Jhonathan Abreu
3a2cae037f
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Fix UniverseDefinitions.ETF|Index methods call ambiguity * Minor changes
415 lines
20 KiB
C#
415 lines
20 KiB
C#
/*
|
|
* 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.
|
|
*
|
|
*/
|
|
|
|
using System;
|
|
using System.Collections.Generic;
|
|
using System.Linq;
|
|
using Python.Runtime;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
|
|
namespace QuantConnect.Algorithm
|
|
{
|
|
/// <summary>
|
|
/// Provides helpers for defining universes in algorithms
|
|
/// </summary>
|
|
public class UniverseDefinitions
|
|
{
|
|
private readonly QCAlgorithm _algorithm;
|
|
|
|
/// <summary>
|
|
/// Gets a helper that provides methods for creating universes based on daily dollar volumes
|
|
/// </summary>
|
|
public DollarVolumeUniverseDefinitions DollarVolume { get; set; }
|
|
|
|
/// <summary>
|
|
/// Specifies that universe selection should not make changes on this iteration
|
|
/// </summary>
|
|
public Universe.UnchangedUniverse Unchanged => Universe.Unchanged;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="UniverseDefinitions"/> class
|
|
/// </summary>
|
|
/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
|
|
public UniverseDefinitions(QCAlgorithm algorithm)
|
|
{
|
|
_algorithm = algorithm;
|
|
DollarVolume = new DollarVolumeUniverseDefinitions(algorithm);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
|
|
/// </summary>
|
|
/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
|
|
/// <param name="market">Market of the ETF</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New ETF constituents Universe</returns>
|
|
public Universe ETF(
|
|
string etfTicker,
|
|
string market,
|
|
UniverseSettings universeSettings,
|
|
Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
market ??= _algorithm.BrokerageModel.DefaultMarkets.TryGetValue(SecurityType.Equity, out var defaultMarket)
|
|
? defaultMarket
|
|
: throw new Exception("No default market set for security type: Equity");
|
|
|
|
var etfSymbol = new Symbol(
|
|
SecurityIdentifier.GenerateEquity(
|
|
etfTicker,
|
|
market,
|
|
true,
|
|
mappingResolveDate: _algorithm.Time.Date),
|
|
etfTicker);
|
|
|
|
return ETF(etfSymbol, universeSettings, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
|
|
/// </summary>
|
|
/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
|
|
/// <param name="market">Market of the ETF</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New ETF constituents Universe</returns>
|
|
public Universe ETF(string etfTicker, string market, Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return ETF(etfTicker, market, null, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
|
|
/// </summary>
|
|
/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New ETF constituents Universe</returns>
|
|
public Universe ETF(string etfTicker, Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return ETF(etfTicker, null, null, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
|
|
/// </summary>
|
|
/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New ETF constituents Universe</returns>
|
|
public Universe ETF(
|
|
string etfTicker,
|
|
UniverseSettings universeSettings,
|
|
Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return ETF(etfTicker, null, universeSettings, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
|
|
/// </summary>
|
|
/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
|
|
/// <param name="market">Market of the ETF</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New ETF constituents Universe</returns>
|
|
public Universe ETF(
|
|
string etfTicker,
|
|
string market = null,
|
|
UniverseSettings universeSettings = null,
|
|
PyObject universeFilterFunc = null)
|
|
{
|
|
return ETF(etfTicker, market, universeSettings, universeFilterFunc?.ConvertPythonUniverseFilterFunction<ETFConstituentData>());
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided ETF <paramref name="symbol"/>
|
|
/// </summary>
|
|
/// <param name="symbol">ETF Symbol to get constituents for</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New ETF constituents Universe</returns>
|
|
public Universe ETF(Symbol symbol, UniverseSettings universeSettings,
|
|
Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return new ETFConstituentsUniverse(symbol, universeSettings ?? _algorithm.UniverseSettings, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided ETF <paramref name="symbol"/>
|
|
/// </summary>
|
|
/// <param name="symbol">ETF Symbol to get constituents for</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New ETF constituents Universe</returns>
|
|
public Universe ETF(Symbol symbol, Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return ETF(symbol, null, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided ETF <paramref name="symbol"/>
|
|
/// </summary>
|
|
/// <param name="symbol">ETF Symbol to get constituents for</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New ETF constituents Universe</returns>
