chore: import upstream snapshot with attribution
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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 QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Configuration;
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namespace QuantConnect
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{
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/// <summary>
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/// This class includes user settings for the algorithm which can be changed in the <see cref="IAlgorithm.Initialize"/> method
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/// </summary>
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public class AlgorithmSettings : IAlgorithmSettings
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{
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private static TimeSpan _defaultDatabasesRefreshPeriod =
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TimeSpan.TryParse(Config.Get("databases-refresh-period", "1.00:00:00"), out var refreshPeriod) ? refreshPeriod : Time.OneDay;
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// We default this to true so that we don't terminate live algorithms when the
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// brokerage account has existing holdings for an asset that is not supported by Lean.
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// Users can override this on initialization so that the algorithm is not terminated when
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// placing orders for assets without a correct definition or mapping.
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private static bool _defaultIgnoreUnknownAssetHoldings = Config.GetBool("ignore-unknown-asset-holdings", true);
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/// <summary>
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/// Gets whether or not WarmUpIndicator is allowed to warm up indicators
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/// </summary>
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public bool AutomaticIndicatorWarmUp { get; set; }
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/// <summary>
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/// True if should rebalance portfolio on security changes. True by default
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/// </summary>
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public bool? RebalancePortfolioOnSecurityChanges { get; set; }
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/// <summary>
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/// True if should rebalance portfolio on new insights or expiration of insights. True by default
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/// </summary>
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public bool? RebalancePortfolioOnInsightChanges { get; set; }
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/// <summary>
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/// The absolute maximum valid total portfolio value target percentage
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/// </summary>
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/// <remarks>This setting is currently being used to filter out undesired target percent values,
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/// caused by the IPortfolioConstructionModel implementation being used.
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/// For example rounding errors, math operations</remarks>
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public decimal MaxAbsolutePortfolioTargetPercentage { get; set; }
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/// <summary>
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/// The absolute minimum valid total portfolio value target percentage
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/// </summary>
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/// <remarks>This setting is currently being used to filter out undesired target percent values,
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/// caused by the IPortfolioConstructionModel implementation being used.
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/// For example rounding errors, math operations</remarks>
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public decimal MinAbsolutePortfolioTargetPercentage { get; set; }
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/// <summary>
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/// Configurable minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes
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/// </summary>
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/// <remarks>Default value is 0.1% of the portfolio value. This setting is useful to avoid small trading noise when using SetHoldings</remarks>
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public decimal MinimumOrderMarginPortfolioPercentage { get; set; }
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/// <summary>
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/// Gets/sets the maximum number of concurrent market data subscriptions available
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/// </summary>
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/// <remarks>
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/// All securities added with <see cref="IAlgorithm.AddSecurity"/> are counted as one,
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/// with the exception of options and futures where every single contract in a chain counts as one.
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/// </remarks>
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[Obsolete("This property is deprecated. Please observe data subscription limits set by your brokerage to avoid runtime errors.")]
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public int DataSubscriptionLimit { get; set; } = int.MaxValue;
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/// <summary>
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/// Gets/sets the SetHoldings buffers value.
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/// The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity
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/// </summary>
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public decimal? FreePortfolioValue { get; set; }
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/// <summary>
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/// Gets/sets the SetHoldings buffers value percentage.
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/// This percentage will be used to set the <see cref="FreePortfolioValue"/>
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/// based on the <see cref="SecurityPortfolioManager.TotalPortfolioValue"/>
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/// </summary>
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public decimal FreePortfolioValuePercentage { get; set; }
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/// <summary>
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/// Gets/sets if Liquidate() is enabled
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/// </summary>
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public bool LiquidateEnabled { get; set; }
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/// <summary>
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/// Gets/sets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour)
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/// </summary>
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/// <remarks>
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/// In the default fill models, a market order on an hour or daily resolution subscription is not filled on
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/// data older than this time span; instead it waits for fresh data (e.g. the next bar), avoiding a
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/// fill at the stale previous close. Market orders on minute/second/tick subscriptions still fill on stale
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/// data, only adding a warning message. Tighten it (e.g. to one minute) to make hour/daily orders wait for
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/// the next bar more aggressively.
