wehub-resource-sync
46 lines
2.1 KiB
C#
46 lines
2.1 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.Collections.Generic;
|
|
using QuantConnect.Algorithm.Framework.Portfolio;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
|
|
namespace QuantConnect.Algorithm.Framework.Risk
|
|
{
|
|
/// <summary>
|
|
/// Provides a base class for risk management models
|
|
/// </summary>
|
|
public class RiskManagementModel : IRiskManagementModel
|
|
{
|
|
/// <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 virtual IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets)
|
|
{
|
|
throw new System.NotImplementedException("Types deriving from 'RiskManagementModel' must implement the 'IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm, IPortfolioTarget[]) method.");
|
|
}
|
|
|
|
/// <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 virtual void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
|
|
{
|
|
}
|
|
}
|
|
} |