First approach

QuantConnect · Dec 9, 2024 · a5b0aae · a5b0aae
1 parent 22e0491
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diff --git a/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs b/Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs
@@ -16,6 +16,7 @@
 using QuantConnect.Interfaces;
 using QuantConnect.Securities;
 using System.Collections.Generic;
+using System.Linq;
 
 namespace QuantConnect.Algorithm.Framework.Portfolio.SignalExports
 {
@@ -101,6 +102,10 @@ protected bool GetPortfolioTargets(out PortfolioTarget[] targets)
             foreach (var holding in portfolio.Values)
             {
                 var security = _algorithm.Securities[holding.Symbol];
+
+                // Skip non-tradeable securities
+                if (!security.IsTradable) continue;
+
                 var marginParameters = MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, holding.Quantity);
                 var adjustedPercent = security.BuyingPowerModel.GetMaintenanceMargin(marginParameters) / totalPortfolioValue;
                 // See PortfolioTarget.Percent:
@@ -119,6 +124,7 @@ protected bool GetPortfolioTargets(out PortfolioTarget[] targets)
                 ++index;
             }
 
+            targets = targets.Where(x => x != null).ToArray();
             return true;
         }
 

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 },
+        };
     }
 }