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Hi- I'm getting my feet wet with using Framework and noticing something peculiar with how infrequent the ManageRisk() method is called for a risk management model. For example, in comparison to a Portfolio Constructor's CreateTargets() method (which executes every minute), the ManageRisk() method seems to be executing at odd intervals (from 90mins to multiple hours apart).
- What is the actual expected frequency at which the Risk Management model is called?
- For intraday algos, it would appear it might be better (from the above observation) to use the Portfolio Construction to control exits, versus relying on the Risk Management model. Is this a fair conclusion, or is something off here?
Thank you!
Manav Trivedi
Hi, I appreciate your judgement and concern regarding the risk management tool that the platform provides. Probably asking someone from the staff would be a good option. Until then, I'll tell you a little bit about how you can control the risk manually :- .
Louis Szeto
Hi Tangerous
The risk management model should be also running in the same frequency as the portfolio construction model and OnData, based on the data resolution you’ve subscribed. It could be possible that your asset is illiquid or the insight is still active to cause problem. For the later reason, you may refer to this doc and this thread. If you were still having issue, please attach a backtest for further investigation.
Best
Louis
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Tangerous
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.
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