When i fired the first insight up, the system will make a market order 5% from my portfolio. However, in the next day when i fire the insight up for the same stock. It will then re-balance and the overall stock holding will still be 5% instead of 10%.

May i know how & where can i intercept / override the market order to purchase another round of 5% instead of re-balancing. Thanks.

Below is my configuration

  1. self.SetPortfolioConstruction(InsightWeightingPortfolioConstructionModel(portfolioBias = PortfolioBias.Long))
  2. self.Settings.RebalancePortfolioOnInsightChanges = True
  3. self.Settings.RebalancePortfolioOnSecurityChanges = False
  4. self.SetExecution(ImmediateExecutionModel())
  5. self.UniverseSettings.Resolution = Resolution.Daily

 

Insight is created at Alphamodel with 0.05 weight

  1. insights.append(Insight.Price(symbol, timedelta(minutes=30), InsightDirection.Up, None, None, None, 0.05))

 

 

Author

Enjolras Leigh

February 2023