How to receive all targets in execution model in one go?

In QuantConnect, the Execution model receives an array of risk-adjusted PortfolioTarget objects from the Risk Management model and places trades in the market to satisfy the targets. It only receives updates to the portfolio target share counts and doesn't necessarily receive all of the targets at once.

If you want to change this behavior, you can create a custom Execution model by extending the ExecutionModel class. You need to implement the Execute method, which receives an array of PortfolioTarget objects at every time step and is responsible for reaching the target portfolio as efficiently as possible.

Here is a basic example of how to create a custom Execution model in Python:

class MyExecutionModel(ExecutionModel):
    def Execute(self, algorithm, targets):
        # Your custom logic here
        pass

In the Execute method, you can implement your own logic to handle the PortfolioTarget objects as you wish.

Remember to set your custom Execution model in the Initialize method:

self.set_execution(MyExecutionModel())

For more information, you can refer to the Key Concepts and Supported Models sections in the QuantConnect documentation.