QuantConnect
Ensemble Algorithm Support
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.
Checklist x I have completely filled out this template x I have confirmed that this issue exists on the current master branch x I have confirmed that this is not a duplicate issue by searching issues
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!
