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Fabien started the discussion How to get current lower resolution incomplete bar
I basically want to know how to compare current minute price data to the open of the current hour...
Fabien started the discussion Making a market capitalization weighted portfolio constrution model
I'm inheriting from PortfolioConstructionModel and want to give each security a target percentage...
Fabien started the discussion Update resolution for AlphaModel
Is there a way to get the update resolution within an AlphaModel?
Fabien started the discussion Risk Management Models and Insights
I was wondering - if a risk management model liquidates a position (such as through a trailing stop...
Fabien started the discussion API to get index components?
Is there a recommended way to get all the individual stocks of an index, eg Nasdaq 100, in order to...
Fabien started the discussion How to get current lower resolution incomplete bar
I basically want to know how to compare current minute price data to the open of the current hour...
Fabien started the discussion Making a market capitalization weighted portfolio constrution model
I'm inheriting from PortfolioConstructionModel and want to give each security a target percentage...
Fabien started the discussion Update resolution for AlphaModel
Is there a way to get the update resolution within an AlphaModel?
Fabien started the discussion Risk Management Models and Insights
I was wondering - if a risk management model liquidates a position (such as through a trailing stop...
Fabien started the discussion API to get index components?
Is there a recommended way to get all the individual stocks of an index, eg Nasdaq 100, in order to...
Fabien started the discussion How to set an insight's duration to end right before close of trading day?
I tried using the DateTime constructor and passing algorithm.Time date values plus the hour and...
Fabien started the discussion Taking profit once an insight's magnitude has been reached
Is there a recommended way to exit a position once an insight's magnitude has been achieved? Add a...
Fabien left a comment in the discussion Risk Management Models and Insights
So using risk managment models inherently requires breaking separation of concerns?
Fabien left a comment in the discussion Update resolution for AlphaModel
My universe is set to a resolution of 1 hour. It is a shame I can not schedule events in between...
Fabien left a comment in the discussion Making a market capitalization weighted portfolio constrution model
I also realized the PortfolioConstructionModel sets a protected property for the algorithm instance...
Fabien left a comment in the discussion Making a market capitalization weighted portfolio constrution model
I think I'll need to maintain state in my portfolio construction model class to store the...
Fabien left a comment in the discussion Insight stacking/replacing/canceling
To answer the question, the base PortfolioConstrutionModel class only uses the last active insight...
Fabien left a comment in the discussion Risk Management Models and Insights
By execution targets are you referring to portfolio targets handled in the execution model? I'm not...
4 years ago