Martin-Molinero
3aff0ce958
* Add Scheduled Universe Selection - Adding `UniverseSettings.Schedule` that will allow users to specify a custom selection schedule which is independent of the underlying data frequency - Adding unit and regression tests * Add live trading schedule time shift
86 lines
3.9 KiB
Python
86 lines
3.9 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Regression test algorithm for scheduled universe selection GH 3890
|
|
### </summary>
|
|
class FundamentalCustomSelectionTimeRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
|
|
self._monthStartSelection = 0
|
|
self._monthEndSelection = 0
|
|
self._specificDateSelection = 0
|
|
self._symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA)
|
|
|
|
self.SetStartDate(2014, 3, 25)
|
|
self.SetEndDate(2014, 5, 10)
|
|
self.UniverseSettings.Resolution = Resolution.Daily
|
|
|
|
# Test use case A
|
|
self.AddUniverse(self.DateRules.MonthStart(), self.SelectionFunction_MonthStart)
|
|
|
|
# Test use case B
|
|
otherSettings = UniverseSettings(self.UniverseSettings)
|
|
otherSettings.Schedule.On(self.DateRules.MonthEnd())
|
|
|
|
self.AddUniverse(FundamentalUniverse.USA(self.SelectionFunction_MonthEnd, otherSettings))
|
|
|
|
# Test use case C
|
|
self.UniverseSettings.Schedule.On(self.DateRules.On(datetime(2014, 5, 9)))
|
|
self.AddUniverse(FundamentalUniverse.USA(self.SelectionFunction_SpecificDate))
|
|
|
|
def SelectionFunction_SpecificDate(self, coarse):
|
|
self._specificDateSelection += 1
|
|
if self.Time != datetime(2014, 5, 9):
|
|
raise ValueError("SelectionFunction_SpecificDate unexpected selection: " + str(self.Time))
|
|
return [ self._symbol ]
|
|
|
|
def SelectionFunction_MonthStart(self, coarse):
|
|
self._monthStartSelection += 1
|
|
if self._monthStartSelection == 1:
|
|
if self.Time != self.StartDate:
|
|
raise ValueError("Month Start Unexpected initial selection: " + str(self.Time))
|
|
elif self.Time != datetime(2014, 4, 1) and self.Time != datetime(2014, 5, 1):
|
|
raise ValueError("Month Start unexpected selection: " + str(self.Time))
|
|
return [ self._symbol ]
|
|
|
|
def SelectionFunction_MonthEnd(self, coarse):
|
|
self._monthEndSelection += 1
|
|
if self._monthEndSelection == 1:
|
|
if self.Time != self.StartDate:
|
|
raise ValueError("Month End unexpected initial selection: " + str(self.Time))
|
|
elif self.Time != datetime(2014, 3, 31) and self.Time != datetime(2014, 4, 30):
|
|
raise ValueError("Month End unexpected selection: " + str(self.Time))
|
|
return [ self._symbol ]
|
|
|
|
def OnData(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
|
|
Arguments:
|
|
data: Slice object keyed by symbol containing the stock data
|
|
'''
|
|
if not self.Portfolio.Invested:
|
|
self.SetHoldings(self._symbol, 1)
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
if self._monthEndSelection != 3:
|
|
raise ValueError("Month End unexpected selection count: " + str(self._monthEndSelection))
|
|
if self._monthStartSelection != 3:
|
|
raise ValueError("Month Start unexpected selection count: " + str(self._monthStartSelection))
|
|
if self._specificDateSelection != 1:
|
|
raise ValueError("Specific date unexpected selection count: " + str(self._monthStartSelection))
|