chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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 QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.Framework.Risk
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IRiskManagementModel"/> that limits
+    /// the sector exposure to the specified percentage
+    /// </summary>
+    public class MaximumSectorExposureRiskManagementModel : RiskManagementModel
+    {
+        private readonly decimal _maximumSectorExposure;
+        private readonly PortfolioTargetCollection _targetsCollection;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="MaximumSectorExposureRiskManagementModel"/> class
+        /// </summary>
+        /// <param name="maximumSectorExposure">The maximum exposure for any sector, defaults to 20% sector exposure.</param>
+        public MaximumSectorExposureRiskManagementModel(
+            decimal maximumSectorExposure = 0.20m
+            )
+        {
+            if (maximumSectorExposure <= 0)
+            {
+                throw new ArgumentOutOfRangeException("MaximumSectorExposureRiskManagementModel: the maximum sector exposure cannot be a non-positive value.");
+            }
+
+            _maximumSectorExposure = maximumSectorExposure;
+            _targetsCollection = new PortfolioTargetCollection();
+        }
+
+        /// <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)
+        {
+            var maximumSectorExposureValue = algorithm.Portfolio.TotalPortfolioValue * _maximumSectorExposure;
+
+            _targetsCollection.AddRange(targets);
+
+            // Group the securities by their sector
+            var groupBySector = algorithm.UniverseManager.ActiveSecurities
+                .Where(x => x.Value.Fundamentals != null && x.Value.Fundamentals.HasFundamentalData)
+                .GroupBy(x => x.Value.Fundamentals.CompanyReference.IndustryTemplateCode);
+
+            foreach (var securities in groupBySector)
+            {
+                // Compute the sector absolute holdings value
+                // If the construction model has created a target, we consider that
+                // value to calculate the security absolute holding value
+                var sectorAbsoluteHoldingsValue = 0m;
+
+                foreach (var security in securities)
+                {
+                    var absoluteHoldingsValue = security.Value.Holdings.AbsoluteHoldingsValue;
+
+                    IPortfolioTarget target;
+                    if (_targetsCollection.TryGetValue(security.Value.Symbol, out target))
+                    {
+                        absoluteHoldingsValue = security.Value.Price * Math.Abs(target.Quantity) *
+                            security.Value.SymbolProperties.ContractMultiplier *
+                            security.Value.QuoteCurrency.ConversionRate;
+                    }
+
+                    sectorAbsoluteHoldingsValue += absoluteHoldingsValue;
+                }
+
+                // If the ratio between the sector absolute holdings value and the maximum sector exposure value
+                // exceeds the unity, it means we need to reduce each security of that sector by that ratio
+                // Otherwise, it means that the sector exposure is below the maximum and there is nothing to do.
+                var ratio = sectorAbsoluteHoldingsValue / maximumSectorExposureValue;
+                if (ratio > 1)
+                {
+                    foreach (var security in securities)
+                    {
+                        var quantity = security.Value.Holdings.Quantity;
+                        var symbol = security.Value.Symbol;
+
+                        IPortfolioTarget target;
+                        if (_targetsCollection.TryGetValue(symbol, out target))
+                        {
+                            quantity = target.Quantity;
+                        }
+
+                        if (quantity != 0)
+                        {
+                            yield return new PortfolioTarget(symbol, quantity / ratio);
+                        }
+                    }
+                }
+            }
+        }
+
+        /// <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)
+        {
+            var anyFundamentalData = algorithm.ActiveSecurities
+                .Any(kvp => kvp.Value.Fundamentals != null && kvp.Value.Fundamentals.HasFundamentalData);
+
+            if (!anyFundamentalData)
+            {
+                throw new Exception("MaximumSectorExposureRiskManagementModel.OnSecuritiesChanged: Please select a portfolio selection model that selects securities with fundamental data.");
+            }
+        }
+    }
+}