RiskManagementModel.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.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)
        {
        }
    }
}