AlexCatarino
63 lines
2.5 KiB
Python
63 lines
2.5 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 datetime import datetime
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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 *
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from QuantConnect.Data.UniverseSelection import *
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class UserDefinedUniverseAlgorithm(QCAlgorithm):
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'''This algorithm shows how you can handle universe selection in anyway you like, at any time you like.
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This algorithm has a list of 10 stocks that it rotates through every hour.'''
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def __init__(self):
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self.__Symbols = [ "SPY", "GOOG", "IBM", "AAPL", "MSFT", "CSCO", "ADBE", "WMT" ]
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def CoarseSelectionFunction(self, time):
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pyTime = datetime(time)
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hour = pyTime.hour
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index = hour%len(self.__Symbols)
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return [self.__Symbols[index]]
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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(2015,01,01) #Set Start Date
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self.SetEndDate(2015,12,01) #Set End Date
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# this sets the resolution for data subscriptions added by our universe
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self.UniverseSettings.Resolution = Resolution.Hour
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self.AddUniverse("my-universe-name", Resolution.Hour, self.CoarseSelectionFunction)
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def OnData(self, data):
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pass
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def OnSecuritiesChanged(self, changes):
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'''Event fired each time the we add/remove securities from the data feed'''
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for security in changes.RemovedSecurities:
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if security.Invested:
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self.Liquidate(security.Symbol)
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for security in changes.AddedSecurities:
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self.SetHoldings(security.Symbol, 1./len(changes.AddedSecurities)) |