Improve implementation

QuantConnect · Dec 20, 2024 · 8cd03e0 · 8cd03e0
1 parent a088af8
commit 8cd03e0
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Showing 4 changed files with 30 additions and 13 deletions.
diff --git a/Algorithm.CSharp/IndexSecurityCanBeTradableRegressionAlgorithm.cs b/Algorithm.CSharp/IndexSecurityCanBeTradableRegressionAlgorithm.cs
@@ -53,11 +53,21 @@ public virtual void SetUpIndexSecurity()
         public override void OnData(Slice slice)
         {
             _signalExportManagerTest.GetPortfolioTargetsFromPortfolio(out PortfolioTarget[] targets);
-
-            if (targets.Where(x => x.Symbol.SecurityType == SecurityType.Index).Any())
+            if (Securities[_index].IsTradable)
             {
-                throw new RegressionTestException($"Index is not a tradable security, so no portfolio target with index security type should have been created");
+                if (!targets.Where(x => x.Symbol.SecurityType == SecurityType.Index).Any())
+                {
+                    throw new RegressionTestException($"Index {_index} is marked as tradable security, but no portfolio target with index security type was created");
+                }
             }
+            else
+            {
+                if (targets.Where(x => x.Symbol.SecurityType == SecurityType.Index).Any())
+                {
+                    throw new RegressionTestException($"Index is not a tradable security, so no portfolio target with index security type should have been created");
+                }
+            }
+
             if (!Portfolio.Invested)
             {
                 SetHoldings(_equity, 1);

diff --git a/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs b/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs
@@ -155,10 +155,6 @@ private IEnumerable<PortfolioTarget> GetPortfolioTargets(decimal totalPortfolioV
                 {
                     continue;
                 }
-                else if ((security is Securities.Index.Index) && Securities.Index.Index.ManualSetIsTradable)
-                {
-                    continue;
-                }
 
                 var marginParameters = MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, holding.Quantity);
                 var adjustedPercent = security.BuyingPowerModel.GetMaintenanceMargin(marginParameters) / totalPortfolioValue;

diff --git a/Common/Extensions.cs b/Common/Extensions.cs
@@ -3824,14 +3824,11 @@ public static void ProcessSecurityChanges(this IAlgorithm algorithm, SecurityCha
         {
             foreach (var security in securityChanges.AddedSecurities)
             {
-                if (!(security is Securities.Index.Index))
+                if (security.Type == SecurityType.Index && !Securities.Index.Index.ManualSetIsTradable)
                 {
-                    security.IsTradable = true;
-                }
-                else if (security.IsTradable)
-                {
-                    Securities.Index.Index.ManualSetIsTradable = true;
+                    continue;
                 }
+                security.IsTradable = true;
 
                 // uses TryAdd, so don't need to worry about duplicates here
                 algorithm.Securities.Add(security);

diff --git a/Common/Securities/Index/Index.cs b/Common/Securities/Index/Index.cs
@@ -26,6 +26,20 @@ namespace QuantConnect.Securities.Index
     /// <seealso cref="Security"/>
     public class Index : Security
     {
+        private bool _isTradable;
+
+        /// <summary>
+        /// Gets or sets whether or not this security should be considered tradable
+        /// </summary>
+        public override bool IsTradable {
+            get => _isTradable;
+            set
+            {
+                if (value) ManualSetIsTradable = true;
+                _isTradable = value;
+            }
+        }
+
         /// <summary>
         /// Field to check if the user has manually set IsTradable field to true
         /// </summary>