Adds UniverseSelectionDefinitionsAlgorithm for python

2017-10-24 19:07:40 +01:00
parent c43a87d93e
commit b032a91a71
3 changed files with 80 additions and 0 deletions
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+# 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.Core")
+AddReference("QuantConnect.Common")
+AddReference("QuantConnect.Algorithm")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import QCAlgorithm
+from QuantConnect.Data.Market import *
+from QuantConnect.Data.UniverseSelection import *
+from datetime import timedelta
+
+### <summary>
+### This algorithm shows some of the various helper methods available when defining universes
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="universes" />
+### <meta name="tag" content="coarse universes" />
+class UniverseSelectionDefinitionsAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        # 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 = timedelta(minutes=30)
+
+        self.SetStartDate(2013,10,07)   # Set Start Date
+        self.SetEndDate(2013,10,11)     # Set End Date
+        self.SetCash(100000)            # Set Strategy Cash
+
+        # 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(90.0))
+
+        # add universe for stocks between the 70th and 80th dollar volume percentile
+        self.AddUniverse(self.Universe.DollarVolume.Percentile(70.0, 80.0))
+
+        self.changes = SecurityChanges.None
+
+    def OnData(self, 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;
+
+
+    # this event fires whenever we have changes to our universe
+    def OnSecuritiesChanged(self, changes):
+        self.changes = changes