github-featured / quantconnect--lean

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  • 12756 a4d49c05ca
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    Adds ETF(...) to UniverseDefinitions (#5873)

    frostbyte_neo 发布于 2021-08-25 14:22:31 +00:00 | 2194 次提交 在此版本后已推送到 master

    • 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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