Algorithm Framework

To add insights to the InsightManager, return a list of Insight objects from the Updateupdate method of your Alpha model or call the EmitInsightsemit_insights method. If you manage an InsightCollection that's seperate from the InsightManager, there are some methods to add Insight objects to it.

To add an insight to an InsightCollection, call the Addadd method.

// You can manually add an Insight to an InsightCollection object to organize, fetch, or cancel insights an alpha has generated. 
_insightCollection.Add(insight);

# You can manually add an Insight to an InsightCollection object to organize, fetch, or cancel insights an alpha has generated. 
self.insight_collection.add(insight)

To add a list of insights, call the AddRangeadd_range method.

// You can manually add a list of Insights to an InsightCollection object to organize, fetch, or cancel insights an alpha has generated. 
_insightCollection.AddRange(insights);

# You can manually add a list of Insights to an InsightCollection object to organize, fetch, or cancel insights an alpha has generated. 
self.insight_collection.add_range(insights)

To check if an insight exists in the InsightManager, call the Containscontains method.

// Check the algorithms central insight collection (InsightManager) to avoid emitting duplicates, reducing the processing work. 
if (algorithm.Insights.Contains(insight))
{
    
}

# Check the algorithms central insight collection (InsightManager) to avoid emitting duplicates, reducing the processing work. 
if algorithm.insights.contains(insight):
    pass

To check if the InsightManager has an insight for a Symbol, call the ContainsKeycontains_key method.

// Check the algorithms central insight collection (InsightManager) if there's already been an insight for this symbol across the other alphas.
if (algorithm.Insights.ContainsKey(symbol))
{
    
}

# Check the algorithms central insight collection (InsightManager) if there's already been an insight for this symbol across the other alphas.
if algorithm.insights.contains_key(symbol):
    pass

To check if the InsightManager has active insights for a Symbol at a specific Coordinated Universal Time (UTC), call the HasActiveInsightshas_active_insights method.

// Check if there are active insights for a specific symbol at the given time to determine if alpha should emit more insights.
if (algorithm.Insights.HasActiveInsights(symbol, utcTime))
{
    
}

# Check if there are active insights for a specific symbol at the given time to determine if alpha should emit more insights
if algorithm.insights.has_active_insights(symbol, utc_time):
    pass

To get the insights for a Symbol, index the InsightManager with the Symbol.

if (algorithm.Insights.ContainsKey(symbol))
{
    var insights = algorithm.Insights[symbol];
}

if algorithm.insights.contains_key(symbol):
    insights = algorithm.insights[symbol]

To get the insights that pass a filter, call the GetInsightsget_insights method.

var insights = algorithm.Insights.GetInsights(insight => insight.Direction == InsightDirection.Up);

insights = algorithm.insights.get_insights(lambda insight: insight.direction == Insightdirection.up)

To iterate through the InsightManager, call the GetEnumeratorget_enumerator method.

var enumerator = algorithm.insights.get_enumerator();

enumerator = algorithm.insights.get_enumerator()

To get all of the insights that will be active at a certain UTC time, call the GetActiveInsightsget_active_insights method.

var activeInsights = algorithm.Insights.GetActiveInsights(utcTime);

active_insights = algorithm.insights.get_active_insights(utc_time)

To get the next insight expiry time in UTC, call the GetNextExpiryTimeget_next_expiry_time method.

var nextExpiry = algorithm.Insights.GetNextExpiryTime();

next_expiry = algorithm.insights.get_next_expiry_time()

Only the Portfolio Construction model should remove insights from the InsightManager. It should remove insights when the insights expire and when the corresponding security leaves the universe.

To remove an insight from the InsightManager, call the Removeremove method.

var removeSuccessful = algorithm.Insights.Remove(insight);

remove_successful = algorithm.insights.remove(insight)

To remove all the insights for a set of Symbol objects, pass a list of Symbol objects the Clearclear method.

algorithm.insights.clear(symbols);

algorithm.insights.clear(symbols)

To remove all the insights that will be expired at a certain UTC time, call the RemoveExpiredInsightsremove_expired_insights method.

var expiredInsights = algorithm.Insights.RemoveExpiredInsights(utcTime);

expired_insights = algorithm.insights.remove_expired_insights(utc_time)

In some cases, you may want to cancel an Insight. For example, if a Risk Management model in your algorithm liquidates a security, it should also cancel all of the active insights for the security. If you don't cancel the insights, the Portfolio Construction model might create a new PortfolioTarget to re-enter the position.

Another example of a situtation where you would want to cancel an Insight is when an Alpha model in your algorithm determines the trading opportunity has pre-maturely ended. For instance, say you want your algorithm to enter a long position in a security when its Relative Strength Index (RSI) moves below 20 and then liquidate the position when the security's RSI moves above 30. If you emit an Insight that has a duration of 30 days when the RSI moves below 20 but the RSI moves above 30 in 10 days, you should cancel the Insight when the RSI moves above 30.

To cancel insights, call the Cancelcancel/Expire method with a list of Insight objects.

algorithm.insights.cancel(insights)

algorithm.insights.cancel(insights);

To cancel all the insights for some securities, call the Cancelcancel/Expire method with a list of Symbol objects.

algorithm.insights.cancel(symbols)

algorithm.insights.cancel(symbols);

When you cancel an active insight, it's CloseTimeUtcclose_time_utc property is set to one second into the past.

Follow these steps to use the Object Store to preserve the algorithm state across live deployments:

1. Create an algorithm that defines a storage key and adds insights to the Insight Manager.

public class ObjectStoreChartingAlgorithm : QCAlgorithm
{
    private string _insightKey;
    public override void Initialize()
    {
        _insightKey = $"{ProjectId}/insights";
        SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
        SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(5), 0.025, null));    
    }
}

class ObjectStoreChartingAlgorithm(QCAlgorithm):
    def initialize(self):
        self.insight_key = f"{self.project_id}/insights"
        self.set_universe_selection(ManualUniverseSelectionModel([ Symbol.create("SPY", SecurityType.EQUITY, Market.USA) ]))
        self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(5), 0.025, None))

2. At the top of the algorithm file, add the following imports:

from Newtonsoft.Json import JsonConvert
from System.Collections.Generic import List

Insight objects are a C# objects, so you need the preceding C# libraries to serialize and deserialize them.

3. In the OnEndOfAlgorithmon_end_of_algorithm event handler of the algorithm, get the Insight objects and save them in the Object Store as a JSON object.

public override void OnEndOfAlgorithm()
{
    var insights = Insights.GetInsights(x => x.IsActive(UtcTime));
    ObjectStore.SaveJson(_insightKey, insights);
}

def on_end_of_algorithm(self):
    insights = self.insights.get_insights(lambda x: x.is_active(self.utc_time))
    content = ','.join([JsonConvert.SerializeObject(x) for x in insights])
    self.object_store.save(self.insight_key, f'[{content}]')

4. At the bottom of the Initializeinitialize method, read the Insight objects from the Object Store and add them to the Insight Manager.

if (ObjectStore.ContainsKey(_insightKey))
{
    var insights = ObjectStore.ReadJson<List<Insight>>(_insightKey);
    Insights.AddRange(insights);
}

if self.object_store.contains_key(self.insight_key):
    insights = self.object_store.read_json[List[Insight]](self.insight_key)
    self.insights.add_range(insights)

The following algorithm provides a full example of preserving the Insight state between deployments:

The InsightManager has the following properties: