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pep8 conversion of python algos #13 (#7955)

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* t status
pep8 conversion

* Minor tweaks and rebase

* Various minor fixes

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-20 03:14:12 +08:00
committed by GitHub
parent d2669fb0c2
commit 08a3de9e2d
33 changed files with 312 additions and 312 deletions
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Algorithm.Python/ScheduledQueuingAlgorithm.py
+26 -26
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@@ -16,46 +16,46 @@ from queue import Queue
class ScheduledQueuingAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 9, 1)
self.SetEndDate(2020, 9, 2)
self.SetCash(100000)
def initialize(self):
self.set_start_date(2020, 9, 1)
self.set_end_date(2020, 9, 2)
self.set_cash(100000)
self.__numberOfSymbols = 2000
self.__numberOfSymbolsFine = 1000
self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None))
self.__number_of_symbols = 2000
self.__number_of_symbols_fine = 1000
self.set_universe_selection(FineFundamentalUniverseSelectionModel(self.coarse_selection_function, self.fine_selection_function, None))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.set_execution(ImmediateExecutionModel())
self.queue = Queue()
self.dequeue_size = 100
self.AddEquity("SPY", Resolution.Minute)
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(0, 0), self.FillQueue)
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.Every(timedelta(minutes=60)), self.TakeFromQueue)
self.add_equity("SPY", Resolution.MINUTE)
self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.at(0, 0), self.fill_queue)
self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.every(timedelta(minutes=60)), self.take_from_queue)
def CoarseSelectionFunction(self, coarse):
has_fundamentals = [security for security in coarse if security.HasFundamentalData]
sorted_by_dollar_volume = sorted(has_fundamentals, key=lambda x: x.DollarVolume, reverse=True)
return [ x.Symbol for x in sorted_by_dollar_volume[:self.__numberOfSymbols] ]
def coarse_selection_function(self, coarse):
has_fundamentals = [security for security in coarse if security.has_fundamental_data]
sorted_by_dollar_volume = sorted(has_fundamentals, key=lambda x: x.dollar_volume, reverse=True)
return [ x.symbol for x in sorted_by_dollar_volume[:self.__number_of_symbols] ]
def FineSelectionFunction(self, fine):
sorted_by_pe_ratio = sorted(fine, key=lambda x: x.ValuationRatios.PERatio, reverse=True)
return [ x.Symbol for x in sorted_by_pe_ratio[:self.__numberOfSymbolsFine] ]
def fine_selection_function(self, fine):
sorted_by_pe_ratio = sorted(fine, key=lambda x: x.valuation_ratios.pe_ratio, reverse=True)
return [ x.symbol for x in sorted_by_pe_ratio[:self.__number_of_symbols_fine] ]
def FillQueue(self):
securities = [security for security in self.ActiveSecurities.Values if security.Fundamentals is not None]
def fill_queue(self):
securities = [security for security in self.active_securities.values() if security.fundamentals is not None]
# Fill queue with symbols sorted by PE ratio (decreasing order)
self.queue.queue.clear()
sorted_by_pe_ratio = sorted(securities, key=lambda x: x.Fundamentals.ValuationRatios.PERatio, reverse=True)
sorted_by_pe_ratio = sorted(securities, key=lambda x: x.fundamentals.valuation_ratios.pe_ratio, reverse=True)
for security in sorted_by_pe_ratio:
self.queue.put(security.Symbol)
self.queue.put(security.symbol)
def TakeFromQueue(self):
def take_from_queue(self):
symbols = [self.queue.get() for _ in range(min(self.dequeue_size, self.queue.qsize()))]
self.History(symbols, 10, Resolution.Daily)
self.history(symbols, 10, Resolution.DAILY)
self.Log(f"Symbols at {self.Time}: {[str(symbol) for symbol in symbols]}")
self.log(f"Symbols at {self.time}: {[str(symbol) for symbol in symbols]}")