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
This commit is contained in:
Gerardo Salazar
2021-08-25 07:22:31 -07:00
committed by GitHub
parent aaba566954
commit a4d49c05ca
29 changed files with 1248 additions and 398 deletions
@@ -77,7 +77,6 @@
<None Include="TrainingExampleAlgorithm.py" />
<None Include="LongOnlyAlphaStreamAlgorithm.py" />
<None Include="CustomPartialFillModelAlgorithm.py" />
<Content Include="BasicTemplateConstituentUniverseAlgorithm.py" />
<Content Include="BasicTemplateOptionsConsolidationAlgorithm.py" />
<None Include="BasicTemplateOptionsPriceModel.py" />
<Content Include="CoarseFineOptionUniverseChainRegressionAlgorithm.py" />
@@ -140,6 +139,8 @@
<None Include="TensorFlowNeuralNetworkAlgorithm.py" />
<None Include="TiingoPriceAlgorithm.py" />
<None Include="PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.py" />
<None Include="UniverseSelectionDefinitionsAlgorithm.py" />
<None Include="ConstituentsQC500GeneratorAlgorithm.py" />
</ItemGroup>
<ItemGroup>
<None Include="AddRemoveSecurityRegressionAlgorithm.py" />
@@ -171,7 +172,6 @@
<None Include="CoarseFineFundamentalRegressionAlgorithm.py" />
<None Include="CoarseFundamentalTop3Algorithm.py" />
<None Include="CompositeAlphaModelFrameworkAlgorithm.py" />
<None Include="ConstituentsQC500GeneratorAlgorithm.py" />
<None Include="CustomBenchmarkAlgorithm.py" />
<None Include="CustomChartingAlgorithm.py" />
<None Include="CustomDataBitcoinAlgorithm.py" />
@@ -238,7 +238,6 @@
<None Include="TimeInForceAlgorithm.py" />
<None Include="TrailingStopRiskFrameworkAlgorithm.py" />
<None Include="UncorrelatedUniverseSelectionFrameworkAlgorithm.py" />
<None Include="UniverseSelectionDefinitionsAlgorithm.py" />
<None Include="UniverseSelectionRegressionAlgorithm.py" />
<None Include="UpdateOrderRegressionAlgorithm.py" />
<None Include="UserDefinedUniverseAlgorithm.py" />