Martin-Molinero
17ca8a743f
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* Refactor universe historical data source - Add new universe history API methods - Refactor QuantBook UniverseHistory to use the universe selection itself instead of a given func - Refactor and rename fundamental types - Refactor AddUniverse API to handle universe collection data which holds another type internally, like fundamental * Fix minor bug causing ApiDataProvider not to serve Bitfinex universe data * Further improvements to add universe API * Handle no selection function
102 lines
3.6 KiB
C#
102 lines
3.6 KiB
C#
/*
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* 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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*/
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using System.Linq;
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using QuantConnect.Data;
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using System.Collections.Generic;
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using QuantConnect.Data.Fundamental;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Algorithm.Framework.Selection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration of how to define a universe using the fundamental data
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/// </summary>
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public class FundamentalUniverseSelectionRegressionAlgorithm : FundamentalRegressionAlgorithm
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{
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private const int NumberOfSymbolsFundamental = 2;
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private SecurityChanges _changes = SecurityChanges.None;
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public override void Initialize()
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{
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UniverseSettings.Resolution = Resolution.Daily;
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SetStartDate(2014, 03, 26);
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SetEndDate(2014, 04, 07);
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AddEquity("SPY");
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AddEquity("AAPL");
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SetUniverseSelection(new FundamentalUniverseSelectionModelTest());
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}
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private class FundamentalUniverseSelectionModelTest : FundamentalUniverseSelectionModel
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{
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public override IEnumerable<Symbol> Select(QCAlgorithm algorithm, IEnumerable<Fundamental> fundamental)
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{
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// select only symbols with fundamental data and sort descending by daily dollar volume
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var sortedByDollarVolume = fundamental
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.Where(x => x.Price > 1)
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.OrderByDescending(x => x.DollarVolume);
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// sort descending by P/E ratio
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var sortedByPeRatio = sortedByDollarVolume.OrderByDescending(x => x.ValuationRatios.PERatio);
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// take the top entries from our sorted collection
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var topFine = sortedByPeRatio.Take(NumberOfSymbolsFundamental);
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// we need to return only the symbol objects
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return topFine.Select(x => x.Symbol);
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}
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}
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public override void OnData(Slice slice)
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{
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// if we have no changes, do nothing
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if (_changes == SecurityChanges.None) return;
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// liquidate removed securities
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foreach (var security in _changes.RemovedSecurities)
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{
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if (security.Invested)
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{
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Liquidate(security.Symbol);
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}
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}
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// we want allocation in each security in our universe
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foreach (var security in _changes.AddedSecurities)
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{
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SetHoldings(security.Symbol, 0.02m);
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}
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_changes = SecurityChanges.None;
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}
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// this event fires whenever we have changes to our universe
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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_changes = changes;
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}
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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}
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}
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