chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Fundamental;
+using QuantConnect.Data.Market;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.CSharp.Benchmarks
+{
+
+    public class CoarseFineUniverseSelectionBenchmark : QCAlgorithm
+    {
+        private const int NumberOfSymbolsCoarse = 150;
+        private const int NumberOfSymbolsFine = 40;
+
+        private SecurityChanges _changes = SecurityChanges.None;
+
+        public override void Initialize()
+        {
+            UniverseSettings.Resolution = Resolution.Minute;
+
+            SetStartDate(2017, 11, 01);
+            SetEndDate(2018, 3, 01);
+            SetCash(50000);
+
+            AddUniverse(CoarseSelectionFunction, FineSelectionFunction);
+        }
+
+        // sort the data by daily dollar volume and take the top 'NumberOfSymbolsCoarse'
+        public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
+        {
+            // select only symbols with fundamental data and sort descending by daily dollar volume
+            var sortedByDollarVolume = coarse
+                .Where(x => x.HasFundamentalData)
+                .OrderByDescending(x => x.DollarVolume);
+
+            // take the top entries from our sorted collection
+            var top5 = sortedByDollarVolume.Take(NumberOfSymbolsCoarse);
+
+            // we need to return only the symbol objects
+            return top5.Select(x => x.Symbol);
+        }
+
+        // sort the data by P/E ratio and take the top 'NumberOfSymbolsFine'
+        public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)
+        {
+            // sort descending by P/E ratio
+            var sortedByPeRatio = fine.OrderByDescending(x => x.ValuationRatios.PERatio);
+
+            // take the top entries from our sorted collection
+            var topFine = sortedByPeRatio.Take(NumberOfSymbolsFine);
+
+            // we need to return only the symbol objects
+            return topFine.Select(x => x.Symbol);
+        }
+
+        //Data Event Handler: New data arrives here.
+        public override void OnData(Slice slice)
+        {
+            // if we have no changes, do nothing
+            if (_changes == SecurityChanges.None) return;
+
+            // liquidate removed securities
+            foreach (var security in _changes.RemovedSecurities)
+            {
+                if (security.Invested)
+                {
+                    Liquidate(security.Symbol);
+                }
+            }
+
+            // we want allocation in each security in our universe
+            foreach (var security in _changes.AddedSecurities)
+            {
+                SetHoldings(security.Symbol, 0.02m);
+            }
+
+            _changes = SecurityChanges.None;
+        }
+
+        // this event fires whenever we have changes to our universe
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            _changes = changes;
+        }
+    }
+}