Estimates dollar volume capacity of algorithm (in account currency) using all Symbols in the portfolio. More...

Public Member Functions
	CapacityEstimate (IAlgorithm algorithm)
	Initializes an instance of the class. More...

void	OnOrderEvent (OrderEvent orderEvent)
	Processes an order whenever it's encountered so that we can calculate the capacity More...

void	UpdateMarketCapacity (bool forceProcess)
	Updates the market capacity for any Symbols that require a market update. Sometimes, after the specified See also _snapshotPeriod , we take a "snapshot" (point-in-time capacity) of the portfolio's capacity. More...

Public Attributes
Symbol	LowestCapacityAsset => _smallestAssetSymbol
	Provide a reference to the lowest capacity symbol used in scaling down the capacity for debugging. More...

Properties
decimal	Capacity `[get]`
	The total capacity of the strategy at a point in time More...

Detailed Description

Estimates dollar volume capacity of algorithm (in account currency) using all Symbols in the portfolio.

Any mention of dollar volume is volume in account currency, but "dollar volume" is used to maintain consistency with financial terminology and our use case of having alphas measured capacity be in USD.

Definition at line 35 of file CapacityEstimate.cs.

Constructor & Destructor Documentation

◆ CapacityEstimate()

QuantConnect.CapacityEstimate.CapacityEstimate ( IAlgorithm algorithm )

Initializes an instance of the class.

Parameters

algorithm Used to get data at the current time step and access the portfolio state

Definition at line 75 of file CapacityEstimate.cs.

Member Function Documentation

◆ OnOrderEvent()

void QuantConnect.CapacityEstimate.OnOrderEvent ( OrderEvent orderEvent )

Processes an order whenever it's encountered so that we can calculate the capacity

Parameters

orderEvent Order event to use to calculate capacity

Definition at line 91 of file CapacityEstimate.cs.

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◆ UpdateMarketCapacity()

void QuantConnect.CapacityEstimate.UpdateMarketCapacity ( bool forceProcess )

Updates the market capacity for any Symbols that require a market update. Sometimes, after the specified

See also: _snapshotPeriod

, we take a "snapshot" (point-in-time capacity) of the portfolio's capacity.

This result will be written into the Algorithm Statistics via the BacktestingResultHandler

Definition at line 124 of file CapacityEstimate.cs.

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Member Data Documentation

◆ LowestCapacityAsset

Symbol QuantConnect.CapacityEstimate.LowestCapacityAsset => _smallestAssetSymbol

Provide a reference to the lowest capacity symbol used in scaling down the capacity for debugging.

Definition at line 69 of file CapacityEstimate.cs.

Property Documentation

◆ Capacity

decimal QuantConnect.CapacityEstimate.Capacity

get

The total capacity of the strategy at a point in time

Definition at line 60 of file CapacityEstimate.cs.

The documentation for this class was generated from the following file:

Common/CapacityEstimate.cs

Public Member Functions

Public Attributes

Properties