Share New Research 
Hi All,
Doing some quick testing with Risk Management (max Drawdown Per Security) and I do not see any tags in orders which are a result of liquidations. The liquidations just appear as regular orders. Likewise I do not see anything logged for these liquidations.
I assume this is because the framework is just using the portfolio construction to reduce holdings in those securities, and accordingly the orders are no different than an opening purchase.
Does anybody have any suggestions as to how they log or otherwise easily identify when the risk management framework is kicking in?
Thank you
Daniel Rose
Hi All,
Just wanted to quickly update with what I'm trying to do here. I'm using the composite risk management framework, with a couple of risk management modules (standard and custom). For example when I use Max Drawdown Per Security, it liquidates successfully but it does so with no note in the order. This makes it difficult to determine what risk management module (from the multiple in use) has caused the liquidation. It can of course be logged manually in custom modules, but I'm not sure if there is a way to include a tag or note on the liquidation orders for the standard frameworks.
Thank you
Derek Melchin
Hi Daniel,
Tags are given to orders when constructing the order. See the documentation here. There is no way to know which risk management model a PortfolioTarget was adjusted by without violating the separation of concerns design principle.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Daniel Rose
Thanks Derek,
I thought that was the case. Just to confirm, even in a custom risk management class, there is still no way to pass a tag, right? Because the risk management class is just setting the target securities not placing the orders?
Jared Broad
Correct, but you can pass data however you like really - e.g. make a global dictionary of order ids to anything you like. It is pure C#/Python -- go for it! =)Â
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Daniel Rose
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!