Follow up: Fix weights calculation in VBaseSignalExport (#9281)

* Fix weights calculation in VBaseSignalExport

* fix empty portfolio handling

* Refactored signal export to compute and export weights for all portfolio positions, not just update targets.

* Update BuildCsv XML doc to clarify CSV output details

* Clarify comments on portfolio value and empty weights

* Stamp targets as is; we expect that users send all the weights they want to stamp. Extended the demo algorithm to use two positions to better demonstrate the intended usage of the VBaseSignalExport class.

* Minor changes to address PR review comments.

* Minor fix

---------

Co-authored-by: vb-vlb <volodymyr@vbase.com>
Co-authored-by: Volodymyr <vb-vlb@users.noreply.github.com>

Author: JosueNina

Algorithm.CSharp/VBaseSignalExportDemonstrationAlgorithm.cs

@@ -35,10 +35,10 @@ public class VBaseSignalExportDemonstrationAlgorithm : QCAlgorithm, IRegressionA
         private bool _sentSignal;
         private List<Symbol> _symbols = new()
         {
-            QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)
+            QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA),
+            QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA),
         };
 
-
         /// <summary>
         /// Stamping of predefined portfolio targets
         /// </summary>
@@ -65,11 +65,12 @@ public override void OnData(Slice slice)
             }
             _sentSignal = true;
 
-            var targets = new PortfolioTarget[_symbols.Count];
-            for (var index = 0; index < _symbols.Count; index++)
+            var targets = new[]
             {
-                targets[index] = new PortfolioTarget(_symbols[index], (decimal)0.25);
-            }
+                new PortfolioTarget(_symbols[0], 0.25m), // 0.25 of the portfolio in SPY
+                new PortfolioTarget(_symbols[1], 0.75m) // 0.75 of the portfolio in IBM
+            };
+
             SignalExport.SetTargetPortfolio(targets);
         }
 
@@ -86,7 +87,7 @@ public override void OnData(Slice slice)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 3943;
+        public long DataPoints => 7843;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.Python/VBaseSignalExportDemonstrationAlgorithm.py

@@ -29,7 +29,8 @@ def initialize(self):
         self.vbase_collection_name = "YOUR VBASE COLLECTION NAME"
 
         self._symbols = [
-            Symbol.create("SPY", SecurityType.EQUITY, Market.USA)
+            Symbol.create("SPY", SecurityType.EQUITY, Market.USA),
+            Symbol.create("IBM", SecurityType.EQUITY, Market.USA)
         ]
 
         for symbol in self._symbols:
@@ -44,6 +45,8 @@ def on_data(self, data):
         self._sentSignal = True
 
         self.targets = []
-        for symbol in self._symbols:
-            self.targets.append(PortfolioTarget(symbol, 0.25))
+
+        self.targets.append(PortfolioTarget(self._symbols[0], 0.25)) # SPY 25% of the portfolio
+        self.targets.append(PortfolioTarget(self._symbols[1], 0.75)) # IBM 75% of the portfolio
+
         self.signal_export.set_target_portfolio(self.targets)

Common/Algorithm/Framework/Portfolio/SignalExports/VBaseSignalExport.cs

@@ -22,6 +22,7 @@
 using System.Net.Http.Headers;
 using System.Security.Cryptography;
 using System.Text;
+using System.Threading;
 
 namespace QuantConnect.Algorithm.Framework.Portfolio.SignalExports
 {
@@ -118,21 +119,15 @@ public override bool Send(SignalExportTargetParameters parameters)
         }
 
         /// <summary>
-        /// Builds a CSV (sym,wt) for the given targets converting percent holdings into absolute quantity using PortfolioTarget.Percent
+        /// Builds a CSV (sym,wt) for the given targets
         /// </summary>
         /// <param name="parameters">Signal export parameters</param>
         /// <returns>Resulting CSV string</returns>
         protected virtual string BuildCsv(SignalExportTargetParameters parameters)
         {
-            var algorithm = parameters.Algorithm;
             var csv = "sym,wt\n";
 
-            var targets = parameters.Targets.Select(target =>
-                    PortfolioTarget.Percent(algorithm, target.Symbol, target.Quantity)
-                )
-                .Where(absoluteTarget => absoluteTarget != null);
-
-            foreach (var target in targets)
+            foreach (var target in parameters.Targets)
             {
                 csv += $"{target.Symbol.Value},{target.Quantity.ToStringInvariant()}\n";
             }
@@ -161,7 +156,7 @@ private bool Stamp(string csv, IAlgorithm algorithm)
                 };
                 request.Headers.Authorization = new AuthenticationHeaderValue("Bearer", _apiKey);
 
-                var response = HttpClient.SendAsync(request).Result;
+                using var response = HttpClient.SendAsync(request).Result;
                 var body = response.Content.ReadAsStringAsync().Result;
                 if (!response.IsSuccessStatusCode)
                 {
@@ -179,3 +174,5 @@ private bool Stamp(string csv, IAlgorithm algorithm)
         }
     }
 }
+
+