable of PointInTimePortfolio

Definition at line 243 of file PortfolioLooper.cs.

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Property Documentation

◆ Algorithm

PortfolioLooperAlgorithm QuantConnect.Report.PortfolioLooper.Algorithm

getprotected set

QCAlgorithm derived class that sets up internal data feeds for use with crypto and forex data, as well as managing the SecurityPortfolioManager

Definition at line 60 of file PortfolioLooper.cs.

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

Report/PortfolioLooper/PortfolioLooper.cs

Public Member Functions

Static Public Member Functions