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/// </remarks>
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/// <seealso cref="FillModel"/>
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/// <seealso cref="ImmediateFillModel"/>
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public TimeSpan StalePriceTimeSpan { get; set; }
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/// <summary>
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/// The warmup resolution to use if any
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/// </summary>
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/// <remarks>This allows improving the warmup speed by setting it to a lower resolution than the one added in the algorithm</remarks>
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public Resolution? WarmupResolution { get; set; }
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/// <summary>
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/// The warmup resolution to use if any
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/// </summary>
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/// <remarks>This allows improving the warmup speed by setting it to a lower resolution than the one added in the algorithm.
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/// Pass through version to be user friendly</remarks>
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public Resolution? WarmUpResolution
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{
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get
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{
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return WarmupResolution;
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}
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set
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{
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WarmupResolution = value;
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}
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}
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/// <summary>
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/// Number of trading days per year for this Algorithm's portfolio statistics.
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/// </summary>
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/// <remarks>Effect on
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/// <see cref="Statistics.PortfolioStatistics.AnnualVariance"/>,
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/// <seealso cref="Statistics.PortfolioStatistics.AnnualStandardDeviation"/>,
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/// <seealso cref="Statistics.PortfolioStatistics.SharpeRatio"/>,
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/// <seealso cref="Statistics.PortfolioStatistics.SortinoRatio"/>,
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/// <seealso cref="Statistics.PortfolioStatistics.TrackingError"/>,
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/// <seealso cref="Statistics.PortfolioStatistics.InformationRatio"/>.
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/// </remarks>
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public int? TradingDaysPerYear { get; set; }
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/// <summary>
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/// True if daily strict end times are enabled
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/// </summary>
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public bool DailyPreciseEndTime { get; set; }
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/// <summary>
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/// True if extended market hours should be used for daily consolidation, when extended market hours is enabled
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/// </summary>
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public bool DailyConsolidationUseExtendedMarketHours { get; set; }
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/// <summary>
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/// Gets the time span used to refresh the market hours and symbol properties databases
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/// </summary>
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public TimeSpan DatabasesRefreshPeriod { get; set; }
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/// <summary>
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/// Determines whether to terminate the algorithm when an asset holding is not supported by Lean or the brokerage.
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/// Defaults to true, meaning that the algorithm will not be terminated if an asset holding is not supported.
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/// </summary>
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public bool IgnoreUnknownAssetHoldings { get; set; }
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/// <summary>
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/// Performance tracking sample period to use if any, useful to debug performance issues
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/// </summary>
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public TimeSpan PerformanceSamplePeriod { get; set; }
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/// <summary>
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/// Determines whether to seed initial prices for all selected and manually added securities.
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/// </summary>
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public bool SeedInitialPrices { get; set; }
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/// <summary>
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/// Initializes a new instance of the <see cref="AlgorithmSettings"/> class
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/// </summary>
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public AlgorithmSettings()
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{
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LiquidateEnabled = true;
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DailyPreciseEndTime = true;
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FreePortfolioValuePercentage = 0.0025m;
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// Because the free portfolio value has a trailing behavior by default, let's add a default minimum order margin portfolio percentage
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// to avoid tiny trades when rebalancing, defaulting to 0.1% of the TPV
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MinimumOrderMarginPortfolioPercentage = 0.001m;
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StalePriceTimeSpan = Time.OneHour;
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MaxAbsolutePortfolioTargetPercentage = 1000000000;
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MinAbsolutePortfolioTargetPercentage = 0.0000000001m;
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DatabasesRefreshPeriod = _defaultDatabasesRefreshPeriod;
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IgnoreUnknownAssetHoldings = _defaultIgnoreUnknownAssetHoldings;
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SeedInitialPrices = false;
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}
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}
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}
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