Adds support for Custom Universe Selection

Includes DropboxBaseDataUniverseSelectionAlgorithm python algorithm as an working example
2017-09-26 16:49:49 +01:00
parent 3da8449fea
commit a082f930fa
4 changed files with 205 additions and 0 deletions
@@ -0,0 +1,94 @@
+# 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.Data import SubscriptionDataSource
+from QuantConnect.Python import PythonData
+from datetime import date, timedelta, datetime
+from System.Collections.Generic import List
+from QuantConnect.Algorithm import QCAlgorithm
+from QuantConnect.Data.UniverseSelection import *
+import decimal as d
+import numpy as np
+import math
+import json
+
+### <summary>
+### In this algortihm we show how you can easily use the universe selection feature to fetch symbols
+### to be traded using the BaseData custom data system in combination with the AddUniverse{T} method.
+### AddUniverse{T} requires a function that will return the symbols to be traded.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="universes" />
+### <meta name="tag" content="custom universes" />
+class DropboxBaseDataUniverseSelectionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+
+        self.UniverseSettings.Resolution = Resolution.Daily;
+
+        self.SetStartDate(2013,1,1)
+        self.SetEndDate(2013,12,31)
+        
+        self.AddUniverse(StockDataSource, "my-stock-data-source", self.stockDataSource)
+    
+    def stockDataSource(self, data):        
+        return [ item for sublist in data for item in sublist["Symbols"] ]
+
+    def OnData(self, slice):
+
+        if slice.Bars.Count == 0: return
+        if self._changes == SecurityChanges.None: return
+        
+        # start fresh
+        self.Liquidate()
+
+        percentage = 1 / d.Decimal(slice.Bars.Count)
+        for tradeBar in slice.Bars.Values:
+            self.SetHoldings(tradeBar.Symbol, percentage)
+        
+        # reset changes
+        self._changes = SecurityChanges.None
+    
+    def OnSecuritiesChanged(self, changes):
+        self._changes = changes
+        
+class StockDataSource(PythonData):
+    
+    def GetSource(self, config, date, isLiveMode):
+        url = "https://www.dropbox.com/s/2az14r5xbx4w5j6/daily-stock-picker-live.csv?dl=1" if isLiveMode else \
+            "https://www.dropbox.com/s/rmiiktz0ntpff3a/daily-stock-picker-backtest.csv?dl=1"
+
+        return SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile)
+    
+    def Reader(self, config, line, date, isLiveMode):
+        if not (line.strip() and line[0].isdigit()): return None
+        
+        stocks = StockDataSource()
+        stocks.Symbol = config.Symbol
+        
+        csv = line.split(',')
+        if isLiveMode:
+            stocks.Time = date
+            stocks["Symbols"] = csv
+        else:
+            stocks.Time = datetime.strptime(csv[0], "%Y%m%d")
+            stocks["Symbols"] = csv[1:]
+        return stocks