Fix weights calculation in VBaseSignalExport#9258
Fix weights calculation in VBaseSignalExport#9258vb-vlb wants to merge 2 commits intoQuantConnect:masterfrom
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| var csv = "sym,wt\n"; | ||
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| var targets = parameters.Targets.Select(target => | ||
| PortfolioTarget.Percent(algorithm, target.Symbol, target.Quantity) |
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Hey @vb-vlb!
The original implementation is expecting percentages/weights to be passed in, as documented at https://www.quantconnect.com/docs/v2/writing-algorithms/live-trading/signal-exports/vbase#01-Introduction see also example algorithm https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/VBaseSignalExportDemonstrationAlgorithm.py .
If the API is expecting percentages/weights too this means this implementation shouldn't be doing any math at all but just passing through the values?
Please take a look at SignalExport.SetTargetPortfolioFromPortfolio() too which will call Send on VBaseSignalExport passing percent's too?
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Hey @Martin-Molinero, thanks for the prompt reply.
In the VBaseSignalExportDemonstrationAlgorithm, the portfolio targets collection consists of a single record: SPY with a quantity of 0.25.
Since we only have one position with a quantity of 0.25, the weights output should consist of a single record with SPY having a weight of 1.
like this
sym,wt
SPY,1
In fact, because PortfolioTarget.Percent creates a new target for the specified percentage, we end up receiving a quantity of SPY that needs to be bought to make it 25% of the portfolio. This results in a stamped weights file like:
sym,wt
SPY,172
the documentation states:
“Under the hood, it uses PortfolioTarget.Percent to convert your absolute target quantities into portfolio weights.”
Which implies that the expected inputs are absolute target quantities, not derived quantities.
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the portfolio targets collection consists of a single record: SPY with a quantity of 0.25.
Since we only have one position with a quantity of 0.25, the weights output should consist of a single record with SPY having a weight of 1.
hm don't think this is right really, 0.25 mean 25% if the available portfolio, that shouldn't translate to 1 IMHO. The remaining 75% of the portfolio can be allocated to something else in the next minute for example
the documentation states:
The documentation could be wrong, need an update 💯, but what matters I think is what it should/expected to be by the vbase api and consumer?
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Fix weights calculation in VBaseSignalExport.
Description
In the VBaseSignalExport.BuildCsv method, prices were not taken into account when calculating weights.
This change fixes the weight calculation logic.
Related Issue
#9259
Motivation and Context
This change is required because the current implementation of weight calculation is incorrect, as it does not take into account position prices.
Requires Documentation Change
As this change fixes a bug, no documentation changes are needed.
How Has This Been Tested?
Tested using a test algorithm.
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>