chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Linq;
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using System.Collections;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.Framework.Portfolio
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{
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/// <summary>
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/// Provides a collection for managing <see cref="IPortfolioTarget"/>s for each symbol
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/// </summary>
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public class PortfolioTargetCollection : ICollection<IPortfolioTarget>, IDictionary<Symbol, IPortfolioTarget>
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{
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private List<IPortfolioTarget> _enumerable;
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private List<KeyValuePair<Symbol, IPortfolioTarget>> _kvpEnumerable;
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private readonly Dictionary<Symbol, IPortfolioTarget> _targets = new ();
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/// <summary>
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/// Gets the number of targets in this collection
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/// </summary>
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public int Count
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{
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get
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{
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lock (_targets)
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{
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return _targets.Count;
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}
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}
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}
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/// <summary>
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/// True if there is no target in the collection
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/// </summary>
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public bool IsEmpty
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{
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get
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{
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lock (_targets)
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{
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return _targets.Count == 0;
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}
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}
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}
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/// <summary>
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/// Gets `false`. This collection is not read-only.
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/// </summary>
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public bool IsReadOnly => false;
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/// <summary>
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/// Gets the symbol keys for this collection
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/// </summary>
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public ICollection<Symbol> Keys
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{
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get
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{
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lock (_targets)
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{
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return _targets.Keys.ToList();
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}
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}
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}
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/// <summary>
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/// Gets all portfolio targets in this collection
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/// Careful, will return targets for securities that might have no data yet.
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/// </summary>
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public ICollection<IPortfolioTarget> Values
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{
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get
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{
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var result = _enumerable;
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if (result == null)
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{
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lock (_targets)
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{
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result = _enumerable = _targets.Values.ToList();
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}
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}
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return result;
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}
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}
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/// <summary>
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/// Adds the specified target to the collection. If a target for the same symbol
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/// already exists it wil be overwritten.
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/// </summary>
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/// <param name="target">The portfolio target to add</param>
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public void Add(IPortfolioTarget target)
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{
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if (target == null)
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{
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return;
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}
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lock (_targets)
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{
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_enumerable = null;
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_kvpEnumerable = null;
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_targets[target.Symbol] = target;
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}
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}
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/// <summary>
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/// Adds the specified target to the collection. If a target for the same symbol
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/// already exists it wil be overwritten.
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/// </summary>
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/// <param name="target">The portfolio target to add</param>
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public void Add(KeyValuePair<Symbol, IPortfolioTarget> target)
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{
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Add(target);
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}
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/// <summary>
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/// Adds the specified target to the collection. If a target for the same symbol
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/// already exists it wil be overwritten.
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <param name="target">The portfolio target to add</param>
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public void Add(Symbol symbol, IPortfolioTarget target)
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{
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Add(target);
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}
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/// <summary>
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/// Adds the specified targets to the collection. If a target for the same symbol
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/// already exists it will be overwritten.
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/// </summary>
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/// <param name="targets">The portfolio targets to add</param>
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public void AddRange(IEnumerable<IPortfolioTarget> targets)
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{
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lock (_targets)
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{
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_enumerable = null;
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_kvpEnumerable = null;
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foreach (var item in targets)
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{
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_targets[item.Symbol] = item;
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}
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}
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}
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/// <summary>
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/// Adds the specified targets to the collection. If a target for the same symbol
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/// already exists it will be overwritten.
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/// </summary>
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/// <param name="targets">The portfolio targets to add</param>
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public void AddRange(IPortfolioTarget[] targets)
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{
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AddRange((IEnumerable<IPortfolioTarget>)targets);
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}
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/// <summary>
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/// Removes all portfolio targets from this collection
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/// </summary>
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public void Clear()
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{
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lock (_targets)
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{
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_enumerable = null;
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_kvpEnumerable = null;
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_targets.Clear();
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}
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}
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/// <summary>
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/// Removes fulfilled portfolio targets from this collection.
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/// Will only take into account actual holdings and ignore open orders.
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/// </summary>
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public void ClearFulfilled(IAlgorithm algorithm)
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{
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foreach (var target in this)
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{
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var security = algorithm.Securities[target.Symbol];
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var holdings = security.Holdings.Quantity;
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// check to see if we're done with this target
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if (Math.Abs(target.Quantity - holdings) < security.SymbolProperties.LotSize)
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{
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Remove(target.Symbol);
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}
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}
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}
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/// <summary>
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/// Determines whether or not the specified target exists in this collection.
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/// NOTE: This checks for the exact specified target, not by symbol. Use ContainsKey
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/// to check by symbol.
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/// </summary>
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/// <param name="target">The portfolio target to check for existence.</param>
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/// <returns>True if the target exists, false otherwise</returns>
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public bool Contains(IPortfolioTarget target)
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{
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if (target == null)
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{
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return false;
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}
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lock (_targets)
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{
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return _targets.ContainsKey(target.Symbol);
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}
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}
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/// <summary>
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/// Determines whether the specified symbol/target pair exists in this collection
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/// </summary>
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/// <param name="target">The symbol/target pair</param>
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/// <returns>True if the pair exists, false otherwise</returns>
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public bool Contains(KeyValuePair<Symbol, IPortfolioTarget> target)
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{
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return Contains(target);
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}
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/// <summary>
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/// Determines whether the specified symbol exists as a key in this collection
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/// </summary>
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/// <param name="symbol">The symbol key</param>
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/// <returns>True if the symbol exists in this collection, false otherwise</returns>
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public bool ContainsKey(Symbol symbol)
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{
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lock (_targets)
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{
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return _targets.ContainsKey(symbol);
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}
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}
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/// <summary>
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/// Copies the targets in this collection to the specified array
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/// </summary>
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/// <param name="array">The destination array to copy to</param>
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/// <param name="arrayIndex">The index in the array to start copying to</param>
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public void CopyTo(IPortfolioTarget[] array, int arrayIndex)
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{
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lock (_targets)
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{
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_targets.Values.CopyTo(array, arrayIndex);
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}
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}
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/// <summary>
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/// Copies the targets in this collection to the specified array
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/// </summary>
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/// <param name="array">The destination array to copy to</param>
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/// <param name="arrayIndex">The index in the array to start copying to</param>
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public void CopyTo(KeyValuePair<Symbol, IPortfolioTarget>[] array, int arrayIndex)
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{
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WithDictionary(d => d.CopyTo(array, arrayIndex));
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}
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/// <summary>
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/// Removes the target for the specified symbol if it exists in this collection.
