OnSecuritiesChanged

Dear Jason,

With two different Alpha models, OnSecuritiesChanged will be called on both of the Alpha models. Users don't need to worry about the logistics of managing multiple Alphas, the only concern should be managing each Alpha internally.

I believe the Alpha models run in order in which they are added, so unfortunately they are not run concurrently.

As for removing old equities in the Universe, that should be automatically handled by the Universe Selection Model. The OnSecuritiesChanged method inside an Alpha model is mainly to set up signals that require past data for newly added securities. Thus, if maintaining a portfolio alongside Alpha models, to separate concerns, an OnSecuritiesChanged should be inserted outside of any custom user defined Alpha model classes, in the following manner:

class DynamicVerticalGearbox(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2019, 12, 14)
self.SetCash(100000)
self.AddAlpha(CustomAlphaOne())
self.AddAlpha(CustomAlphaTwo())

def OnData(self, data):
pass

def OnSecuritiesChanged(self, changed):
# do rebalancing here:
pass

class CustomAlphaOne:
def Update(self, algorithm, slice):
return []

def OnSecuritiesChanged(self, algorithm, changes):
# set up indicators for new securities (e.g. SMA)
pass

class CustomAlphaTwo:
def Update(self, algorithm, slice):
return []

def OnSecuritiesChanged(self, algorithm, changes):
pass

Best,
Shile Wen

Thank you Shile, 

This makes a lot more sense!

Jason