Jared
109 lines
3.9 KiB
C#
109 lines
3.9 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;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.PsychSignal;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Momentum based strategy that follows bullish rated stocks
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/// </summary>
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public class PsychSignalSentimentAlgorithm : QCAlgorithm
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{
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private DateTime _timeEntered = DateTime.MinValue;
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/// <summary>
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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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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2018, 3, 1);
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SetEndDate(2018, 10, 1);
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SetCash(100000);
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AddUniverseSelection(new CoarseFundamentalUniverseSelectionModel(CoarseUniverse));
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}
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/// <summary>
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/// You can use custom data with a universe of assets
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/// </summary>
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public IEnumerable<Symbol> CoarseUniverse(IEnumerable<CoarseFundamental> coarse)
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{
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if (Time.Subtract(_timeEntered) <= TimeSpan.FromDays(10))
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{
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return Universe.Unchanged;
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}
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// Ask for the universe like normal and then filter it
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var symbols = coarse.Where(x => x.HasFundamentalData && x.DollarVolume > 50000000)
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.Select(x => x.Symbol)
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.Take(20);
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// Add the custom data to the underlying security
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foreach (var symbol in symbols)
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{
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AddData<PsychSignalSentiment>(symbol);
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}
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return symbols;
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}
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public override void OnData(Slice data)
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{
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// Scan our last time traded to prevent churn
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if (Time.Subtract(_timeEntered) <= TimeSpan.FromDays(10))
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{
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return;
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}
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// Fetch the PsychSignal data for the active securities and trade on any
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foreach (var security in ActiveSecurities.Values)
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{
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var tweets = security.Data.PsychSignalSentiment;
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foreach (var sentiment in tweets)
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{
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if (sentiment.BullIntensity > 2.0m && sentiment.BullScoredMessages > 3m)
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{
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SetHoldings(sentiment.Symbol.Underlying, 0.05);
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_timeEntered = Time;
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}
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}
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}
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}
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/// <summary>
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/// When adding custom data from a universe we should also remove the data afterwards
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/// </summary>
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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// Make sure to filter out other security removals (i.e. custom data)
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foreach (var r in changes.RemovedSecurities.Where(x => x.Symbol.SecurityType == SecurityType.Equity))
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{
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Liquidate(r.Symbol);
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// Remove the custom data from our algorithm and collection
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RemoveSecurity(QuantConnect.Symbol.CreateBase(typeof(PsychSignalSentiment), r.Symbol, Market.USA));
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}
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}
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}
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}
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