Martin-Molinero
e78d3083c5
* Async universe selection - Add support for async universe selection, which will happen ahead of time in the data stack for a performance improvement * Thrown if using Coarse+Fine Asynchronous Universe selectioon
47 lines
1.8 KiB
Python
47 lines
1.8 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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### <summary>
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### Regression algorithm asserting that using separate coarse & fine selection with async universe settings is not allowed
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### </summary>
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class CoarseFineAsyncUniverseRegressionAlgorithm(QCAlgorithm):
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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, 7)
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self.SetEndDate(2013, 10, 11)
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self.UniverseSettings.Asynchronous = True
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threw_exception = False
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try:
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self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
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except:
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# expected
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threw_exception = True
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pass
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if not threw_exception:
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raise ValueError("Expected exception to be thrown for AddUniverse")
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self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction))
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def CoarseSelectionFunction(self, coarse):
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return []
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def FineSelectionFunction(self, fine):
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return []
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