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I am new to QC. After reading the BootCamp, I would like to try to develope strategies by following the framework. Here is my test case. I would like to pass a variable to Alpha Model from the QCAlgorithm class, is it possible?
Here is my test code:
class QuantityTesting_Insight(QCAlgorithm):
isFirstOrder = True # variable I want to pass
def Initialize(self):
self.SetStartDate(2020, 1, 13) # Set Start Date
self.SetEndDate(2020, 1, 18) # Set End Date
self.SetCash(100000) # Set Strategy Cash
# user variables
# self.isFirstOrder = True
# Handle UniverseSettings
self.UniverseSettings.Resolution = Resolution.Minute
symbols = [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
self.SetSecurityInitializer(lambda x: x.SetDataNormalizationMode(DataNormalizationMode.Raw))
# Handle Alpha Model
self.SetAlpha(TestingAlpha())
# Handle Portfolio Model
self.SetPortfolioConstruction(MyEqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
class TestingAlpha(AlphaModel):
def __init__(self):
pass
# override
def Update(self, algorithm, data):
insights = []
if not isinstance(algorithm, QuantityTesting_Insight):
return insights
algorithm.__class__ = QuantityTesting_Insight
if not algorithm.isFirstOrder:
return insights
return insightsI have a variable named isFirstOrder, which is a boolean. When I cast the class back to QunatityTesting_Insight, I get error message, `'QuantityTesting_Insight' object layout differs from 'QCAlgorithm'`
I would like to ask if there a way to do this action? Or I should use other method to pass variable instead of using QCAlgorithm class? Thank you very much.
Adam W
There's a strong encouragement for Framework algorithms to follow the separation of concerns design principle and think of other ways to do it (for instance, defining isFirstOrder in the Alpha Model itself), but if you really need to:
class MyAlgo(QCAlgorithm): def Initialize(self): # Track instance of the Alpha Model self.AlphaModel = MyAlphaModel() self.SetAlpha(self.AlphaModel) def OnData(self): # Update the variable somewhere (or in a Scheduled Event) self.AlphaModel.isFirstOrder = True class MyAlphaModel(AlphaModel): def __init__(self): self.isFirstOrder = False def Update(self, algorithm, data): if self.isFirstOrder: algorithm.Debug('Works.')Sulfred
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