Merge branch 'py_universeselectiondefinitions' of https://github.com/AlexCatarino/Lean into AlexCatarino-py_universeselectiondefinitions

Conflicts:
	Algorithm.Python/QuantConnect.Algorithm.Python.csproj

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -110,6 +110,7 @@
     <Content Include="ParameterizedAlgorithm.py" />
     <Content Include="DropboxUniverseSelectionAlgorithm.py" />
     <Content Include="CoarseFundamentalTop5Algorithm.py" />
+    <Content Include="UniverseSelectionDefinitionsAlgorithm.py" />
     <Content Include="UniverseSelectionRegressionAlgorithm.py" />
     <Content Include="UpdateOrderRegressionAlgorithm.py" />
     <Content Include="BasicTemplateAlgorithm.py" />

Algorithm.Python/UniverseSelectionDefinitionsAlgorithm.py

@@ -0,0 +1,76 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+# 
+# Licensed under the Apache License, Version 2.0 (the "License"); 
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+# 
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Common")
+AddReference("QuantConnect.Algorithm")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Orders import *
+from QuantConnect.Data.UniverseSelection import *
+
+
+class UniverseSelectionDefinitionsAlgorithm(QCAlgorithm):
+    '''This algorithm shows some of the various helper methods available when defining universes'''
+
+    def __init__(self):
+        self.__changes = SecurityChanges.None
+
+
+    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.'''
+        
+        self.SetStartDate(2013,10,07)  #Set Start Date
+        self.SetEndDate(2013,10,11)    #Set End Date
+        self.SetCash(100000)           #Set Strategy Cash
+        # subscriptions added via universe selection will have this resolution
+        self.UniverseSettings.Resolution = Resolution.Hour
+        # force securities to remain in the universe for a minimm of 30 minutes
+        self.UniverseSettings.MinimumTimeInUniverse = TimeSpan.FromMinutes(30)
+        
+        # add universe for the top 50 stocks by dollar volume
+        self.AddUniverse(self.Universe.DollarVolume.Top(50));
+        # add universe for the bottom 50 stocks by dollar volume
+        self.AddUniverse(self.Universe.DollarVolume.Bottom(50));
+        # add universe for the 90th dollar volume percentile
+        self.AddUniverse(self.Universe.DollarVolume.Percentile(90));
+        # add universe for stocks between the 70th and 80th dollar volume percentile
+        self.AddUniverse(self.Universe.DollarVolume.Percentile(70, 80));
+        
+        
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if self.__changes == SecurityChanges.None: return
+
+        # liquidate securities that fell out of our universe
+        for security in self.__changes.RemovedSecurities:
+            if security.Invested:
+                self.Liquidate(security.Symbol)
+        
+        # invest in securities just added to our universe
+        for security in self.__changes.AddedSecurities:
+            if not security.Invested:
+                self.MarketOrder(security.Symbol, 10)     
+
+        self.__changes = SecurityChanges.None;
+
+
+    def OnSecuritiesChanged(self, changes):
+        self.__changes = changes