Gerardo Salazar
f5999f794e
* Adds and removes various fields from enums to represent data accurately * Renames various variables * Changes algorithms to work with new changes * SmartInsider transaction/intention docs updated * Added new enum values to represent pieces of data
63 lines
2.6 KiB
Python
63 lines
2.6 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.Algorithm.Framework.Selection import *
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from QuantConnect.Data import *
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from QuantConnect.Data.Custom.SmartInsider import *
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from QuantConnect.Data.UniverseSelection import *
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class SmartInsiderTransactionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2019, 3, 1)
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self.SetEndDate(2019, 7, 4)
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self.SetCash(1000000)
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self.AddUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseUniverse))
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def CoarseUniverse(self, coarse):
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symbols = [i.Symbol for i in coarse if i.HasFundamentalData and i.DollarVolume > 50000000][:10]
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for symbol in symbols:
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self.AddData(SmartInsiderTransaction, symbol)
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return symbols
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def OnData(self, data):
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# Get all SmartInsider data available
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transactions = data.Get(SmartInsiderTransaction)
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# Loop over all the insider transactions
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for transaction in transactions.Values:
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if transaction.VolumePercentage is None or transaction.EventType is None:
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continue
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# Using the SmartInsider transaction information, buy when company does a stock buyback
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if transaction.EventType == SmartInsiderEventType.Transaction and transaction.VolumePercentage > 5:
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self.SetHoldings(transaction.Symbol.Underlying, transaction.VolumePercentage / 100)
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def OnSecuritiesChanged(self, changes):
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for r in [i for i in changes.RemovedSecurities if i.Symbol.SecurityType == SecurityType.Equity]:
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# If removed from the universe, liquidate and remove the custom data from the algorithm
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self.Liquidate(r.Symbol)
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self.RemoveSecurity(Symbol.CreateBase(SmartInsiderTransaction, r.Symbol, Market.USA))
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