chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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
+{
+    /// <summary>
+    /// Demonstration of how to define a universe filtered by the combination of coarse
+    /// fundamental data and fine fundamental data. This lets you do a first pass based on the asset volume; then later
+    /// select based on the company fundamentals.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="universes" />
+    /// <meta name="tag" content="coarse universes" />
+    /// <meta name="tag" content="fine universes" />
+    public class CoarseFineFundamentalComboAlgorithm : QCAlgorithm
+    {
+        private const int NumberOfSymbolsCoarse = 5;
+        private const int NumberOfSymbolsFine = 2;
+
+        // initialize our changes to nothing
+        private SecurityChanges _changes = SecurityChanges.None;
+
+        public override void Initialize()
+        {
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            SetStartDate(2014, 04, 01);
+            SetEndDate(2014, 04, 30);
+            SetCash(50000);
+
+            // this add universe method accepts two parameters:
+            // - coarse selection function: accepts an IEnumerable<CoarseFundamental> and returns an IEnumerable<Symbol>
+            // - fine selection function: accepts an IEnumerable<FineFundamental> and returns an IEnumerable<Symbol>
+            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);
+                    Debug("Liquidated Stock: " + security.Symbol.Value);
+                }
+            }
+
+            // we want 50% allocation in each security in our universe
+            foreach (var security in _changes.AddedSecurities)
+            {
+                SetHoldings(security.Symbol, 0.5m);
+                Debug("Purchased Stock: " + security.Symbol.Value);
+            }
+
+            _changes = SecurityChanges.None;
+        }
+
+        // this event fires whenever we have changes to our universe
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            _changes = changes;
+
+            if (changes.AddedSecurities.Count > 0)
+            {
+                Debug("Securities added: " + string.Join(",", changes.AddedSecurities.Select(x => x.Symbol.Value)));
+            }
+            if (changes.RemovedSecurities.Count > 0)
+            {
+                Debug("Securities removed: " + string.Join(",", changes.RemovedSecurities.Select(x => x.Symbol.Value)));
+            }
+        }
+    }
+}