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Creates QCAlgorithm.py: a bridge between C# QCAlgorithm and python algorithms

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AlexCatarino
2018-09-05 22:26:16 +01:00
parent 9e0d2dce3a
commit 3e4a71cd50
115 changed files with 467 additions and 243 deletions
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Algorithm.Python/UserDefinedUniverseAlgorithm.py
+19 -20
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@@ -15,13 +15,12 @@ from clr import AddReference
AddReference("System.Core")
AddReference("System.Collections")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm")
from System import *
from System.Collections.Generic import List
from QuantConnect import *
from QuantConnect.Algorithm import QCAlgorithm
from QuantConnect.Data.UniverseSelection import *
from QCAlgorithm import QCAlgorithm
### <summary>
### This algorithm shows how you can handle universe selection in anyway you like,
@@ -33,26 +32,26 @@ from QuantConnect.Data.UniverseSelection import *
### <meta name="tag" content="custom universes" />
class UserDefinedUniverseAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetCash(100000)
self.SetStartDate(2015,1,1)
self.SetEndDate(2015,12,1)
self.symbols = [ "SPY", "GOOG", "IBM", "AAPL", "MSFT", "CSCO", "ADBE", "WMT"]
def Initialize(self):
self.SetCash(100000)
self.SetStartDate(2015,1,1)
self.SetEndDate(2015,12,1)
self.symbols = [ "SPY", "GOOG", "IBM", "AAPL", "MSFT", "CSCO", "ADBE", "WMT"]
self.UniverseSettings.Resolution = Resolution.Hour
self.AddUniverse('my_universe_name', Resolution.Hour, self.selection)
self.UniverseSettings.Resolution = Resolution.Hour
self.AddUniverse('my_universe_name', Resolution.Hour, self.selection)
def selection(self, time):
index = time.hour%len(self.symbols)
return self.symbols[index]
def selection(self, time):
index = time.hour%len(self.symbols)
return self.symbols[index]
def OnData(self, slice):
pass
def OnData(self, slice):
pass
def OnSecuritiesChanged(self, changes):
for removed in changes.RemovedSecurities:
if removed.Invested:
self.Liquidate(removed.Symbol)
def OnSecuritiesChanged(self, changes):
for removed in changes.RemovedSecurities:
if removed.Invested:
self.Liquidate(removed.Symbol)
for added in changes.AddedSecurities:
self.SetHoldings(added.Symbol, 1/float(len(changes.AddedSecurities)))
for added in changes.AddedSecurities:
self.SetHoldings(added.Symbol, 1/float(len(changes.AddedSecurities)))