wehub-resource-sync
128 lines
4.0 KiB
C#
128 lines
4.0 KiB
C#
/*
|
|
* 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 Python.Runtime;
|
|
using QuantConnect.Interfaces;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Util;
|
|
|
|
namespace QuantConnect.Algorithm.Framework.Alphas.Analysis
|
|
{
|
|
/// <summary>
|
|
/// Encapsulates the storage of insights.
|
|
/// </summary>
|
|
public class InsightManager : InsightCollection
|
|
{
|
|
private readonly IAlgorithm _algorithm;
|
|
private IInsightScoreFunction _insightScoreFunction;
|
|
|
|
/// <summary>
|
|
/// Creates a new instance
|
|
/// </summary>
|
|
/// <param name="algorithm">The associated algorithm instance</param>
|
|
public InsightManager(IAlgorithm algorithm)
|
|
{
|
|
_algorithm = algorithm;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Process a new time step handling insights scoring
|
|
/// </summary>
|
|
/// <param name="utcNow">The current utc time</param>
|
|
public void Step(DateTime utcNow)
|
|
{
|
|
_insightScoreFunction?.Score(this, utcNow);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Sets the insight score function to use
|
|
/// </summary>
|
|
/// <param name="insightScoreFunction">Model that scores insights</param>
|
|
public void SetInsightScoreFunction(IInsightScoreFunction insightScoreFunction)
|
|
{
|
|
_insightScoreFunction = insightScoreFunction;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Sets the insight score function to use
|
|
/// </summary>
|
|
/// <param name="insightScoreFunction">Model that scores insights</param>
|
|
public void SetInsightScoreFunction(PyObject insightScoreFunction)
|
|
{
|
|
_insightScoreFunction = PythonUtil.CreateInstanceOrWrapper<IInsightScoreFunction>(
|
|
insightScoreFunction,
|
|
py => new InsightScoreFunctionPythonWrapper(py)
|
|
);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Expire the insights of the given symbols
|
|
/// </summary>
|
|
/// <param name="symbols">Symbol we want to expire insights for</param>
|
|
public void Expire(IEnumerable<Symbol> symbols)
|
|
{
|
|
if (symbols == null)
|
|
{
|
|
return;
|
|
}
|
|
|
|
foreach (var symbol in symbols)
|
|
{
|
|
if (TryGetValue(symbol, out var insights))
|
|
{
|
|
Expire(insights);
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Cancel the insights of the given symbols
|
|
/// </summary>
|
|
/// <param name="symbols">Symbol we want to cancel insights for</param>
|
|
public void Cancel(IEnumerable<Symbol> symbols)
|
|
{
|
|
Expire(symbols);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Expire the given insights
|
|
/// </summary>
|
|
/// <param name="insights">Insights to expire</param>
|
|
public void Expire(IEnumerable<Insight> insights)
|
|
{
|
|
if (insights == null)
|
|
{
|
|
return;
|
|
}
|
|
|
|
var currentUtcTime = _algorithm.UtcTime;
|
|
foreach (var insight in insights)
|
|
{
|
|
insight.Expire(currentUtcTime);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Cancel the given insights
|
|
/// </summary>
|
|
/// <param name="insights">Insights to cancel</param>
|
|
public void Cancel(IEnumerable<Insight> insights)
|
|
{
|
|
Expire(insights);
|
|
}
|
|
}
|
|
}
|