|
|
public Universe ETF(Symbol symbol, UniverseSettings universeSettings = null, PyObject universeFilterFunc = null)
|
|
{
|
|
return ETF(symbol, universeSettings ?? _algorithm.UniverseSettings,
|
|
universeFilterFunc?.ConvertPythonUniverseFilterFunction<ETFConstituentData>());
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
|
|
/// </summary>
|
|
/// <param name="indexTicker">Ticker of the index to get constituents for</param>
|
|
/// <param name="market">Market of the index</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New index constituents Universe</returns>
|
|
public Universe Index(string indexTicker, string market, UniverseSettings universeSettings,
|
|
Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
market ??= _algorithm.BrokerageModel.DefaultMarkets.TryGetValue(SecurityType.Index, out var defaultMarket)
|
|
? defaultMarket
|
|
: throw new Exception("No default market set for security type: Index");
|
|
|
|
return Index(
|
|
Symbol.Create(indexTicker, SecurityType.Index, market),
|
|
universeSettings,
|
|
universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
|
|
/// </summary>
|
|
/// <param name="indexTicker">Ticker of the index to get constituents for</param>
|
|
/// <param name="market">Market of the index</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New index constituents Universe</returns>
|
|
public Universe Index(string indexTicker, string market, Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return Index(indexTicker, market, null, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
|
|
/// </summary>
|
|
/// <param name="indexTicker">Ticker of the index to get constituents for</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New index constituents Universe</returns>
|
|
public Universe Index(string indexTicker, Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return Index(indexTicker, null, null, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
|
|
/// </summary>
|
|
/// <param name="indexTicker">Ticker of the index to get constituents for</param>
|
|
/// <param name="market">Market of the index</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New index constituents Universe</returns>
|
|
public Universe Index(string indexTicker, UniverseSettings universeSettings,
|
|
Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return Index(indexTicker, null, universeSettings, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
|
|
/// </summary>
|
|
/// <param name="indexTicker">Ticker of the index to get constituents for</param>
|
|
/// <param name="market">Market of the index</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New index constituents Universe</returns>
|
|
public Universe Index(
|
|
string indexTicker,
|
|
string market = null,
|
|
UniverseSettings universeSettings = null,
|
|
PyObject universeFilterFunc = null)
|
|
{
|
|
return Index(indexTicker, market, universeSettings, universeFilterFunc?.ConvertPythonUniverseFilterFunction<ETFConstituentData>());
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="indexSymbol"/>
|
|
/// </summary>
|
|
/// <param name="indexSymbol">Index Symbol to get constituents for</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New index constituents Universe</returns>
|
|
public Universe Index(Symbol indexSymbol, UniverseSettings universeSettings,
|
|
Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return new ETFConstituentsUniverse(indexSymbol, universeSettings, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="indexSymbol"/>
|
|
/// </summary>
|
|
/// <param name="indexSymbol">Index Symbol to get constituents for</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New index constituents Universe</returns>
|
|
public Universe Index(Symbol indexSymbol, Func<IEnumerable<ETFConstituentData>, IEnumerable<Symbol>> universeFilterFunc)
|
|
{
|
|
return Index(indexSymbol, null, universeFilterFunc);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a universe for the constituents of the provided <paramref name="indexSymbol"/>
|
|
/// </summary>
|
|
/// <param name="indexSymbol">Index Symbol to get constituents for</param>
|
|
/// <param name="universeSettings">Universe settings</param>
|
|
/// <param name="universeFilterFunc">Function to filter universe results</param>
|
|
/// <returns>New index constituents Universe</returns>
|
|
public Universe Index(
|
|
Symbol indexSymbol,
|
|
UniverseSettings universeSettings = null,
|
|
PyObject universeFilterFunc = null)
|
|
{
|
|
return Index(indexSymbol, universeSettings ?? _algorithm.UniverseSettings,
|
|
universeFilterFunc?.ConvertPythonUniverseFilterFunction<ETFConstituentData>());
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a new fine universe that contains the constituents of QC500 index based onthe company fundamentals
|
|
/// The algorithm creates a default tradable and liquid universe containing 500 US equities
|
|
/// which are chosen at the first trading day of each month.
