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chore: import upstream snapshot with attribution

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wehub-resource-sync
2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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Algorithm/Risk/CompositeRiskManagementModel.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using System.Collections.Generic;
using System.Linq;
using Python.Runtime;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Util;
namespace QuantConnect.Algorithm.Framework.Risk
{
/// <summary>
/// Provides an implementation of <see cref="IRiskManagementModel"/> that combines multiple risk
/// models into a single risk management model and properly sets each insights 'SourceModel' property.
/// </summary>
public class CompositeRiskManagementModel : RiskManagementModel
{
private readonly List<IRiskManagementModel> _riskManagementModels = new List<IRiskManagementModel>();
/// <summary>
/// Initializes a new instance of the <see cref="CompositeRiskManagementModel"/> class
/// </summary>
/// <param name="riskManagementModels">The individual risk management models defining this composite model</param>
public CompositeRiskManagementModel(params IRiskManagementModel[] riskManagementModels)
{
if (riskManagementModels.IsNullOrEmpty())
{
throw new ArgumentException("Must specify at least 1 risk management model for the CompositeRiskManagementModel");
}
_riskManagementModels.AddRange(riskManagementModels);
}
/// <summary>
/// Initializes a new instance of the <see cref="CompositeRiskManagementModel"/> class
/// </summary>
/// <param name="riskManagementModels">The individual risk management models defining this composite model</param>
public CompositeRiskManagementModel(IEnumerable<IRiskManagementModel> riskManagementModels)
{
foreach (var riskManagementModel in riskManagementModels)
{
AddRiskManagement(riskManagementModel);
}
if (_riskManagementModels.IsNullOrEmpty())
{
throw new ArgumentException("Must specify at least 1 risk management model for the CompositeRiskManagementModel");
}
}
/// <summary>
/// Initializes a new instance of the <see cref="CompositeRiskManagementModel"/> class
/// </summary>
/// <param name="riskManagementModels">The individual risk management models defining this composite model</param>
public CompositeRiskManagementModel(params PyObject[] riskManagementModels)
{
if (riskManagementModels.IsNullOrEmpty())
{
throw new ArgumentException("Must specify at least 1 risk management model for the CompositeRiskManagementModel");
}
foreach (var pyRiskManagementModel in riskManagementModels)
{
AddRiskManagement(pyRiskManagementModel);
}
}
/// <summary>
/// Manages the algorithm's risk at each time step.
/// This method patches this call through the each of the wrapped models.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The current portfolio targets to be assessed for risk</param>
/// <returns>The new portfolio targets</returns>
public override IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets)
{
foreach (var model in _riskManagementModels)
{
// take into account the possibility of ManageRisk returning nothing
var riskAdjusted = model.ManageRisk(algorithm, targets);
// produce a distinct set of new targets giving preference to newer targets
targets = riskAdjusted.Concat(targets).DistinctBy(t => t.Symbol).ToArray();
}
return targets;
}
/// <summary>
/// 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.
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
foreach (var model in _riskManagementModels)
{
model.OnSecuritiesChanged(algorithm, changes);
}
}
/// <summary>
/// Adds a new <see cref="IRiskManagementModel"/> instance
/// </summary>
/// <param name="riskManagementModel">The risk management model to add</param>
public void AddRiskManagement(IRiskManagementModel riskManagementModel)
{
_riskManagementModels.Add(riskManagementModel);
}
/// <summary>
/// Adds a new <see cref="IRiskManagementModel"/> instance
/// </summary>
/// <param name="pyRiskManagementModel">The risk management model to add</param>
public void AddRiskManagement(PyObject pyRiskManagementModel)
{
var riskManagementModel = PythonUtil.CreateInstanceOrWrapper<IRiskManagementModel>(
pyRiskManagementModel,
py => new RiskManagementModelPythonWrapper(py)
);
_riskManagementModels.Add(riskManagementModel);
}
}
}
Algorithm/Risk/CompositeRiskManagementModel.py
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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from AlgorithmImports import *
class CompositeRiskManagementModel(RiskManagementModel):
'''Provides an implementation of IRiskManagementModel that combines multiple risk models
into a single risk management model and properly sets each insights 'SourceModel' property.'''
def __init__(self, *risk_management_models):
'''Initializes a new instance of the CompositeRiskManagementModel class
Args:
risk_management_models: The individual risk management models defining this composite model.'''
