Add names to framework components (#3839)

Algorithm.Framework/Portfolio/AlphaStreamsPortfolioConstructionModel.cs

@@ -22,8 +22,13 @@ namespace QuantConnect.Algorithm.Framework.Portfolio
     /// <summary>
     /// Base alpha streams portfolio construction model
     /// </summary>
-    public class AlphaStreamsPortfolioConstructionModel : IPortfolioConstructionModel
+    public class AlphaStreamsPortfolioConstructionModel : IPortfolioConstructionModel, INamedModel
     {
+        /// <summary>
+        /// Defines a name for the framework model
+        /// </summary>
+        public virtual string Name { get; set; } = nameof(AlphaStreamsPortfolioConstructionModel);
+
         /// <summary>
         /// Get's the weight for an alpha
         /// </summary>

Algorithm.Framework/Portfolio/MaximumSharpeRatioPortfolioOptimizer.cs

@@ -18,6 +18,8 @@
 using Accord.Math;
 using Accord.Math.Optimization;
 using Accord.Statistics;
+using QuantConnect.Algorithm.Framework.Alphas;
+using static System.FormattableString;
 
 namespace QuantConnect.Algorithm.Framework.Portfolio
 {
@@ -26,12 +28,17 @@ namespace QuantConnect.Algorithm.Framework.Portfolio
     /// The interval of weights in optimization method can be changed based on the long-short algorithm.
     /// The default model uses flat risk free rate and weight for an individual security range from -1 to 1.
     /// </summary>
-    public class MaximumSharpeRatioPortfolioOptimizer : IPortfolioOptimizer
+    public class MaximumSharpeRatioPortfolioOptimizer : IPortfolioOptimizer, INamedModel
     {
         private double _lower;
         private double _upper;
         private double _riskFreeRate;
 
+        /// <summary>
+        /// Defines a name for the portfolio optimizer
+        /// </summary>
+        public string Name { get; }
+
         /// <summary>
         /// Initialize a new instance of <see cref="MaximumSharpeRatioPortfolioOptimizer"/>
         /// </summary>
@@ -43,6 +50,7 @@ public MaximumSharpeRatioPortfolioOptimizer(double lower = -1, double upper = 1,
             _lower = lower;
             _upper = upper;
             _riskFreeRate = riskFreeRate;
+            Name = Invariant($"{nameof(MaximumSharpeRatioPortfolioOptimizer)}({lower},{upper},{riskFreeRate})");
         }
 
         /// <summary>
@@ -137,4 +145,4 @@ public double[] Optimize(double[,] historicalReturns, double[] expectedReturns =
             return sum > 0 ? y.Divide(sum) : equalWeights;
         }
     }
-}
+}

Algorithm.Framework/Portfolio/MinimumVariancePortfolioOptimizer.cs

@@ -18,6 +18,8 @@
 using Accord.Math;
 using Accord.Math.Optimization;
 using Accord.Statistics;
+using QuantConnect.Algorithm.Framework.Alphas;
+using static System.FormattableString;
 
 namespace QuantConnect.Algorithm.Framework.Portfolio
 {
@@ -26,12 +28,17 @@ namespace QuantConnect.Algorithm.Framework.Portfolio
     /// with the weight range from -1 to 1 and minimize the portfolio variance with a target return of 2%
     /// </summary>
     /// <remarks>The budged constrain is scaled down/up to ensure that the sum of the absolute value of the weights is 1.</remarks>
-    public class MinimumVariancePortfolioOptimizer : IPortfolioOptimizer
+    public class MinimumVariancePortfolioOptimizer : IPortfolioOptimizer, INamedModel
     {
         private double _lower;
         private double _upper;
         private double _targetReturn;
 
+        /// <summary>
+        /// Defines a name for the portfolio optimizer
+        /// </summary>
+        public string Name { get; }
+
         /// <summary>
         /// Initialize a new instance of <see cref="MinimumVariancePortfolioOptimizer"/>
         /// </summary>
@@ -43,6 +50,7 @@ public MinimumVariancePortfolioOptimizer(double lower = -1, double upper = 1, do
             _lower = lower;
             _upper = upper;
             _targetReturn = targetReturn;
+            Name = Invariant($"{nameof(MinimumVariancePortfolioOptimizer)}({lower},{upper},{targetReturn})");
         }
 
