snugs
86 lines
3.0 KiB
C#
86 lines
3.0 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*
|
|
*/
|
|
|
|
using System;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// This algorithm shows some of the various helper methods available
|
|
/// when defining universes
|
|
/// </summary>
|
|
public class UniverseSelectionDefinitionsAlgorithm : QCAlgorithm
|
|
{
|
|
private SecurityChanges _changes = SecurityChanges.None;
|
|
|
|
public override void Initialize()
|
|
{
|
|
// subscriptions added via universe selection will have this resolution
|
|
UniverseSettings.Resolution = Resolution.Hour;
|
|
// force securities to remain in the universe for a minimm of 30 minutes
|
|
UniverseSettings.MinimumTimeInUniverse = TimeSpan.FromMinutes(30);
|
|
|
|
SetStartDate(2013, 10, 07);
|
|
SetEndDate(2013, 10, 11);
|
|
SetCash(100*1000);
|
|
|
|
// add universe for the top 50 stocks by dollar volume
|
|
AddUniverse(Universe.DollarVolume.Top(50));
|
|
|
|
// add universe for the bottom 50 stocks by dollar volume
|
|
AddUniverse(Universe.DollarVolume.Bottom(50));
|
|
|
|
// add universe for the 90th dollar volume percentile
|
|
AddUniverse(Universe.DollarVolume.Percentile(90));
|
|
|
|
// add universe for stocks between the 70th and 80th dollar volume percentile
|
|
AddUniverse(Universe.DollarVolume.Percentile(70, 80));
|
|
}
|
|
|
|
public void OnData(TradeBars data)
|
|
{
|
|
if (_changes == SecurityChanges.None) return;
|
|
|
|
// liquidate securities that fell out of our universe
|
|
foreach (var security in _changes.RemovedSecurities)
|
|
{
|
|
if (security.Invested)
|
|
{
|
|
Liquidate(security.Symbol);
|
|
}
|
|
}
|
|
|
|
// invest in securities just added to our universe
|
|
foreach (var security in _changes.AddedSecurities)
|
|
{
|
|
if (!security.Invested)
|
|
{
|
|
MarketOrder(security.Symbol, 10);
|
|
}
|
|
}
|
|
|
|
_changes = SecurityChanges.None;
|
|
}
|
|
|
|
public override void OnSecuritiesChanged(SecurityChanges changes)
|
|
{
|
|
_changes = changes;
|
|
}
|
|
}
|
|
}
|