Gerardo Salazar
73 lines
2.5 KiB
C#
73 lines
2.5 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.Collections.Generic;
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using System.Linq;
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using QuantConnect;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.SmartInsider;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class SmartInsiderTransactionAlgorithm : QCAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2019, 3, 1);
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SetEndDate(2019, 8, 30);
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SetCash(1000000);
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AddUniverseSelection(new CoarseFundamentalUniverseSelectionModel(CoarseUniverse));
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}
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public IEnumerable<Symbol> CoarseUniverse(IEnumerable<CoarseFundamental> coarse)
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{
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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(10);
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foreach (var symbol in symbols)
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{
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AddData<SmartInsiderTransaction>(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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// Get all SmartInsider data available
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var transactions = data.Get<SmartInsiderTransaction>();
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foreach (var transaction in transactions.Values)
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{
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if (transaction.VolumePercentage == null || transaction.BuybackType == null)
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{
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continue;
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}
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// Using the Smart Insider transaction information, buy when company does a stock buyback
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if (transaction.BuybackType == "Transaction" && transaction.VolumePercentage > 5)
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{
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SetHoldings(transaction.Symbol.Underlying, (decimal)transaction.VolumePercentage / 100);
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}
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}
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}
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}
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}
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