Make SignalExportManager skip non-tradeable securities (#8453)

* First approach * Fix bug * Address requests * Address requests
QuantConnect · Dec 11, 2024 · 2a62f16 · 2a62f16
1 parent f1c50e4
commit 2a62f16
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Showing 2 changed files with 64 additions and 26 deletions.
diff --git a/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs b/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs
@@ -16,6 +16,8 @@
 using QuantConnect.Interfaces;
 using QuantConnect.Securities;
 using System.Collections.Generic;
+using System;
+using System.Linq;
 
 namespace QuantConnect.Algorithm.Framework.Portfolio.SignalExports
 {
@@ -87,38 +89,15 @@ public bool SetTargetPortfolioFromPortfolio()
         /// <returns>True if TotalPortfolioValue was bigger than zero, false otherwise</returns>
         protected bool GetPortfolioTargets(out PortfolioTarget[] targets)
         {
-            var portfolio = _algorithm.Portfolio;
-            targets = new PortfolioTarget[portfolio.Values.Count];
-            var index = 0;
-
-            var totalPortfolioValue = portfolio.TotalPortfolioValue;
+            var totalPortfolioValue = _algorithm.Portfolio.TotalPortfolioValue;
             if (totalPortfolioValue <= 0)
             {
                 _algorithm.Error("Total portfolio value was less than or equal to 0");
+                targets = Array.Empty<PortfolioTarget>();
                 return false;
             }
 
-            foreach (var holding in portfolio.Values)
-            {
-                var security = _algorithm.Securities[holding.Symbol];
-                var marginParameters = MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, holding.Quantity);
-                var adjustedPercent = security.BuyingPowerModel.GetMaintenanceMargin(marginParameters) / totalPortfolioValue;
-                // See PortfolioTarget.Percent:
-                // we normalize the target buying power by the leverage so we work in the land of margin
-                var holdingPercent = adjustedPercent * security.BuyingPowerModel.GetLeverage(security);
-
-                // FreePortfolioValue is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity
-                // Then, we need to substract its value from the TotalPortfolioValue and obtain again the holding percentage for our holding
-                var adjustedHoldingPercent = (holdingPercent * totalPortfolioValue) / _algorithm.Portfolio.TotalPortfolioValueLessFreeBuffer;
-                if (holding.Quantity < 0)
-                {
-                    adjustedHoldingPercent *= -1;
-                }
-
-                targets[index] = new PortfolioTarget(holding.Symbol, adjustedHoldingPercent);
-                ++index;
-            }
-
+            targets = GetPortfolioTargets(totalPortfolioValue).ToArray();
             return true;
         }
 
@@ -162,5 +141,37 @@ public bool SetTargetPortfolio(params PortfolioTarget[] portfolioTargets)
 
             return result;
         }
+
+        private IEnumerable<PortfolioTarget> GetPortfolioTargets(decimal totalPortfolioValue)
+        {
+            foreach (var holding in _algorithm.Portfolio.Values)
+            {
+                var security = _algorithm.Securities[holding.Symbol];
+
+                // Skip non-tradeable securities except canonical futures as some signal providers
+                // like Collective2 accept them.
+                // See https://collective2.com/api-docs/latest#Basic_submitsignal_format
+                if (!security.IsTradable && !security.Symbol.IsCanonical())
+                {
+                    continue;
+                }
+
+                var marginParameters = MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, holding.Quantity);
+                var adjustedPercent = security.BuyingPowerModel.GetMaintenanceMargin(marginParameters) / totalPortfolioValue;
+                // See PortfolioTarget.Percent:
+                // we normalize the target buying power by the leverage so we work in the land of margin
+                var holdingPercent = adjustedPercent * security.BuyingPowerModel.GetLeverage(security);
+
+                // FreePortfolioValue is used for orders not to be rejected due to volatility when using SetHoldings and CalculateOrderQuantity
+                // Then, we need to substract its value from the TotalPortfolioValue and obtain again the holding percentage for our holding
+                var adjustedHoldingPercent = (holdingPercent * totalPortfolioValue) / _algorithm.Portfolio.TotalPortfolioValueLessFreeBuffer;
+                if (holding.Quantity < 0)
+                {
+                    adjustedHoldingPercent *= -1;
+                }
+
+                yield return new PortfolioTarget(holding.Symbol, adjustedHoldingPercent);
+            }
+        }
     }
 }
diff --git a/Tests/Algorithm/Framework/Portfolio/SignalExportTargetTests.cs b/Tests/Algorithm/Framework/Portfolio/SignalExportTargetTests.cs
@@ -278,6 +278,27 @@ public void SignalExportManagerGetsCorrectPortfolioTargetArray(SecurityType secu
             Assert.AreEqual(quantity, targetQuantity, 1);
         }
 
+        [TestCaseSource(nameof(SignalExportManagerSkipsNonTradeableFuturesTestCase))]
+        public void SignalExportManagerSkipsNonTradeableFutures(IEnumerable<Symbol> symbols, int expectedNumberOfTargets)
+        {
+            var algorithm = new AlgorithmStub(true);
+            algorithm.SetFinishedWarmingUp();
+            algorithm.SetCash(100000);
+
+            foreach (var symbol in symbols)
+            {
+                var security = algorithm.AddSecurity(symbol);
+                security.SetMarketPrice(new Tick(new DateTime(2022, 01, 04), security.Symbol, 144.80m, 144.82m));
+                security.Holdings.SetHoldings(144.81m, 100);
+            }
+
+            var signalExportManagerHandler = new SignalExportManagerHandler(algorithm);
+            var result = signalExportManagerHandler.GetPortfolioTargets(out PortfolioTarget[] portfolioTargets);
+
+            Assert.IsTrue(result);
+            Assert.AreEqual(expectedNumberOfTargets, portfolioTargets.Length);
+        }
+
         [Test]
         public void SignalExportManagerReturnsFalseWhenNegativeTotalPortfolioValue()
         {
@@ -410,5 +431,11 @@ public string GetMessageSent(SignalExportTargetParameters parameters)
                 return message;
             }
         }
+
+        private static object[] SignalExportManagerSkipsNonTradeableFuturesTestCase =
+        {
+            new object[] { new List<Symbol>() { Symbols.AAPL, Symbols.SPY, Symbols.SPX }, 2 },
+            new object[] { new List<Symbol>() { Symbols.AAPL, Symbols.SPY, Symbols.NFLX }, 3 },
+        };
     }
 }