Correct way to emit weekly insights by Mikko M

Mikko M INVESTOR

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I'm rebalancing my portfolio every week and I'm using the algorithm framework.

To send correct signals I send insights with duration of 5 days at time of the rebalance: basically with the following code (which works but I'm wondering if there is better / more correct way):

insights = []



for eq, weight in pos.items():

   if weight != 0:

      insight = Insight.Price(eq, timedelta(days=5), InsightDirection.Up, weight, weight)

      insight.Weight = weight

      insights.append(insight)



self.EmitInsights(Insight.Group(insights))

Is this correct way to do this? How I specify a signal that is active until next week start day so that the position is never liquidated (for example with InsightWeightingPortfolioConstructionModel and ImmediateExecutionModel)

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Mikko M

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Alexandre Catarino

Pro ,

Hi Mikko M

The Insinght.Price method also accepts a function that can set the expiry date based on the current date/time. There are helpers to set the end of the day/week/month, etc... For the end of the week case where all insights expiry on Monday morning, we can use:

insight = Insight.Price(symbol, Expiry.EndOfWeek, InsightDirection.Up)

Mikko M

7.1k Pro ,

That is almost exactly what I need, thanks for that!

The problem is that I rebalance approx 1-2 minutes after open to see the open prices and when I do this, the position is liquidated before the rebalancing - is there maybe some way to addt time delta to the expiration?

(to clarify things I'm using the following code for rebalancing the portfolio and I want the positio/signal to stay as I specified it until rebalancing/sending next signals)

        self.Schedule.On(self.DateRules.MonthStart('SPY'), \
                         self.TimeRules.AfterMarketOpen('SPY', 2), \
                         self.tradingModel)

Alexandre Catarino

Pro ,

Hi Mikko M ,

The Insinght.Price method also accepts a date/time that sets the expiry date:

expiry = datetime(2019, 1, 3, 9, 32, 0)

insight = Insight.Price(symbol, expiry, InsightDirection.Up)

so we can define expiry, based on QCAlgorithm.Time, to meet your algorithm's requirements.

Mikko M INVESTOR

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