This class includes user settings for the algorithm which can be changed in the IAlgorithm.Initialize method More...
Public Member Functions | |
| AlgorithmSettings () | |
| Initializes a new instance of the AlgorithmSettings class More... | |
Properties | |
| bool | AutomaticIndicatorWarmUp [get, set] |
| Gets whether or not WarmUpIndicator is allowed to warm up indicators More... | |
| bool? | RebalancePortfolioOnSecurityChanges [get, set] |
| True if should rebalance portfolio on security changes. True by default More... | |
| bool? | RebalancePortfolioOnInsightChanges [get, set] |
| True if should rebalance portfolio on new insights or expiration of insights. True by default More... | |
| decimal | MaxAbsolutePortfolioTargetPercentage [get, set] |
| The absolute maximum valid total portfolio value target percentage More... | |
| decimal | MinAbsolutePortfolioTargetPercentage [get, set] |
| The absolute minimum valid total portfolio value target percentage More... | |
| decimal | MinimumOrderMarginPortfolioPercentage [get, set] |
| Configurable minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes More... | |
| int | DataSubscriptionLimit = int.MaxValue [get, set] |
| Gets/sets the maximum number of concurrent market data subscriptions available More... | |
| decimal? | FreePortfolioValue [get, set] |
| Gets/sets the SetHoldings buffers value. The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity More... | |
| decimal | FreePortfolioValuePercentage [get, set] |
| Gets/sets the SetHoldings buffers value percentage. This percentage will be used to set the FreePortfolioValue based on the SecurityPortfolioManager.TotalPortfolioValue More... | |
| bool | LiquidateEnabled [get, set] |
| Gets/sets if Liquidate() is enabled More... | |
| TimeSpan | StalePriceTimeSpan [get, set] |
| Gets/sets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour) More... | |
| Resolution? | WarmupResolution [get, set] |
| The warmup resolution to use if any More... | |
| Resolution? | WarmUpResolution [get, set] |
| The warmup resolution to use if any More... | |
| int? | TradingDaysPerYear [get, set] |
| Number of trading days per year for this Algorithm's portfolio statistics. More... | |
| bool | DailyPreciseEndTime [get, set] |
| True if daily strict end times are enabled More... | |
| TimeSpan | DatabasesRefreshPeriod [get, set] |
| Gets the time span used to refresh the market hours and symbol properties databases More... | |
 Properties inherited from QuantConnect.Interfaces.IAlgorithmSettings | |
| bool | AutomaticIndicatorWarmUp [get, set] |
| Gets whether or not WarmUpIndicator is allowed to warm up indicators More... | |
| bool? | RebalancePortfolioOnSecurityChanges [get, set] |
| True if should rebalance portfolio on security changes. True by default More... | |
| bool? | RebalancePortfolioOnInsightChanges [get, set] |
| True if should rebalance portfolio on new insights or expiration of insights. True by default More... | |
| decimal | MaxAbsolutePortfolioTargetPercentage [get, set] |
| The absolute maximum valid total portfolio value target percentage More... | |
| decimal | MinAbsolutePortfolioTargetPercentage [get, set] |
| The absolute minimum valid total portfolio value target percentage More... | |
| decimal | MinimumOrderMarginPortfolioPercentage [get, set] |
| Configurable minimum order margin portfolio percentage to ignore bad orders, or orders with unrealistic sizes More... | |
| decimal? | FreePortfolioValue [get, set] |
| Gets/sets the SetHoldings buffers value. The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity More... | |
| decimal | FreePortfolioValuePercentage [get, set] |
| Gets/sets the SetHoldings buffers value percentage. This percentage will be used to set the FreePortfolioValue based on the SecurityPortfolioManager.TotalPortfolioValue More... | |
| bool | LiquidateEnabled [get, set] |
| Gets/sets if Liquidate() is enabled More... | |
| bool | DailyPreciseEndTime [get, set] |
| True if daily strict end times are enabled More... | |
| int | DataSubscriptionLimit [get, set] |
| Gets/sets the maximum number of concurrent market data subscriptions available More... | |
| TimeSpan | StalePriceTimeSpan [get, set] |
| Gets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour) More... | |
| Resolution? | WarmupResolution [get, set] |
| The warmup resolution to use if any More... | |
| int? | TradingDaysPerYear [get, set] |
| Gets or sets the number of trading days per year for this Algorithm's portfolio statistics. More... | |
| TimeSpan | DatabasesRefreshPeriod [get, set] |
| Gets the time span used to refresh the market hours and symbol properties databases More... | |
Detailed Description
This class includes user settings for the algorithm which can be changed in the IAlgorithm.Initialize method
Definition at line 27 of file AlgorithmSettings.cs.
