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Removes G10CurrencySelectionModel from Algorithm.Framework

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Removes `G10CurrencySelectionModel` from `Algorithm.Framework` and implement them in the `G10CurrencySelectionModelFrameworkAlgorithm`
Minor change in the Python version of `ManualUniverseSelectionModel` to improve exception messages.
This commit is contained in:
AlexCatarino
2019-04-05 14:53:03 +01:00
parent a0dce83b72
commit 2801bc6218
6 changed files with 56 additions and 91 deletions
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Algorithm.Python/G10CurrencySelectionModelFrameworkAlgorithm.py
+23 -6
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@@ -26,15 +26,16 @@ from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Algorithm.Framework.Execution import *
from QuantConnect.Algorithm.Framework.Portfolio import *
from QuantConnect.Algorithm.Framework.Risk import *
from Selection.G10CurrencySelectionModel import G10CurrencySelectionModel
from Selection.ManualUniverseSelectionModel import ManualUniverseSelectionModel
from datetime import timedelta
import numpy as np
### <summary>
### Framework algorithm that uses the G10CurrencySelectionModel
### Framework algorithm that uses the G10CurrencySelectionModel,
### a Universe Selection Model that inherits from ManualUniverseSelectionModel
### </summary>
class G10CurrencySelectionModelFrameworkAlgorithm(QCAlgorithmFramework):
'''Framework algorithm that uses the G10CurrencySelectionModel'''
'''Framework algorithm that uses the G10CurrencySelectionModel,
a Universe Selection Model that inherits from ManualUniverseSelectionMode'''
def Initialize(self):
''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
@@ -47,7 +48,7 @@ class G10CurrencySelectionModelFrameworkAlgorithm(QCAlgorithmFramework):
self.SetCash(100000) #Set Strategy Cash
# set algorithm framework models
self.SetUniverseSelection(G10CurrencySelectionModel())
self.SetUniverseSelection(self.G10CurrencySelectionModel())
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
@@ -55,4 +56,20 @@ class G10CurrencySelectionModelFrameworkAlgorithm(QCAlgorithmFramework):
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))
self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))
class G10CurrencySelectionModel(ManualUniverseSelectionModel):
'''Provides an implementation of IUniverseSelectionModel that simply subscribes to G10 currencies'''
def __init__(self):
'''Initializes a new instance of the G10CurrencySelectionModel class
using the algorithm's security initializer and universe settings'''
super().__init__([Symbol.Create(x, SecurityType.Forex, Market.Oanda)
for x in [ "EURUSD",
"GBPUSD",
"USDJPY",
"AUDUSD",
"NZDUSD",
"USDCAD",
"USDCHF",
"NOKUSD",
"SEKUSD" ]])