Ensemble Algorithm Support

[jaredbroad]

Expected Behavior Run multiple QCAlgorithm with dynamic buying power allocation between them and independently managed portfolios.

Actual Behavior Only support single algorithm instances.

Potential Solution Multi Algorithm manager.

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[ari62]

I've implemented this manually with simple algos. Please take into account the possibility to: Set different algo framework models per strategy (maybe add tags / a strategy key / a source key across all algo framework models to track where insights,targets,orders came from) Get different statistics (unrealized p/l, drawdown, equity, etc) per strategy, per security per strategy, and per security as well as total summed stats The ability to keep track of position size/direction per security per strategy (though you would have to limit the direction to a single one across all strategies per symbol) The ability to get the previous orders per strategy

Thanks!