Ashutosh
52 lines
1.9 KiB
Python
52 lines
1.9 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 AlgorithmImports import *
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AddReference("System.Collections")
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from System.Collections.Generic import List
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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.set_cash(100000)
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self.set_start_date(2015,1,1)
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self.set_end_date(2015,12,1)
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self.symbols = [ "SPY", "GOOG", "IBM", "AAPL", "MSFT", "CSCO", "ADBE", "WMT"]
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self.universe_settings.resolution = Resolution.HOUR
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self.add_universe('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 on_data(self, slice):
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pass
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def on_securities_changed(self, changes):
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for removed in changes.removed_securities:
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if removed.invested:
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self.liquidate(removed.symbol)
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for added in changes.added_securities:
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self.set_holdings(added.symbol, 1/float(len(changes.added_securities)))
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