         /// <summary>

Algorithm.Framework/Portfolio/PortfolioOptimizerPythonWrapper.cs

@@ -15,15 +15,35 @@
 */
 
 using Python.Runtime;
+using QuantConnect.Algorithm.Framework.Alphas;
 using QuantConnect.Python;
 
 namespace QuantConnect.Algorithm.Framework.Portfolio
 {
     /// <summary>
     /// Python wrapper for custom portfolio optimizer
     /// </summary>
-    public class PortfolioOptimizerPythonWrapper : BasePythonWrapper<IPortfolioOptimizer>, IPortfolioOptimizer
+    public class PortfolioOptimizerPythonWrapper : BasePythonWrapper<IPortfolioOptimizer>, IPortfolioOptimizer, INamedModel
     {
+        /// <summary>
+        /// Defines a name for the portfolio optimizer
+        /// </summary>
+        public string Name
+        {
+            get
+            {
+                using (Py.GIL())
+                {
+                    if (HasAttr(nameof(Name)))
+                    {
+                        return GetProperty<string>(nameof(Name));
+                    }
+
+                    return GetProperty("__class__").GetAttr("__name__").GetAndDispose<string>();
+                }
+            }
+        }
+
         /// <summary>
         /// Creates a new instance
         /// </summary>

Algorithm.Framework/Portfolio/RiskParityPortfolioOptimizer.cs

@@ -17,18 +17,25 @@
 using System.Linq;
 using Accord.Math;
 using Accord.Statistics;
+using QuantConnect.Algorithm.Framework.Alphas;
+using static System.FormattableString;
 
 namespace QuantConnect.Algorithm.Framework.Portfolio
 {
     /// <summary>
     /// Provides an implementation of a risk parity portfolio optimizer that calculate the optimal weights
     /// with the weight range from 0 to 1 and equalize the risk carried by each asset
     /// </summary>
-    public class RiskParityPortfolioOptimizer : IPortfolioOptimizer
+    public class RiskParityPortfolioOptimizer : IPortfolioOptimizer, INamedModel
     {
         private double _lower = 1e-05;
         private double _upper = Double.MaxValue;
 
+        /// <summary>
+        /// Defines a name for the portfolio optimizer
+        /// </summary>
+        public string Name { get; }
+
         /// <summary>
         /// Initialize a new instance of <see cref="RiskParityPortfolioOptimizer"/>
         /// </summary>
@@ -38,6 +45,7 @@ public RiskParityPortfolioOptimizer(double? lower = null, double? upper = null)
         {
             _lower = lower ?? _lower;     // has to be greater than or equal to 0
             _upper = upper ?? _upper;
+            Name = Invariant($"{nameof(RiskParityPortfolioOptimizer)}({_lower},{_upper})");
         }
 
         /// <summary>

Algorithm.Framework/Portfolio/UnconstrainedMeanVariancePortfolioOptimizer.cs

@@ -15,14 +15,20 @@
 
 using Accord.Math;
 using Accord.Statistics;
+using QuantConnect.Algorithm.Framework.Alphas;
 
 namespace QuantConnect.Algorithm.Framework.Portfolio
 {
     /// <summary>
     /// Provides an implementation of a portfolio optimizer with unconstrained mean variance.
     /// </summary>
-    public class UnconstrainedMeanVariancePortfolioOptimizer : IPortfolioOptimizer
+    public class UnconstrainedMeanVariancePortfolioOptimizer : IPortfolioOptimizer, INamedModel
     {
+        /// <summary>
+        /// Defines a name for the portfolio optimizer
+        /// </summary>
+        public string Name { get; } = nameof(UnconstrainedMeanVariancePortfolioOptimizer);
+
         /// <summary>
         /// Perform portfolio optimization for a provided matrix of historical returns and an array of expected returns
         /// </summary>
@@ -37,4 +43,4 @@ public double[] Optimize(double[,] historicalReturns, double[] expectedReturns =
             return Π.Dot(Σ.Inverse());
         }
     }
-}
+}

Algorithm/Execution/ExecutionModel.cs

@@ -14,6 +14,7 @@
 */
 
 using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Alphas;
 using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Orders;
 using QuantConnect.Python;
@@ -23,8 +24,13 @@ namespace QuantConnect.Algorithm.Framework.Execution
     /// <summary>
     /// Provides a base class for execution models
     /// </summary>
-    public class ExecutionModel : BasePythonWrapper<ExecutionModel>, IExecutionModel
+    public class ExecutionModel : BasePythonWrapper<ExecutionModel>, IExecutionModel, INamedModel
     {
+        /// <summary>
+        /// Defines a name for the framework model
+        /// </summary>
+        public virtual string Name { get; set; }
+
         /// <summary>
         /// If true, orders should be submitted asynchronously.
         /// </summary>
@@ -36,6 +42,7 @@ public class ExecutionModel : BasePythonWrapper<ExecutionModel>, IExecutionModel
         /// <param name="asynchronous">If true, orders should be submitted asynchronously</param>
         public ExecutionModel(bool asynchronous = true)
         {
+            Name = GetType().Name;
             Asynchronous = asynchronous;
         }
 