for model in risk_management_models:
for attribute_names in [('ManageRisk', 'manage_risk'), ('OnSecuritiesChanged', 'on_securities_changed')]:
if not hasattr(model, attribute_names[0]) and not hasattr(model, attribute_names[1]):
raise Exception(f'IRiskManagementModel.{attribute_names[1]} must be implemented. Please implement this missing method on {model.__class__.__name__}')
self.risk_management_models = risk_management_models
def manage_risk(self, algorithm, targets):
'''Manages the algorithm's risk at each time step
Args:
algorithm: The algorithm instance
targets: The current portfolio targets to be assessed for risk'''
for model in self.risk_management_models:
# take into account the possibility of ManageRisk returning nothing
risk_adjusted = model.manage_risk(algorithm, targets)
# produce a distinct set of new targets giving preference to newer targets
symbols = [x.symbol for x in risk_adjusted]
for target in targets:
if target.symbol not in symbols:
risk_adjusted.append(target)
targets = risk_adjusted
return targets
def on_securities_changed(self, algorithm, 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.
Args:
algorithm: The algorithm instance that experienced the change in securities
changes: The security additions and removals from the algorithm'''
for model in self.risk_management_models:
model.on_securities_changed(algorithm, changes)
def add_risk_management(self, risk_management_model):
'''Adds a new 'IRiskManagementModel' instance
Args:
risk_management_model: The risk management model to add'''
self.risk_management_models.add(risk_management_model)
Algorithm/Risk/IRiskManagementModel.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System.Collections.Generic;
using QuantConnect.Algorithm.Framework.Portfolio;
namespace QuantConnect.Algorithm.Framework.Risk
{
/// <summary>
/// Algorithm framework model that manages an algorithm's risk/downside
/// </summary>
public interface IRiskManagementModel : INotifiedSecurityChanges
{
/// <summary>
/// Manages the algorithm's risk at each time step
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The current portfolio targets to be assessed for risk</param>
IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets);
}
}
Algorithm/Risk/NullRiskManagementModel.cs
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using System.Collections.Generic;
using System.Linq;
using QuantConnect.Algorithm.Framework.Portfolio;
namespace QuantConnect.Algorithm.Framework.Risk
{
/// <summary>
/// Provides an implementation of <see cref="IRiskManagementModel"/> that does nothing
/// </summary>
public class NullRiskManagementModel : RiskManagementModel
{
/// <summary>
/// Manages the algorithm's risk at each time step
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The current portfolio targets to be assessed for risk</param>
public override IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets)
{
return Enumerable.Empty<IPortfolioTarget>();
}
}
}
Algorithm/Risk/NullRiskManagementModel.py
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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from AlgorithmImports import *
class NullRiskManagementModel(RiskManagementModel):
'''Provides an implementation of IRiskManagementModel that does nothing'''
def manage_risk(self, algorithm, targets):
return []
Algorithm/Risk/RiskManagementModel.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System.Collections.Generic;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Data.UniverseSelection;
namespace QuantConnect.Algorithm.Framework.Risk
{
/// <summary>
/// Provides a base class for risk management models
/// </summary>
public class RiskManagementModel : IRiskManagementModel
{
/// <summary>
/// Manages the algorithm's risk at each time step
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The current portfolio targets to be assessed for risk</param>
public virtual IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets)
{
throw new System.NotImplementedException("Types deriving from 'RiskManagementModel' must implement the 'IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm, IPortfolioTarget[]) method.");
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public virtual void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
}
}
}
Algorithm/Risk/RiskManagementModelPythonWrapper.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using Python.Runtime;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Python;
using System.Collections.Generic;
using QuantConnect.Algorithm.Framework.Portfolio;
namespace QuantConnect.Algorithm.Framework.Risk
{
/// <summary>
/// Provides an implementation of <see cref="IRiskManagementModel"/> that wraps a <see cref="PyObject"/> object
/// </summary>
public class RiskManagementModelPythonWrapper : RiskManagementModel
{
private readonly BasePythonWrapper<IRiskManagementModel> _model;
/// <summary>
/// Constructor for initialising the <see cref="IRiskManagementModel"/> class with wrapped <see cref="PyObject"/> object
/// </summary>
/// <param name="model">Model defining how risk is managed</param>
public RiskManagementModelPythonWrapper(PyObject model)
{
_model = new BasePythonWrapper<IRiskManagementModel>(model);
}
/// <summary>
/// Manages the algorithm's risk at each time step
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="targets">The current portfolio targets to be assessed for risk</param>
public override IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets)
{
return _model.InvokeMethodAndEnumerate<IPortfolioTarget>(nameof(ManageRisk), algorithm, targets);
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
_model.InvokeMethod(nameof(OnSecuritiesChanged), algorithm, changes).Dispose();
}
}
}