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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
self.SetPortfolioConstruction(InsightWeightingPortfolioConstructionModel(portfolioBias = PortfolioBias.Long))
self.Settings.RebalancePortfolioOnInsightChanges = True
self.Settings.RebalancePortfolioOnSecurityChanges = False
self.SetExecution(ImmediateExecutionModel())
self.UniverseSettings.Resolution = Resolution.Daily
Insight is created at Alphamodel with 0.05 weight
insights.append(Insight.Price(symbol, timedelta(minutes=30), InsightDirection.Up, None, None, None, 0.05))
Louis Szeto
Hi Enjolras
The `period` argument set how long should the insight be valid, in other words, how long should this 0.05 weight be hold. If you set it to be 30 minutes, on the next day, the old insight was already expired, so the overall weight would only be the 0.05 from the new insight. My advice would be increasing this period argument.
Best
Louis
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Non Compete
You can use a market order after calculating the quantity. Where percents[insight] returns a positive or negative decimal. May have to make your own portfolio construction model or exectution model
Enjolras Leigh
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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