Gerardo Salazar
a4d49c05ca
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Adds ETF(...) to UniverseDefinitions
* Adds ETF constituents universe framework regression algorithm
for C#/Python
* Address review: adds test cases for ticker/Symbol ETF universe additions
* Fixes bug where null Market would result in null dereference exception
* Address review: add missing Index tests
* Address review: don't hardcode market when creating constituent universe
* Uses Brokerage Model's default markets collection to determine
the market for the given security type
* Address review: restore QC500 and DollarVolume.Top(...)
* Restores algorithms related to both helper universe
definition methods
* Address review: remove copy to output directory for python algos
* Add example algorithms for ETF constituent universes using custom RSI alpha model
* Address review: adjust algorithm to use cache + algo RSI & clean up code
* Address review: make ETF Constituent RSI Alpha Model algo a regression test
* Address review: increase trade count and remove single trade logic
57 lines
2.3 KiB
C#
57 lines
2.3 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 MathNet.Numerics.Statistics;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
|
|
namespace QuantConnect.Algorithm
|
|
{
|
|
/// <summary>
|
|
/// Provides helpers for defining universes based on the daily dollar volume
|
|
/// </summary>
|
|
public class DollarVolumeUniverseDefinitions
|
|
{
|
|
private readonly QCAlgorithm _algorithm;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="DollarVolumeUniverseDefinitions"/> class
|
|
/// </summary>
|
|
/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
|
|
public DollarVolumeUniverseDefinitions(QCAlgorithm algorithm)
|
|
{
|
|
_algorithm = algorithm;
|
|
}
|
|
|
|
/// <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>
|
|
[Obsolete("This method is deprecated. Use method `Universe.DollarVolume.Top(...)` instead")]
|
|
public Universe Top(int count, UniverseSettings universeSettings = null)
|
|
{
|
|
return _algorithm.Universe.Top(count, universeSettings);
|
|
}
|
|
}
|
|
}
|