class EqualWeightingPortfolioConstructionModel(PortfolioConstructionModel):
'''Provides an implementation of IPortfolioConstructionModel that gives equal weighting to all securities.
The target percent holdings of each security is 1/N where N is the number of securities.
For insights of direction InsightDirection.Up, long targets are returned and
for insights of direction InsightDirection.Down, short targets are returned.'''
def __init__(self):
self.insightCollection = InsightCollection()
self.removedSymbols = []
def CreateTargets(self, algorithm, insights):
'''Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portoflio targets from
Returns:
An enumerable of portoflio targets to be sent to the execution model'''
self.insightCollection.AddRange(insights)
targets = []
if self.removedSymbols is not None:
# zero out securities removes from the universe
for symbol in self.removedSymbols:
targets.append(PortfolioTarget(symbol, 0))
self.removedSymbols = None
if len(insights) == 0:
return targets
# Get symbols that have emit insights and still in the universe
symbols = list(set([x.Symbol for x in self.insightCollection if x.CloseTimeUtc > algorithm.UtcTime]))
if len(symbols) == 0:
return targets
# give equal weighting to each security
percent = 1.0 / len(symbols)
for symbol in symbols:
activeInsights = [ x for x in self.insightCollection if x.Symbol == symbol ]
direction = activeInsights[-1].Direction
targets.append(PortfolioTarget.Percent(algorithm, symbol, direction * percent))
return targets
def OnSecuritiesChanged(self, algorithm, changes):
'''Event fired each time the we add/remove securities from the data feed
Args:
algorithm: The algorithm instance that experienced the change in securities
changes: The security additions and removals from the algorithm'''
# save securities removed so we can zero out our holdings
self.removedSymbols = [x.Symbol for x in changes.RemovedSecurities]
# remove the insights of the removed symbol from the collection
for removedSymbol in self.removedSymbols:
if self.insightCollection.ContainsKey(removedSymbol):
for insight in self.insightCollection[removedSymbol]:
self.insightCollection.Remove(insight)
class EqualWeightingPortfolioConstructionModel(PortfolioConstructionModel):
'''Provides an implementation of IPortfolioConstructionModel that gives equal weighting to all securities.
The target percent holdings of each security is 1/N where N is the number of securities.
For insights of direction InsightDirection.Up, long targets are returned and
for insights of direction InsightDirection.Down, short targets are returned.'''
def __init__(self):
self.insightCollection = InsightCollection()
self.removedSymbols = []
def CreateTargets(self, algorithm, insights):
'''Create portfolio targets from the specified insights
Args:
algorithm: The algorithm instance
insights: The insights to create portoflio targets from
Returns:
An enumerable of portoflio targets to be sent to the execution model'''
self.insightCollection.AddRange(insights)
targets = []
if self.removedSymbols is not None:
# zero out securities removes from the universe
for symbol in self.removedSymbols:
targets.append(PortfolioTarget(symbol, 0))
self.removedSymbols = None
if len(insights) == 0:
return targets
# Get last insight that haven't expired of each symbol that is still in the universe
activeInsights = list()
# Remove expired insights
validInsights = [ i for i in self.insightCollection if i.CloseTimeUtc > algorithm.UtcTime ]
# Force one group per symbol
for symbol, g in groupby(validInsights, lambda x: x.Symbol):
# For direction, we'll trust the most recent insight
activeInsights.append(sorted(g, key = lambda x: x.GeneratedTimeUtc)[-1])
if len(activeInsights) == 0:
return targets
# give equal weighting to each security
count = sum(x.Direction != InsightDirection.Flat for x in activeInsights)
percent = 0 if count == 0 else 1.0 / count
for insight in activeInsights:
targets.append(PortfolioTarget.Percent(algorithm, insight.Symbol, insight.Direction * percent))
# add targets to remove invested securities
for kvp in algorithm.Portfolio:
if kvp.Value.Invested and all([kvp.Key != x.Symbol for x in targets]):
targets.append(PortfolioTarget(kvp.Key, 0))
return targets
def OnSecuritiesChanged(self, algorithm, changes):
'''Event fired each time the we add/remove securities from the data feed
Args:
algorithm: The algorithm instance that experienced the change in securities
changes: The security additions and removals from the algorithm'''
# save securities removed so we can zero out our holdings
self.removedSymbols = [x.Symbol for x in changes.RemovedSecurities]
# remove the insights of the removed symbol from the collection
for removedSymbol in self.removedSymbols:
if self.insightCollection.ContainsKey(removedSymbol):
for insight in self.insightCollection[removedSymbol]:
self.insightCollection.Remove(insight)