AlexCatarino
76 lines
3.2 KiB
Python
76 lines
3.2 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")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Orders import *
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from QuantConnect.Data.UniverseSelection import *
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class UniverseSelectionDefinitionsAlgorithm(QCAlgorithm):
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'''This algorithm shows some of the various helper methods available when defining universes'''
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def __init__(self):
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self.__changes = SecurityChanges.None
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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(2013,10,07) #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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# subscriptions added via universe selection will have this resolution
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self.UniverseSettings.Resolution = Resolution.Hour
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# force securities to remain in the universe for a minimm of 30 minutes
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self.UniverseSettings.MinimumTimeInUniverse = TimeSpan.FromMinutes(30)
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# add universe for the top 50 stocks by dollar volume
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self.AddUniverse(self.Universe.DollarVolume.Top(50));
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# add universe for the bottom 50 stocks by dollar volume
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self.AddUniverse(self.Universe.DollarVolume.Bottom(50));
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# add universe for the 90th dollar volume percentile
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self.AddUniverse(self.Universe.DollarVolume.Percentile(90));
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# add universe for stocks between the 70th and 80th dollar volume percentile
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self.AddUniverse(self.Universe.DollarVolume.Percentile(70, 80));
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if self.__changes == SecurityChanges.None: return
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# liquidate securities that fell out of our universe
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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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# invest in securities just added to our universe
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for security in self.__changes.AddedSecurities:
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if not security.Invested:
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self.MarketOrder(security.Symbol, 10)
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self.__changes = SecurityChanges.None;
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def OnSecuritiesChanged(self, changes):
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self.__changes = changes |