Adds python version of ScheduledUniverseSelectionModelRegressionAlgorithm

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -141,6 +141,7 @@
   </ItemGroup>
   <ItemGroup>
     <None Include="BasicTemplateCryptoAlgorithm.py" />
+    <None Include="ScheduledUniverseSelectionModelRegressionAlgorithm.py" />
     <Content Include="MeanVarianceOptimizationAlgorithm.py" />
     <Content Include="BasicTemplateFrameworkAlgorithm.py" />
     <Content Include="BasicTemplateLibrary.py" />

Algorithm.Python/QuantConnect.Algorithm.PythonTools.pyproj

@@ -94,6 +94,7 @@
     <Compile Include="RegressionChannelAlgorithm.py" />
     <Compile Include="RollingWindowAlgorithm.py" />
     <Compile Include="ScheduledEventsAlgorithm.py" />
+    <Compile Include="ScheduledUniverseSelectionModelRegressionAlgorithm.py" />
     <Compile Include="UniverseSelectionDefinitionsAlgorithm.py" />
     <Compile Include="UniverseSelectionRegressionAlgorithm.py" />
     <Compile Include="UpdateOrderRegressionAlgorithm.py" />

Algorithm.Python/ScheduledUniverseSelectionModelRegressionAlgorithm.py

@@ -0,0 +1,126 @@
+# 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.Orders import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Algorithm.Framework import *
+from QuantConnect.Algorithm.Framework.Alphas import *
+from QuantConnect.Algorithm.Framework.Portfolio import *
+from QuantConnect.Algorithm.Framework.Selection import *
+from datetime import datetime, timedelta
+
+### <summary>
+### Regression algortihm for testing ScheduledUniverseSelectionModel scheduling functions.
+### </summary>
+class ScheduledUniverseSelectionModelRegressionAlgorithm(QCAlgorithmFramework):
+    '''Regression algortihm for testing ScheduledUniverseSelectionModel scheduling functions.'''
+
+    def Initialize(self):
+
+        self.UniverseSettings.Resolution = Resolution.Hour
+
+        self.SetStartDate(2017, 1, 1)
+        self.SetEndDate(2017, 2, 1)
+
+        # selection will run on mon/tues/thurs at 00:00/06:00/12:00/18:00
+        self.SetUniverseSelection(ScheduledUniverseSelectionModel(
+            self.DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Thursday),
+            self.TimeRules.Every(timedelta(hours = 12)),
+            self.SelectSymbols
+            ))
+
+        self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1)))
+        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
+
+        # some days of the week have different behavior the first time -- less securities to remove
+        self.seenDays = []
+
+    def SelectSymbols(self, dateTime):
+
+        symbols = []
+        weekday = dateTime.weekday()
+
+        if weekday == 0 or weekday == 1:
+            symbols.append(Symbol.Create('SPY', SecurityType.Equity, Market.USA))
+        elif weekday == 2:
+            # given the date/time rules specified in Initialize, this symbol will never be selected (not invoked on wednesdays)
+            symbols.append(Symbol.Create('AAPL', SecurityType.Equity, Market.USA))
+        else:
+            symbols.append(Symbol.Create('IBM', SecurityType.Equity, Market.USA))
+
+        if weekday == 1 or weekday == 3:
+            symbols.append(Symbol.Create('EURUSD', SecurityType.Forex, Market.FXCM))
+        elif weekday == 4:
+            # given the date/time rules specified in Initialize, this symbol will never be selected (every 6 hours never lands on hour==1)
+            symbols.append(Symbol.Create('EURGBP', SecurityType.Forex, Market.FXCM))
+        else:
+            symbols.append(Symbol.Create('NZDUSD', SecurityType.Forex, Market.FXCM))
+
+        return symbols
+
+    def OnSecuritiesChanged(self, changes):
+        self.Log("{}: {}".format(self.Time, changes))
+
+        weekday = self.Time.weekday()
+
+        if weekday == 0:
+            self.ExpectAdditions(changes, 'SPY', 'NZDUSD');
+            if weekday not in self.seenDays:
+                self.seenDays.append(weekday)
+                self.ExpectRemovals(changes, None)
+            else:
+                self.ExpectRemovals(changes, 'EURUSD', 'IBM')
+
+        if weekday == 1:
+            self.ExpectAdditions(changes, 'EURUSD');
+            if weekday not in self.seenDays:
+                self.seenDays.append(weekday)
+                self.ExpectRemovals(changes, 'NZDUSD')
+            else:
+                self.ExpectRemovals(changes, 'NZDUSD')
+
+        if weekday == 2 or weekday == 4:
+            # selection function not invoked on wednesdays (2) or friday (4)
+            self.ExpectAdditions(changes, None)
+            self.ExpectRemovals(changes, None)
+
+        if weekday == 3:
+            self.ExpectAdditions(changes, "IBM")
+            self.ExpectRemovals(changes, "SPY")
+
+
+    def OnOrderEvent(self, orderEvent):
+        self.Log("{}: {}".format(self.Time, orderEvent))
+
+    def ExpectAdditions(self, changes, *tickers):
+        if tickers is None and changes.AddedSecurities.Count > 0:
+            raise Exception("{}: Expected no additions: {}".format(self.Time, self.Time.weekday()))
+
+        for ticker in tickers:
+            if ticker is not None and ticker not in [s.Symbol.Value for s in changes.AddedSecurities]:
+                raise Exception("{}: Expected {} to be added: {}".format(self.Time, ticker, self.Time.weekday()));
+
+    def ExpectRemovals(self, changes, *tickers):
+        if tickers is None and changes.RemovedSecurities.Count > 0:
+            raise Exception("{}: Expected no removals: {}".format(self.Time, self.Time.weekday()))
+
+        for ticker in tickers:
+            if ticker is not None and ticker not in [s.Symbol.Value for s in changes.RemovedSecurities]:
+                raise Exception("{}: Expected {} to be removed: {}".format(self.Time, ticker, self.Time.weekday()));