Adds ETF(...) to UniverseDefinitions (#5873)
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* Adds ETF(...) to UniverseDefinitions
* Adds ETF constituents universe framework regression algorithm
for C#/Python
* Address review: adds test cases for ticker/Symbol ETF universe additions
* Fixes bug where null Market would result in null dereference exception
* Address review: add missing Index tests
* Address review: don't hardcode market when creating constituent universe
* Uses Brokerage Model's default markets collection to determine
the market for the given security type
* Address review: restore QC500 and DollarVolume.Top(...)
* Restores algorithms related to both helper universe
definition methods
* Address review: remove copy to output directory for python algos
* Add example algorithms for ETF constituent universes using custom RSI alpha model
* Address review: adjust algorithm to use cache + algo RSI & clean up code
* Address review: make ETF Constituent RSI Alpha Model algo a regression test
* Address review: increase trade count and remove single trade logic
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@@ -77,7 +77,6 @@
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<None Include="TrainingExampleAlgorithm.py" />
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<None Include="LongOnlyAlphaStreamAlgorithm.py" />
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<None Include="CustomPartialFillModelAlgorithm.py" />
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<Content Include="BasicTemplateConstituentUniverseAlgorithm.py" />
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<Content Include="BasicTemplateOptionsConsolidationAlgorithm.py" />
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<None Include="BasicTemplateOptionsPriceModel.py" />
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<Content Include="CoarseFineOptionUniverseChainRegressionAlgorithm.py" />
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@@ -140,6 +139,8 @@
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<None Include="TensorFlowNeuralNetworkAlgorithm.py" />
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<None Include="TiingoPriceAlgorithm.py" />
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<None Include="PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py" />
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<None Include="UniverseSelectionDefinitionsAlgorithm.py" />
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<None Include="ConstituentsQC500GeneratorAlgorithm.py" />
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</ItemGroup>
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<ItemGroup>
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<None Include="AddRemoveSecurityRegressionAlgorithm.py" />
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@@ -171,7 +172,6 @@
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<None Include="CoarseFineFundamentalRegressionAlgorithm.py" />
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<None Include="CoarseFundamentalTop3Algorithm.py" />
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<None Include="CompositeAlphaModelFrameworkAlgorithm.py" />
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<None Include="ConstituentsQC500GeneratorAlgorithm.py" />
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<None Include="CustomBenchmarkAlgorithm.py" />
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<None Include="CustomChartingAlgorithm.py" />
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<None Include="CustomDataBitcoinAlgorithm.py" />
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@@ -238,7 +238,6 @@
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<None Include="TimeInForceAlgorithm.py" />
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<None Include="TrailingStopRiskFrameworkAlgorithm.py" />
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<None Include="UncorrelatedUniverseSelectionFrameworkAlgorithm.py" />
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<None Include="UniverseSelectionDefinitionsAlgorithm.py" />
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<None Include="UniverseSelectionRegressionAlgorithm.py" />
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<None Include="UpdateOrderRegressionAlgorithm.py" />
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<None Include="UserDefinedUniverseAlgorithm.py" />
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