Gerardo Salazar
a4d49c05ca
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Adds ETF(...) to UniverseDefinitions
* Adds ETF constituents universe framework regression algorithm
for C#/Python
* Address review: adds test cases for ticker/Symbol ETF universe additions
* Fixes bug where null Market would result in null dereference exception
* Address review: add missing Index tests
* Address review: don't hardcode market when creating constituent universe
* Uses Brokerage Model's default markets collection to determine
the market for the given security type
* Address review: restore QC500 and DollarVolume.Top(...)
* Restores algorithms related to both helper universe
definition methods
* Address review: remove copy to output directory for python algos
* Add example algorithms for ETF constituent universes using custom RSI alpha model
* Address review: adjust algorithm to use cache + algo RSI & clean up code
* Address review: make ETF Constituent RSI Alpha Model algo a regression test
* Address review: increase trade count and remove single trade logic
58 lines
2.3 KiB
Python
58 lines
2.3 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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### 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.Top(50))
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self.changes = None
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def OnData(self, data):
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if self.changes is 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
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