Rahul
71 lines
2.7 KiB
Plaintext
71 lines
2.7 KiB
Plaintext
class DropboxCoarseFineAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2019, 9, 23) # Set Start Date
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self.SetEndDate(2019, 9, 30) # Set End Date
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self.SetCash(100000) # Set Strategy Cash
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self.AddUniverse(self.SelectCoarse, self.SelectFine)
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self.universeData = None
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self.nextUpdate = datetime(1, 1, 1) # Minimum datetime
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self.url = "https://www.dropbox.com/s/x2sb9gaiicc6hm3/tickers_with_dates.csv?dl=1"
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def OnEndOfDay(self):
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for security in self.ActiveSecurities.Values:
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self.Debug(f"{self.Time.date()} {security.Symbol.Value} with Market Cap: ${security.Fundamentals.MarketCap}")
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def SelectCoarse(self, coarse):
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return self.GetSymbols()
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def SelectFine(self, fine):
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symbols = self.GetSymbols()
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# Return symbols from our list which have a market capitalization of at least 10B
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return [f.Symbol for f in fine if f.MarketCap > 1e10 and f.Symbol in symbols]
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def GetSymbols(self):
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# In live trading update every 12 hours
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if self.LiveMode:
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if self.Time < self.nextUpdate:
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# Return today's row
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return self.universeData[self.Time.date()]
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# When updating set the new reset time.
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self.nextUpdate = self.Time + timedelta(hours=12)
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self.universeData = self.Parse(self.url)
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# In backtest load once if not set, then just use the dates.
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if self.universeData is None:
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self.universeData = self.Parse(self.url)
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# Check if contains the row we need
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if self.Time.date() not in self.universeData:
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return Universe.Unchanged
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return self.universeData[self.Time.date()]
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def Parse(self, url):
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# Download file from url as string
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file = self.Download(url).split("\n")
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# # Remove formatting characters
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data = [x.replace("\r", "").replace(" ", "") for x in file]
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# # Split data by date and symbol
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split_data = [x.split(",") for x in data]
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# Dictionary to hold list of active symbols for each date, keyed by date
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symbolsByDate = {}
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# Parse data into dictionary
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for arr in split_data:
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date = datetime.strptime(arr[0], "%Y%m%d").date()
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symbols = [Symbol.Create(ticker, SecurityType.Equity, Market.USA) for ticker in arr[1:]]
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symbolsByDate[date] = symbols
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return symbolsByDate
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def OnSecuritiesChanged(self, changes):
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self.Log(f"Added Securities: {[security.Symbol.Value for security in changes.AddedSecurities]}")
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