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
48 lines
2.0 KiB
Python
48 lines
2.0 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 datetime import datetime
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from AlgorithmImports import *
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### <summary>
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### Custom data universe selection regression algorithm asserting it's behavior. See GH issue #6396
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### </summary>
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class NoUniverseSelectorRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2014, 3, 24)
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self.SetEndDate(2014, 3, 31)
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self.UniverseSettings.Resolution = Resolution.Daily;
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self.AddUniverse(CoarseFundamental)
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self.changes = None
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def OnData(self, data):
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# if we have no changes, do nothing
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if not self.changes: return
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# liquidate removed securities
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for security in self.changes.RemovedSecurities:
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if security.Invested:
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self.Liquidate(security.Symbol)
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activeAndWithDataSecurities = sum(x.Value.HasData for x in self.ActiveSecurities)
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# we want 1/N allocation in each security in our universe
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for security in self.changes.AddedSecurities:
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if security.HasData:
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self.SetHoldings(security.Symbol, 1 / activeAndWithDataSecurities)
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self.changes = None
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def OnSecuritiesChanged(self, changes):
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self.changes = changes
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