Concise way to allocate portfolio among instruments

To change your whole portfolio you can call it like this:

self.SetHoldings([PortfolioTarget("SPY", 0.8), PortfolioTarget("IBM", 0.2)])

see documentation here: 

Note that even if weights didn't change, prices surely did, so rebalancing may still cause small updates even to positions with same weights as before.

Also, if you want to liquidate positions that are not in the list of portfolio targets, just add True as next parameter liquidateExistingHoldings:

self.SetHoldings([PortfolioTarget("SPY", 0.8), PortfolioTarget("IBM", 0.2)], True)

Here is the signature for this case:

    @overload
    def SetHoldings(self, targets: System.Collections.Generic.List[QuantConnect.Algorithm.Framework.Portfolio.PortfolioTarget], liquidateExistingHoldings: bool = False, tag: str = ..., orderProperties: QuantConnect.Interfaces.IOrderProperties = None) -> None:
        """
        Sets holdings for a collection of targets.
        The implementation will order the provided targets executing first those that
        reduce a position, freeing margin.
        
        :param targets: The portfolio desired quantities as percentages
        :param liquidateExistingHoldings: True will liquidate existing holdings
        :param tag: Tag the order with a short string.
        :param orderProperties: The order properties to use. Defaults to DefaultOrderProperties
        """
        ...

Actually, SetHoldings with liquidateExistingHoldings parameter behaves very weirdly to me. I will contact support about it.

This was fixed, so you can use

self.SetHoldings([PortfolioTarget("SPY", 0.8), PortfolioTarget("IBM", 0.2)], True)

without problems now.