ConstantAlphaModel.cs

/*
 * 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 QuantConnect.Data;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Securities;
using static System.FormattableString;
 
namespace QuantConnect.Algorithm.Framework.Alphas
{
    /// <summary>
    /// Provides an implementation of <see cref="IAlphaModel"/> that always returns the same insight for each security
    /// </summary>
    public class ConstantAlphaModel : AlphaModel
    {
        private readonly InsightType _type;
        private readonly InsightDirection _direction;
        private readonly TimeSpan _period;
        private readonly double? _magnitude;
        private readonly double? _confidence;
        private readonly double? _weight;
        private readonly HashSet<Security> _securities;
        private readonly Dictionary<Symbol, DateTime> _insightsTimeBySymbol;
 
        /// <summary>
        /// Initializes a new instance of the <see cref="ConstantAlphaModel"/> class
        /// </summary>
        /// <param name="type">The type of insight</param>
        /// <param name="direction">The direction of the insight</param>
        /// <param name="period">The period over which the insight with come to fruition</param>
        public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period)
            : this(type, direction, period, null, null)
        {
        }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="ConstantAlphaModel"/> class
        /// </summary>
        /// <param name="type">The type of insight</param>
        /// <param name="direction">The direction of the insight</param>
        /// <param name="period">The period over which the insight with come to fruition</param>
        /// <param name="magnitude">The predicted change in magnitude as a +- percentage</param>
        /// <param name="confidence">The confidence in the insight</param>
        /// <param name="weight">The portfolio weight of the insights</param>
        public ConstantAlphaModel(InsightType type, InsightDirection direction, TimeSpan period, double? magnitude, double? confidence, double? weight = null)
        {
            _type = type;
            _direction = direction;
            _period = period;
 
            // Optional
            _magnitude = magnitude;
            _confidence = confidence;
            _weight = weight;
 
            _securities = new HashSet<Security>();
            _insightsTimeBySymbol = new Dictionary<Symbol, DateTime>();
 
            Name = $"{nameof(ConstantAlphaModel)}({type},{direction},{period}";
            if (magnitude.HasValue)
            {
                Name += Invariant($",{magnitude.Value}");
            }
 
            if (confidence.HasValue)
            {
                Name += Invariant($",{confidence.Value}");
            }
 
            Name += ")";
        }
 
        /// <summary>
        /// Creates a constant insight for each security as specified via the constructor
        /// </summary>
        /// <param name="algorithm">The algorithm instance</param>
        /// <param name="data">The new data available</param>
        /// <returns>The new insights generated</returns>
        public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
        {
            foreach (var security in _securities)
            {
                // security price could be zero until we get the first data point. e.g. this could happen
                // when adding both forex and equities, we will first get a forex data point
                if (security.Price != 0
                    && ShouldEmitInsight(algorithm.UtcTime, security.Symbol))
                {
                    yield return new Insight(security.Symbol, _period, _type, _direction, _magnitude, _confidence, weight: _weight);
                }
            }
        }
 
        /// <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)
        {
            NotifiedSecurityChanges.UpdateCollection(_securities, changes);
 
            // this will allow the insight to be re-sent when the security re-joins the universe
            foreach (var removed in changes.RemovedSecurities)
            {
                _insightsTimeBySymbol.Remove(removed.Symbol);
            }
        }
 
        /// <summary>
        /// Determine if its time to emit insight for this symbol
        /// </summary>
        /// <param name="utcTime">Time of the insight</param>
        /// <param name="symbol">The symbol to emit an insight for</param>
        protected virtual bool ShouldEmitInsight(DateTime utcTime, Symbol symbol)
        {
            if(symbol.IsCanonical())
            {
                // canonical futures & options are none tradable
                return false;
            }
            DateTime generatedTimeUtc;
            if (_insightsTimeBySymbol.TryGetValue(symbol, out generatedTimeUtc))
            {
                // we previously emitted a insight for this symbol, check it's period to see
                // if we should emit another insight
                if (utcTime - generatedTimeUtc < _period)
                {
                    return false;
                }
            }
 
            // we either haven't emitted a insight for this symbol or the previous
            // insight's period has expired, so emit a new insight now for this symbol
            _insightsTimeBySymbol[symbol] = utcTime;
            return true;
        }
    }
}