Adds Smart Insider demonstration algorithms (C# and Python)

2019-10-04 17:10:01 -07:00
parent fbd88b20b0
commit 7f267ed55b
4 changed files with 131 additions and 1 deletions
@@ -0,0 +1,56 @@
+# 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.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Algorithm.Framework.Selection import *
+from QuantConnect.Data import *
+from QuantConnect.Data.Custom.SmartInsider import *
+from QuantConnect.Data.UniverseSelection import *
+
+class SmartInsiderTransactionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2019, 3, 1)
+        self.SetEndDate(2019, 8, 30)
+        self.SetCash(1000000)
+
+        self.AddUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseUniverse))
+
+    def CoarseUniverse(self, coarse):
+        symbols = [i.Symbol for i in coarse if i.HasFundamentalData and i.DollarVolume > 50000000][:10]
+
+        for symbol in symbols:
+            self.AddData(SmartInsiderTransaction, symbol)
+
+        return symbols
+
+    def OnData(self, data):
+
+        # Get all SmartInsider data available
+        transactions = data.Get(SmartInsiderTransaction)
+
+        # Loop over all the insider transactions
+        for transaction in transactions.Values:
+            if transaction.VolumePercentage is None or transaction.BuybackType is None:
+                continue
+
+            # Using the SmartInsider transaction information, buy when company does a stock buyback
+            if transaction.BuybackType == "Transaction" and transaction.VolumePercentage > 5:
+                self.SetHoldings(transaction.Symbol.Underlying, transaction.VolumePercentage / 100)