AlexCatarino
82 lines
3.2 KiB
Python
82 lines
3.2 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.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import QCAlgorithm
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from QuantConnect.Data.UniverseSelection import *
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import decimal as d
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### <summary>
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### In this algortihm we show how you can easily use the universe selection feature to fetch symbols
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### to be traded using the BaseData custom data system in combination with the AddUniverse{T} method.
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### AddUniverse{T} requires a function that will return the symbols to be traded.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="universes" />
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### <meta name="tag" content="custom universes" />
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class DropboxUniverseSelectionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013,1,1)
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self.SetEndDate(2013,12,31)
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self.backtestSymbolsPerDay = {}
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self.current_universe = []
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self.UniverseSettings.Resolution = Resolution.Daily;
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self.AddUniverse("my-dropbox-universe", self.selector)
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def selector(self, date):
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# handle live mode file format
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if self.LiveMode:
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# fetch the file from dropbox
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str = self.Fetch("https://www.dropbox.com/s/2az14r5xbx4w5j6/daily-stock-picker-live.csv?dl=1")
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# if we have a file for today, return symbols, else leave universe unchanged
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self.current_universe = str.split(',') if len(str) > 0 else self.current_universe
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return self.current_universe
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# backtest - first cache the entire file
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if len(self.backtestSymbolsPerDay) == 0:
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str = self.Fetch("https://www.dropbox.com/s/rmiiktz0ntpff3a/daily-stock-picker-backtest.csv?dl=1")
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for line in str.splitlines():
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data = line.split(',')
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self.backtestSymbolsPerDay[data[0]] = data[1:]
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index = date.strftime("%Y%m%d")
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self.current_universe = self.backtestSymbolsPerDay.get(index, self.current_universe)
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return self.current_universe
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def OnData(self, slice):
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if slice.Bars.Count == 0: return
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if self.changes == None: return
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# start fresh
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self.Liquidate()
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percentage = 1 / d.Decimal(slice.Bars.Count)
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for tradeBar in slice.Bars.Values:
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self.SetHoldings(tradeBar.Symbol, percentage)
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# reset changes
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self.changes = None
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def OnSecuritiesChanged(self, changes):
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self.changes = changes |