Constructor & Destructor Documentation
◆ AlgorithmSettings()
| QuantConnect.AlgorithmSettings.AlgorithmSettings | ( | ) |
Initializes a new instance of the AlgorithmSettings class
Definition at line 157 of file AlgorithmSettings.cs.
Property Documentation
◆ AutomaticIndicatorWarmUp
|
getset |
Gets whether or not WarmUpIndicator is allowed to warm up indicators
Definition at line 35 of file AlgorithmSettings.cs.
◆ RebalancePortfolioOnSecurityChanges
|
getset |
True if should rebalance portfolio on security changes. True by default
Definition at line 40 of file AlgorithmSettings.cs.
◆ RebalancePortfolioOnInsightChanges
|
getset |
True if should rebalance portfolio on new insights or expiration of insights. True by default
Definition at line 45 of file AlgorithmSettings.cs.
◆ MaxAbsolutePortfolioTargetPercentage
|
getset |
The absolute maximum valid total portfolio value target percentage
This setting is currently being used to filter out undesired target percent values, caused by the IPortfolioConstructionModel implementation being used. For example rounding errors, math operations
Definition at line 53 of file AlgorithmSettings.cs.
◆ MinAbsolutePortfolioTargetPercentage
|
getset |
The absolute minimum valid total portfolio value target percentage
This setting is currently being used to filter out undesired target percent values, caused by the IPortfolioConstructionModel implementation being used. For example rounding errors, math operations
Definition at line 61 of file AlgorithmSettings.cs.
◆ MinimumOrderMarginPortfolioPercentage
|
getset |
Configurable minimum order margin portfolio percentage to ignore bad orders, orders with unrealistic small sizes
Default value is 0.1% of the portfolio value. This setting is useful to avoid small trading noise when using SetHoldings
Definition at line 67 of file AlgorithmSettings.cs.
◆ DataSubscriptionLimit
|
getset |
Gets/sets the maximum number of concurrent market data subscriptions available
All securities added with IAlgorithm.AddSecurity are counted as one, with the exception of options and futures where every single contract in a chain counts as one.
Definition at line 77 of file AlgorithmSettings.cs.
◆ FreePortfolioValue
|
getset |
Gets/sets the SetHoldings buffers value. The buffer is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity
Definition at line 83 of file AlgorithmSettings.cs.
◆ FreePortfolioValuePercentage
|
getset |
Gets/sets the SetHoldings buffers value percentage. This percentage will be used to set the FreePortfolioValue based on the SecurityPortfolioManager.TotalPortfolioValue
Definition at line 90 of file AlgorithmSettings.cs.
◆ LiquidateEnabled
|
getset |
Gets/sets if Liquidate() is enabled
Definition at line 95 of file AlgorithmSettings.cs.
◆ StalePriceTimeSpan
|
getset |
Gets/sets the minimum time span elapsed to consider a market fill price as stale (defaults to one hour)
In the default fill models, a warning message will be added to market order fills if this time span (or more) has elapsed since the price was last updated.
- See also
- FillModel, ImmediateFillModel
Definition at line 106 of file AlgorithmSettings.cs.
◆ WarmupResolution
|
getset |
The warmup resolution to use if any
This allows improving the warmup speed by setting it to a lower resolution than the one added in the algorithm
Definition at line 112 of file AlgorithmSettings.cs.
◆ WarmUpResolution
|
getset |
The warmup resolution to use if any
This allows improving the warmup speed by setting it to a lower resolution than the one added in the algorithm. Pass through version to be user friendly
Definition at line 120 of file AlgorithmSettings.cs.
◆ TradingDaysPerYear
|
getset |
Number of trading days per year for this Algorithm's portfolio statistics.
Effect on Statistics.PortfolioStatistics.AnnualVariance,
- See also
- Statistics.PortfolioStatistics.AnnualStandardDeviation, Statistics.PortfolioStatistics.SharpeRatio, Statistics.PortfolioStatistics.SortinoRatio, Statistics.PortfolioStatistics.TrackingError, Statistics.PortfolioStatistics.InformationRatio
, , , , .
Definition at line 142 of file AlgorithmSettings.cs.
◆ DailyPreciseEndTime
|
getset |
True if daily strict end times are enabled
Definition at line 147 of file AlgorithmSettings.cs.
◆ DatabasesRefreshPeriod
|
getset |
Gets the time span used to refresh the market hours and symbol properties databases
Definition at line 152 of file AlgorithmSettings.cs.
The documentation for this class was generated from the following file:
- Common/AlgorithmSettings.cs