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/// </summary>
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/// <param name="symbol">The symbol to remove</param>
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/// <returns>True if the symbol's target was removed, false if it doesn't exist in the collection</returns>
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public bool Remove(Symbol symbol)
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{
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lock (_targets)
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{
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if (_targets.Remove(symbol))
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{
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_enumerable = null;
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_kvpEnumerable = null;
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return true;
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}
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return false;
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}
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}
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/// <summary>
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/// Removes the target for the specified symbol/target pair if it exists in this collection.
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/// </summary>
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/// <param name="target">The symbol/target pair to remove</param>
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/// <returns>True if the symbol's target was removed, false if it doesn't exist in the collection</returns>
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public bool Remove(KeyValuePair<Symbol, IPortfolioTarget> target)
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{
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return Remove(target.Value);
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}
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/// <summary>
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/// Removes the target if it exists in this collection.
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/// </summary>
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/// <param name="target">The target to remove</param>
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/// <returns>True if the target was removed, false if it doesn't exist in the collection</returns>
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public bool Remove(IPortfolioTarget target)
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{
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if (target == null)
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{
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return false;
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}
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lock (_targets)
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{
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IPortfolioTarget existing;
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if (_targets.TryGetValue(target.Symbol, out existing))
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{
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// need to confirm that we're removing the requested target and not a different target w/ the same symbol key
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if (existing.Equals(target))
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{
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return Remove(target.Symbol);
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}
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}
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}
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return false;
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}
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/// <summary>
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/// Attempts to retrieve the target for the specified symbol
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/// </summary>
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/// <param name="symbol">The symbol</param>
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/// <param name="target">The portfolio target for the symbol, or null if not found</param>
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/// <returns>True if the symbol's target was found, false if it does not exist in this collection</returns>
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public bool TryGetValue(Symbol symbol, out IPortfolioTarget target)
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{
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lock (_targets)
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{
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return _targets.TryGetValue(symbol, out target);
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}
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}
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/// <summary>
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/// Gets or sets the portfolio target for the specified symbol
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/// </summary>
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/// <param name="symbol">The symbol</param>
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/// <returns>The symbol's portfolio target if it exists in this collection, if not a <see cref="KeyNotFoundException"/> will be thrown.</returns>
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public IPortfolioTarget this[Symbol symbol]
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{
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get
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{
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lock (_targets)
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{
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return _targets[symbol];
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}
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}
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set
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{
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lock (_targets)
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{
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_enumerable = null;
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_kvpEnumerable = null;
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_targets[symbol] = value;
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}
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}
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}
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/// <summary>
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/// Gets an enumerator to iterator over the symbol/target key value pairs in this collection.
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/// </summary>
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/// <returns>Symbol/target key value pair enumerator</returns>
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IEnumerator<KeyValuePair<Symbol, IPortfolioTarget>> IEnumerable<KeyValuePair<Symbol, IPortfolioTarget>>.GetEnumerator()
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{
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var result = _kvpEnumerable;
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if (result == null)
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{
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lock (_targets)
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{
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_kvpEnumerable = result = _targets.ToList();
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}
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}
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return result.GetEnumerator();
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}
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/// <summary>
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/// Gets an enumerator to iterator over all portfolio targets in this collection.
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/// This is the default enumerator for this collection.
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/// </summary>
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/// <returns>Portfolio targets enumerator</returns>
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public IEnumerator<IPortfolioTarget> GetEnumerator()
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{
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var result = _enumerable;
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if (result == null)
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{
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lock (_targets)
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{
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_enumerable = result = _targets.Values.ToList();
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}
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}
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return result.GetEnumerator();
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}
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/// <summary>
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/// Gets an enumerator to iterator over all portfolio targets in this collection.
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/// This is the default enumerator for this collection.
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/// Careful, will return targets for securities that might have no data yet.
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/// </summary>
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/// <returns>Portfolio targets enumerator</returns>
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IEnumerator IEnumerable.GetEnumerator()
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{
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return GetEnumerator();
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}
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/// <summary>
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/// Helper function to easily access explicitly implemented interface methods against concurrent dictionary
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/// </summary>
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private void WithDictionary(Action<IDictionary<Symbol, IPortfolioTarget>> action)
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{
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lock (_targets)
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{
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action(_targets);
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}
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}
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/// <summary>
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/// Returned an ordered enumerable where position reducing orders are executed first
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/// and the remaining orders are executed in decreasing order value.
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/// Will NOT return targets for securities that have no data yet.
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/// Will NOT return targets for which current holdings + open orders quantity, sum up to the target quantity
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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public IEnumerable<IPortfolioTarget> OrderByMarginImpact(IAlgorithm algorithm)
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{
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if (IsEmpty)
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{
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return Enumerable.Empty<IPortfolioTarget>();
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}
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return this.OrderTargetsByMarginImpact(algorithm);
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}
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}
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}
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