AlexCatarino
127 lines
5.3 KiB
Python
127 lines
5.3 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Orders import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Algorithm.Framework import *
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from QuantConnect.Algorithm.Framework.Alphas import *
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from QuantConnect.Algorithm.Framework.Portfolio import *
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from QuantConnect.Algorithm.Framework.Selection import *
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from datetime import datetime, timedelta
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### <summary>
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### Regression algortihm for testing ScheduledUniverseSelectionModel scheduling functions.
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### </summary>
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class ScheduledUniverseSelectionModelRegressionAlgorithm(QCAlgorithmFramework):
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'''Regression algortihm for testing ScheduledUniverseSelectionModel scheduling functions.'''
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def Initialize(self):
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self.UniverseSettings.Resolution = Resolution.Hour
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self.SetStartDate(2017, 1, 1)
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self.SetEndDate(2017, 2, 1)
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# selection will run on mon/tues/thurs at 00:00/06:00/12:00/18:00
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self.SetUniverseSelection(ScheduledUniverseSelectionModel(
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self.DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Thursday),
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self.TimeRules.Every(timedelta(hours = 12)),
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self.SelectSymbols
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))
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self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1)))
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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# some days of the week have different behavior the first time -- less securities to remove
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self.seenDays = []
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def SelectSymbols(self, dateTime):
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symbols = []
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weekday = dateTime.weekday()
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if weekday == 0 or weekday == 1:
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symbols.append(Symbol.Create('SPY', SecurityType.Equity, Market.USA))
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elif weekday == 2:
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# given the date/time rules specified in Initialize, this symbol will never be selected (not invoked on wednesdays)
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symbols.append(Symbol.Create('AAPL', SecurityType.Equity, Market.USA))
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else:
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symbols.append(Symbol.Create('IBM', SecurityType.Equity, Market.USA))
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if weekday == 1 or weekday == 3:
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symbols.append(Symbol.Create('EURUSD', SecurityType.Forex, Market.FXCM))
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elif weekday == 4:
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# given the date/time rules specified in Initialize, this symbol will never be selected (every 6 hours never lands on hour==1)
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symbols.append(Symbol.Create('EURGBP', SecurityType.Forex, Market.FXCM))
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else:
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symbols.append(Symbol.Create('NZDUSD', SecurityType.Forex, Market.FXCM))
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return symbols
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def OnSecuritiesChanged(self, changes):
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self.Log("{}: {}".format(self.Time, changes))
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weekday = self.Time.weekday()
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if weekday == 0:
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self.ExpectAdditions(changes, 'SPY', 'NZDUSD');
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if weekday not in self.seenDays:
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self.seenDays.append(weekday)
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self.ExpectRemovals(changes, None)
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else:
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self.ExpectRemovals(changes, 'EURUSD', 'IBM')
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if weekday == 1:
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self.ExpectAdditions(changes, 'EURUSD');
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if weekday not in self.seenDays:
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self.seenDays.append(weekday)
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self.ExpectRemovals(changes, 'NZDUSD')
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else:
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self.ExpectRemovals(changes, 'NZDUSD')
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if weekday == 2 or weekday == 4:
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# selection function not invoked on wednesdays (2) or friday (4)
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self.ExpectAdditions(changes, None)
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self.ExpectRemovals(changes, None)
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if weekday == 3:
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self.ExpectAdditions(changes, "IBM")
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self.ExpectRemovals(changes, "SPY")
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def OnOrderEvent(self, orderEvent):
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self.Log("{}: {}".format(self.Time, orderEvent))
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def ExpectAdditions(self, changes, *tickers):
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if tickers is None and changes.AddedSecurities.Count > 0:
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raise Exception("{}: Expected no additions: {}".format(self.Time, self.Time.weekday()))
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for ticker in tickers:
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if ticker is not None and ticker not in [s.Symbol.Value for s in changes.AddedSecurities]:
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raise Exception("{}: Expected {} to be added: {}".format(self.Time, ticker, self.Time.weekday()));
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def ExpectRemovals(self, changes, *tickers):
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if tickers is None and changes.RemovedSecurities.Count > 0:
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raise Exception("{}: Expected no removals: {}".format(self.Time, self.Time.weekday()))
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for ticker in tickers:
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if ticker is not None and ticker not in [s.Symbol.Value for s in changes.RemovedSecurities]:
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raise Exception("{}: Expected {} to be removed: {}".format(self.Time, ticker, self.Time.weekday()));
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