chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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);
+        }
+    }
+}