Michael Handschuh
18a559943e
- Adds log to display the python version the algorithm is using. - Fixes python algorithms that were failing because of small subtleties like leading zeroes. - Updates pythonnet with a version compiled with python 3.6 flags - Changes in DockerfileFoundation: we now use miniconda to manage the python environment. - Took the opportunity to add NTLK (#1349), Tensorforce (#1369) and PyTorch/Pyro (#1385). - Changes readme in Algorithm.Python to show steps to install miniconda
76 lines
3.0 KiB
Python
76 lines
3.0 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("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 QCAlgorithm
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from QuantConnect.Data.Market import *
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from QuantConnect.Data.UniverseSelection import *
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from datetime import timedelta
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### <summary>
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### This algorithm shows some of the various helper methods available when defining universes
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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="coarse universes" />
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class UniverseSelectionDefinitionsAlgorithm(QCAlgorithm):
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def Initialize(self):
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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 = timedelta(minutes=30)
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self.SetStartDate(2013,10,7) # 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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# 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(90.0))
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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(70.0, 80.0))
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self.changes = None
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def OnData(self, data):
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if self.changes == 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 = None;
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# this event fires whenever we have changes to our universe
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def OnSecuritiesChanged(self, changes):
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self.changes = changes |