AlexCatarino
57 lines
2.2 KiB
Python
57 lines
2.2 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.Core")
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AddReference("System.Collections")
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AddReference("QuantConnect.Common")
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from System import *
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from System.Collections.Generic import List
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from QuantConnect import *
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from QuantConnect.Data.UniverseSelection import *
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from QCAlgorithm import QCAlgorithm
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### <summary>
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### This algorithm shows how you can handle universe selection in anyway you like,
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### at any time you like. This algorithm has a list of 10 stocks that it rotates
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### through every hour.
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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 UserDefinedUniverseAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetCash(100000)
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self.SetStartDate(2015,1,1)
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self.SetEndDate(2015,12,1)
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self.symbols = [ "SPY", "GOOG", "IBM", "AAPL", "MSFT", "CSCO", "ADBE", "WMT"]
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self.UniverseSettings.Resolution = Resolution.Hour
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self.AddUniverse('my_universe_name', Resolution.Hour, self.selection)
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def selection(self, time):
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index = time.hour%len(self.symbols)
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return self.symbols[index]
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def OnData(self, slice):
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pass
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def OnSecuritiesChanged(self, changes):
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for removed in changes.RemovedSecurities:
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if removed.Invested:
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self.Liquidate(removed.Symbol)
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for added in changes.AddedSecurities:
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self.SetHoldings(added.Symbol, 1/float(len(changes.AddedSecurities))) |