The code example for Multi-Alpha Algorithms needs to be corrected for both C# and Python.
We need to use the Algorithm.Insights.GetActiveInsights(Algorithm.UtcTime).ToList(); to achieve this. I am not sure if we should validate the insights first (as in the default GetTargetInsights implementation).
The code example for Multi-Alpha Algorithms seems to be outdated for both C# and Python. The Documentation: 04-Multi-Alpha-Algorithms.
The property InsightsCollection does not exist in the PortfolioConstructionModel.cs at the master branch and therefore we can not invoke InsightCollection.GetActiveInsights(Algorithm.UtcTime).ToList(); to get the insights for multiple alphas.
Checklist
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Expected Behavior
The code example for Multi-Alpha Algorithms needs to be corrected for both C# and Python.
We need to use the
Algorithm.Insights.GetActiveInsights(Algorithm.UtcTime).ToList();to achieve this. I am not sure if we should validate the insights first (as in the defaultGetTargetInsightsimplementation).See the lean repository PortfolioConstructionModel.cs#L164C1-L177C10.
Actual Behavior
The code example for Multi-Alpha Algorithms seems to be outdated for both C# and Python. The Documentation: 04-Multi-Alpha-Algorithms.
The property
InsightsCollectiondoes not exist in thePortfolioConstructionModel.csat the master branch and therefore we can not invokeInsightCollection.GetActiveInsights(Algorithm.UtcTime).ToList();to get the insights for multiple alphas.Checklist
masterbranch