Martin Molinero
e2c129a311
- Renaming `PreSelected` to `Constituents` - Adding base `ConstituentsUniverse` - Adding Py and C# regression algorithm - Fixing bug in `UniverseSelection`, it wasn't removing pending to be removed securities unless the universe selection changed - Adding test data
93 lines
4.5 KiB
Python
93 lines
4.5 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 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.Algorithm import *
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from QuantConnect.Data.UniverseSelection import *
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### <summary>
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### Test algorithm using a 'ConstituentsUniverse' with test data
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### </summary>
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class ConstituentsUniverseRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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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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self._appl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
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self._spy = Symbol.Create("SPY", SecurityType.Equity, Market.USA)
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self._qqq = Symbol.Create("QQQ", SecurityType.Equity, Market.USA)
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self._fb = Symbol.Create("FB", SecurityType.Equity, Market.USA)
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self._step = 0
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self.UniverseSettings.Resolution = Resolution.Daily
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self.AddUniverse(ConstituentsUniverse(
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Symbol.Create("constituents-universe-qctest", SecurityType.Equity, Market.USA),
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self.UniverseSettings))
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def OnData(self, data):
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self._step = self._step + 1
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if self._step == 1:
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if not data.ContainsKey(self._qqq) or not data.ContainsKey(self._appl):
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raise ValueError("Unexpected symbols found, step: " + str(self._step))
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if data.Count != 2:
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raise ValueError("Unexpected data count, step: " + str(self._step))
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# AAPL will be deselected by the ConstituentsUniverse
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# but it shouldn't be removed since we hold it
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self.SetHoldings(self._appl, 0.5)
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elif self._step == 2:
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if not data.ContainsKey(self._appl):
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raise ValueError("Unexpected symbols found, step: " + str(self._step))
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if data.Count != 1:
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raise ValueError("Unexpected data count, step: " + str(self._step))
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# AAPL should now be released
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# note: takes one extra loop because the order is executed on market open
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self.Liquidate()
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elif self._step == 3:
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if not data.ContainsKey(self._fb) or not data.ContainsKey(self._spy) or not data.ContainsKey(self._appl):
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raise ValueError("Unexpected symbols found, step: " + str(self._step))
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if data.Count != 3:
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raise ValueError("Unexpected data count, step: " + str(self._step))
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elif self._step == 4:
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if not data.ContainsKey(self._fb) or not data.ContainsKey(self._spy):
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raise ValueError("Unexpected symbols found, step: " + str(self._step))
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if data.Count != 2:
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raise ValueError("Unexpected data count, step: " + str(self._step))
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elif self._step == 5:
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if not data.ContainsKey(self._fb) or not data.ContainsKey(self._spy):
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raise ValueError("Unexpected symbols found, step: " + str(self._step))
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if data.Count != 2:
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raise ValueError("Unexpected data count, step: " + str(self._step))
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def OnEndOfAlgorithm(self):
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if self._step != 5:
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raise ValueError("Unexpected step count: " + str(self._step))
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def OnSecuritiesChanged(self, changes):
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for added in changes.AddedSecurities:
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self.Log("AddedSecurities " + str(added))
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for removed in changes.RemovedSecurities:
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self.Log("RemovedSecurities " + str(removed) + str(self._step))
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# we are currently notifying the removal of AAPl twice,
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# when deselected and when finally removed (since it stayed pending)
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if removed.Symbol == self._appl and self._step != 1 and self._step != 2 or removed.Symbol == self._qqq and self._step != 1:
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raise ValueError("Unexpected removal step count: " + str(self._step)) |