Derek Melchin
20791d6a9e
* Add schedule queuing algorithm * Add algorithm file to csproj file * Add c# version of queuing algorithm
76 lines
3.4 KiB
Python
76 lines
3.4 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Algorithm.Framework")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Orders import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Algorithm.Framework import *
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from QuantConnect.Algorithm.Framework.Alphas import *
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from QuantConnect.Algorithm.Framework.Execution import *
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from QuantConnect.Algorithm.Framework.Portfolio import *
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from QuantConnect.Algorithm.Framework.Selection import *
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from queue import Queue
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class ScheduledQueuingAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2020, 9, 1)
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self.SetEndDate(2020, 9, 2)
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self.SetCash(100000)
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self.__numberOfSymbols = 2000
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self.__numberOfSymbolsFine = 1000
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self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None))
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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self.queue = Queue()
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self.dequeue_size = 100
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self.AddEquity("SPY", Resolution.Minute)
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self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(0, 0), self.FillQueue)
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self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.Every(timedelta(minutes=60)), self.TakeFromQueue)
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def CoarseSelectionFunction(self, coarse):
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has_fundamentals = [security for security in coarse if security.HasFundamentalData]
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sorted_by_dollar_volume = sorted(has_fundamentals, key=lambda x: x.DollarVolume, reverse=True)
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return [ x.Symbol for x in sorted_by_dollar_volume[:self.__numberOfSymbols] ]
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def FineSelectionFunction(self, fine):
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sorted_by_pe_ratio = sorted(fine, key=lambda x: x.ValuationRatios.PERatio, reverse=True)
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return [ x.Symbol for x in sorted_by_pe_ratio[:self.__numberOfSymbolsFine] ]
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def FillQueue(self):
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securities = [security for security in self.ActiveSecurities.Values if security.Fundamentals is not None]
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# Fill queue with symbols sorted by PE ratio (decreasing order)
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self.queue.queue.clear()
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sorted_by_pe_ratio = sorted(securities, key=lambda x: x.Fundamentals.ValuationRatios.PERatio, reverse=True)
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for security in sorted_by_pe_ratio:
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self.queue.put(security.Symbol)
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def TakeFromQueue(self):
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symbols = [self.queue.get() for _ in range(min(self.dequeue_size, self.queue.qsize()))]
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self.History(symbols, 10, Resolution.Daily)
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self.Log(f"Symbols at {self.Time}: {[str(symbol) for symbol in symbols]}") |