|
|
/// </summary>
|
|
/// <returns>A new coarse universe for the top count of stocks by dollar volume</returns>
|
|
public Universe QC500
|
|
{
|
|
get
|
|
{
|
|
var lastMonth = -1;
|
|
var numberOfSymbolsCoarse = 1000;
|
|
var numberOfSymbolsFine = 500;
|
|
var dollarVolumeBySymbol = new Dictionary<Symbol, decimal>();
|
|
var symbol = Symbol.Create("qc-500", SecurityType.Equity, Market.USA);
|
|
|
|
var coarseUniverse = new CoarseFundamentalUniverse(
|
|
symbol,
|
|
_algorithm.UniverseSettings,
|
|
coarse =>
|
|
{
|
|
if (_algorithm.Time.Month == lastMonth)
|
|
{
|
|
return Universe.Unchanged;
|
|
}
|
|
|
|
// The stocks must have fundamental data
|
|
// The stock must have positive previous-day close price
|
|
// The stock must have positive volume on the previous trading day
|
|
var sortedByDollarVolume =
|
|
(from x in coarse
|
|
where x.HasFundamentalData && x.Volume > 0 && x.Price > 0
|
|
orderby x.DollarVolume descending
|
|
select x).Take(numberOfSymbolsCoarse).ToList();
|
|
|
|
dollarVolumeBySymbol.Clear();
|
|
foreach (var x in sortedByDollarVolume)
|
|
{
|
|
dollarVolumeBySymbol[x.Symbol] = x.DollarVolume;
|
|
}
|
|
|
|
// If no security has met the QC500 criteria, the universe is unchanged.
|
|
// A new selection will be attempted on the next trading day as lastMonth is not updated
|
|
if (dollarVolumeBySymbol.Count == 0)
|
|
{
|
|
return Universe.Unchanged;
|
|
}
|
|
|
|
return dollarVolumeBySymbol.Keys;
|
|
});
|
|
|
|
return new FineFundamentalFilteredUniverse(
|
|
coarseUniverse,
|
|
fine =>
|
|
{
|
|
// The company's headquarter must in the U.S.
|
|
// The stock must be traded on either the NYSE or NASDAQ
|
|
// At least half a year since its initial public offering
|
|
// The stock's market cap must be greater than 500 million
|
|
var filteredFine =
|
|
(from x in fine
|
|
where x.CompanyReference.CountryId == "USA" &&
|
|
(x.CompanyReference.PrimaryExchangeID == "NYS" ||
|
|
x.CompanyReference.PrimaryExchangeID == "NAS") &&
|
|
(_algorithm.Time - x.SecurityReference.IPODate).Days > 180 &&
|
|
x.MarketCap > 500000000m
|
|
select x).ToList();
|
|
|
|
var count = filteredFine.Count;
|
|
|
|
// If no security has met the QC500 criteria, the universe is unchanged.
|
|
// A new selection will be attempted on the next trading day as lastMonth is not updated
|
|
if (count == 0)
|
|
{
|
|
return Universe.Unchanged;
|
|
}
|
|
|
|
// Update _lastMonth after all QC500 criteria checks passed
|
|
lastMonth = _algorithm.Time.Month;
|
|
|
|
var percent = numberOfSymbolsFine / (double) count;
|
|
|
|
// select stocks with top dollar volume in every single sector
|
|
var topFineBySector =
|
|
(from x in filteredFine
|
|
// Group by sector
|
|
group x by x.CompanyReference.IndustryTemplateCode
|
|
into g
|
|
let y = from item in g
|
|
orderby dollarVolumeBySymbol[item.Symbol] descending
|
|
select item
|
|
let c = (int) Math.Ceiling(y.Count() * percent)
|
|
select new {g.Key, Value = y.Take(c)}
|
|
).ToDictionary(x => x.Key, x => x.Value);
|
|
|
|
return topFineBySector.SelectMany(x => x.Value)
|
|
.OrderByDescending(x => dollarVolumeBySymbol[x.Symbol])
|
|
.Take(numberOfSymbolsFine)
|
|
.Select(x => x.Symbol);
|
|
});
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a new coarse universe that contains the top count of stocks
|
|
/// by daily dollar volume
|
|
/// </summary>
|
|
/// <param name="count">The number of stock to select</param>
|
|
/// <param name="universeSettings">The settings for stocks added by this universe.
|
|
/// Defaults to <see cref="QCAlgorithm.UniverseSettings"/></param>
|
|
/// <returns>A new coarse universe for the top count of stocks by dollar volume</returns>
|
|
public Universe Top(int count, UniverseSettings universeSettings = null)
|
|
{
|
|
universeSettings ??= _algorithm.UniverseSettings;
|
|
|
|
var symbol = Symbol.Create("us-equity-dollar-volume-top-" + count, SecurityType.Equity, Market.USA);
|
|
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, true);
|
|
return new FuncUniverse(config, universeSettings, selectionData => (
|
|
from c in selectionData.OfType<CoarseFundamental>()
|
|
orderby c.DollarVolume descending
|
|
select c.Symbol).Take(count)
|
|
);
|
|
}
|
|
}
|
|
}
|