Algorithm/Execution/ExecutionModelPythonWrapper.cs

@@ -29,6 +29,25 @@ public class ExecutionModelPythonWrapper : ExecutionModel
     {
         private readonly bool _onOrderEventsDefined;
 
+        /// <summary>
+        /// Defines a name for the framework model
+        /// </summary>
+        public override string Name
+        {
+            get
+            {
+                using (Py.GIL())
+                {
+                    if (HasAttr(nameof(Name)))
+                    {
+                        return GetProperty<string>(nameof(Name));
+                    }
+
+                    return GetProperty("__class__").GetAttr("__name__").GetAndDispose<string>();
+                }
+            }
+        }
+
         /// <summary>
         /// Constructor for initialising the <see cref="IExecutionModel"/> class with wrapped <see cref="PyObject"/> object
         /// </summary>

Algorithm/Portfolio/PortfolioConstructionModel.cs

@@ -27,12 +27,17 @@ namespace QuantConnect.Algorithm.Framework.Portfolio
     /// <summary>
     /// Provides a base class for portfolio construction models
     /// </summary>
-    public class PortfolioConstructionModel : IPortfolioConstructionModel
+    public class PortfolioConstructionModel : IPortfolioConstructionModel, INamedModel
     {
         private Func<DateTime, DateTime?> _rebalancingFunc;
         private DateTime? _rebalancingTime;
         private bool _securityChanges;
 
+        /// <summary>
+        /// Defines a name for the framework model
+        /// </summary>
+        public virtual string Name { get; set; }
+
         /// <summary>
         /// True if should rebalance portfolio on security changes. True by default
         /// </summary>
@@ -63,6 +68,7 @@ public class PortfolioConstructionModel : IPortfolioConstructionModel
         /// will trigger rebalance. If null will be ignored</param>
         public PortfolioConstructionModel(Func<DateTime, DateTime?> rebalancingFunc)
         {
+            Name = GetType().Name;
             _rebalancingFunc = rebalancingFunc;
         }
 

Algorithm/Portfolio/PortfolioConstructionModelPythonWrapper.cs

@@ -30,6 +30,25 @@ public class PortfolioConstructionModelPythonWrapper : PortfolioConstructionMode
         private readonly BasePythonWrapper<PortfolioConstructionModel> _model;
         private readonly bool _implementsDetermineTargetPercent;
 
+        /// <summary>
+        /// Defines a name for the framework model
+        /// </summary>
+        public override string Name
+        {
+            get
+            {
+                using (Py.GIL())
+                {
+                    if (_model.HasAttr(nameof(Name)))
+                    {
+                        return _model.GetProperty<string>(nameof(Name));
+                    }
+
+                    return _model.GetProperty("__class__").GetAttr("__name__").GetAndDispose<string>();
+                }
+            }
+        }
+
         /// <summary>
         /// True if should rebalance portfolio on security changes. True by default
         /// </summary>

Algorithm/Risk/RiskManagementModel.cs

@@ -14,6 +14,7 @@
 */
 
 using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Alphas;
 using QuantConnect.Algorithm.Framework.Portfolio;
 using QuantConnect.Data.UniverseSelection;
 
@@ -22,8 +23,21 @@ namespace QuantConnect.Algorithm.Framework.Risk
     /// <summary>
     /// Provides a base class for risk management models
     /// </summary>
-    public class RiskManagementModel : IRiskManagementModel
+    public class RiskManagementModel : IRiskManagementModel, INamedModel
     {
+        /// <summary>
+        /// Defines a name for the framework model
+        /// </summary>
+        public virtual string Name { get; set; }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="RiskManagementModel"/> class
+        /// </summary>
+        public RiskManagementModel()
+        {
+            Name = GetType().Name;
+        }
+
         /// <summary>
         /// Manages the algorithm's risk at each time step
         /// </summary>
@@ -43,4 +57,4 @@ public virtual void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges c
         {
         }
     }
-}
+}

Algorithm/Risk/RiskManagementModelPythonWrapper.cs

@@ -28,6 +28,25 @@ public class RiskManagementModelPythonWrapper : RiskManagementModel
     {
         private readonly BasePythonWrapper<IRiskManagementModel> _model;
 
+        /// <summary>
+        /// Defines a name for the framework model
+        /// </summary>
+        public override string Name
+        {
+            get
+            {
+                using (Py.GIL())
+                {
+                    if (_model.HasAttr(nameof(Name)))
+                    {
+                        return _model.GetProperty<string>(nameof(Name));
+                    }
+
+                    return _model.GetProperty("__class__").GetAttr("__name__").GetAndDispose<string>();
+                }
+            }
+        }
+
         /// <summary>
         /// Constructor for initialising the <see cref="IRiskManagementModel"/> class with wrapped <see cref="PyObject"/> object
         /// </summary>