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I'm rebalancing my portfolio every week and I'm using the algorithm framework.
To send correct signals I send insights with duration of 5 days at time of the rebalance: basically with the following code (which works but I'm wondering if there is better / more correct way):
insights = []
for eq, weight in pos.items():
if weight != 0:
insight = Insight.Price(eq, timedelta(days=5), InsightDirection.Up, weight, weight)
insight.Weight = weight
insights.append(insight)
self.EmitInsights(Insight.Group(insights))
Is this correct way to do this? How I specify a signal that is active until next week start day so that the position is never liquidated (for example with InsightWeightingPortfolioConstructionModel and ImmediateExecutionModel)
Alexandre Catarino
Hi Mikko M
The Insinght.Price method also accepts a function that can set the expiry date based on the current date/time. There are helpers to set the end of the day/week/month, etc... For the end of the week case where all insights expiry on Monday morning, we can use:
insight = Insight.Price(symbol, Expiry.EndOfWeek, InsightDirection.Up)Mikko M
That is almost exactly what I need, thanks for that!
The problem is that I rebalance approx 1-2 minutes after open to see the open prices and when I do this, the position is liquidated before the rebalancing - is there maybe some way to addt time delta to the expiration?
(to clarify things I'm using the following code for rebalancing the portfolio and I want the positio/signal to stay as I specified it until rebalancing/sending next signals)
self.Schedule.On(self.DateRules.MonthStart('SPY'), \
self.TimeRules.AfterMarketOpen('SPY', 2), \
self.tradingModel)
Alexandre Catarino
Hi Mikko M ,
The Insinght.Price method also accepts a date/time that sets the expiry date:
expiry = datetime(2019, 1, 3, 9, 32, 0) insight = Insight.Price(symbol, expiry, InsightDirection.Up)so we can define expiry, based on QCAlgorithm.Time, to meet your algorithm's requirements.
Mikko M
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