def __init__(self):
'''Initializes a new instance of the VolumeWeightedAveragePriceExecutionModel class'''
self.targetsCollection = PortfolioTargetCollection()
self.symbolData = {}
# Gets or sets the maximum order quantity as a percentage of the current bar's volume.
# This defaults to 0.01m = 1%. For example, if the current bar's volume is 100,
# then the maximum order size would equal 1 share.
self.MaximumOrderQuantityPercentVolume = 0.01
def __init__(self, maximumSectorExposure = 0.20):
'''Initializes a new instance of the MaximumSectorExposureRiskManagementModel class
Args:
maximumDrawdownPercent: The maximum exposure for any sector, defaults to 20% sector exposure.'''
if maximumSectorExposure <= 0:
raise ValueError('MaximumSectorExposureRiskManagementModel: the maximum sector exposure cannot be a non-positive value.')
self.maximumSectorExposure = maximumSectorExposure
self.targetsCollection = PortfolioTargetCollection()
def __init__(self, period=60, deviations=2, resolution=Resolution.Minute):
'''Initializes a new instance of the StandardDeviationExecutionModel class
Args:
period: Period of the standard deviation indicator
deviations: The number of deviations away from the mean before submitting an order
resolution: The resolution of the STD and SMA indicators'''
self.period = period
self.deviations = deviations
self.resolution = resolution
self.targetsCollection = PortfolioTargetCollection()
self.symbolData = {}
# Gets or sets the maximum order value in units of the account currency.
# This defaults to $20,000. For example, if purchasing a stock with a price
# of $100, then the maximum order size would be 200 shares.
self.MaximumOrderValue = 20000
def __init__(self, maximumSectorExposure=0.20):
'''Initializes a new instance of the MaximumSectorExposureRiskManagementModel class
Args:
maximumDrawdownPercent: The maximum exposure for any sector, defaults to 20% sector exposure.'''
self.maximumSectorExposure = abs(maximumSectorExposure)
self.targetsCollection = PortfolioTargetCollection()
def __init__(self):
'''Initializes a new instance of the ImmediateExecutionModel class'''
self.targetsCollection = PortfolioTargetCollection()