Stefano Raggi
86 lines
3.3 KiB
C#
86 lines
3.3 KiB
C#
/*
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* 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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*/
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to test universe additions and removals with open positions
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/// </summary>
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/// <meta name="tag" content="regression test" />
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public class WeeklyUniverseSelectionRegressionAlgorithm : QCAlgorithm
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{
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private SecurityChanges _changes = SecurityChanges.None;
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 1); //Set Start Date
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SetEndDate(2013, 10, 31); //Set End Date
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SetCash(100000); //Set Strategy Cash
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UniverseSettings.Resolution = Resolution.Hour;
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// select IBM once a week, empty universe the other days
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AddUniverse("my-custom-universe", dt => dt.Day % 7 == 0 ? new List<string> { "IBM" } : Enumerable.Empty<string>());
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">TradeBars dictionary object keyed by symbol containing the stock data</param>
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public void OnData(TradeBars data)
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{
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if (_changes == SecurityChanges.None) return;
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// liquidate securities removed from our universe
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foreach (var security in _changes.RemovedSecurities)
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{
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if (security.Invested)
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{
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Log(Time + " Liquidate " + security.Symbol.Value);
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Liquidate(security.Symbol);
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}
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}
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// we'll simply go long each security we added to the universe
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foreach (var security in _changes.AddedSecurities)
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{
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if (!security.Invested)
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{
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Log(Time + " Buy " + security.Symbol.Value);
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SetHoldings(security.Symbol, 1);
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}
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}
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="changes">Object containing AddedSecurities and RemovedSecurities</param>
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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_changes = changes;
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Log(Time + " " + changes);
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}
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}
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}
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