Martin Molinero
eaba3ab24e
- Removed usages of algorithm.Securities.key as a parameter for the `ManualUniverseSelectionModel()` since those securities, added through `AddXXXX` calls will be managed by the `UserDefinedUniverse`. This was causing for Universes to try to add the same subscription requests - Adding new empty constructor for ManualUniverseSelectionModel, required for Python - ManualUniverse will return any existing SDC for the symbol. This is for maintaining existing behavior and preventing breaking changes: Specifically motivated by usages of Algorithm.Securities.Keys as constructor parameter of the ManualUniverseSelectionModel, since those Symbols added by Addxxx() calls will already be managed by the UserDefinedUniverse - Making some format modifications to aling with used Lean formatting
63 lines
2.7 KiB
Python
63 lines
2.7 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.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.Risk import *
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from QuantConnect.Algorithm.Framework.Selection import *
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from Alphas.RsiAlphaModel import RsiAlphaModel
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from Alphas.EmaCrossAlphaModel import EmaCrossAlphaModel
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from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
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from datetime import timedelta
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import numpy as np
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### <summary>
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### Show cases how to use the CompositeAlphaModel to define.
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### </summary>
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class CompositeAlphaModelFrameworkAlgorithm(QCAlgorithmFramework):
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'''Show cases how to use the CompositeAlphaModel to define.'''
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def Initialize(self):
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self.SetStartDate(2013,10,7) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# even though we're using a framework algorithm, we can still add our securities
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# using the AddEquity/Forex/Crypto/ect methods and then pass them into a manual
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# universe selection model using Securities.Keys
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self.AddEquity("SPY")
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self.AddEquity("IBM")
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self.AddEquity("BAC")
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self.AddEquity("AIG")
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# define a manual universe of all the securities we manually registered
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self.SetUniverseSelection(ManualUniverseSelectionModel())
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# define alpha model as a composite of the rsi and ema cross models
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self.SetAlpha(CompositeAlphaModel(RsiAlphaModel(), EmaCrossAlphaModel()))
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# default models for the rest
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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self.SetRiskManagement(NullRiskManagementModel()) |