github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity

Address reviews from Mike and Martin

Browse Source 
* Added better documentation for AddData methods
* Added new regression algorithms for adding in OnSecuritiesChanged
* Changed regression algorithms to add data that exists
* Styling and logging fixes
This commit is contained in:
Gerardo Salazar
2019-09-23 14:36:54 -07:00
committed by Martin Molinero
parent e785f95eee
commit 56462f0283
10 changed files with 247 additions and 25 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.Python/CustomDataAddDataCoarseSelectionRegressionAlgorithm.py
+10 -3
View File
@@ -27,8 +27,8 @@ from QuantConnect.Data.UniverseSelection import *
class CustomDataAddDataCoarseSelectionRegressionAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2013, 10, 7)
self.SetEndDate(2013, 10, 11)
self.SetStartDate(2014, 3, 24)
self.SetEndDate(2014, 4, 7)
self.SetCash(100000)
self.UniverseSettings.Resolution = Resolution.Daily
@@ -36,7 +36,14 @@ class CustomDataAddDataCoarseSelectionRegressionAlgorithm(QCAlgorithm):
self.AddUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseSelector))
def CoarseSelector(self, coarse):
symbols = [i.Symbol for i in coarse if i.HasFundamentalData and i.DollarVolume > 500000000]
symbols = [
Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
Symbol.Create("BAC", SecurityType.Equity, Market.USA),
Symbol.Create("FB", SecurityType.Equity, Market.USA),
Symbol.Create("GOOGL", SecurityType.Equity, Market.USA),
Symbol.Create("GOOG", SecurityType.Equity, Market.USA),
Symbol.Create("IBM", SecurityType.Equity, Market.USA),
]
self.customSymbols = []