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;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm shows how to grab symbols from an external api each day
+    /// and load data using the universe selection feature. In this example we
+    /// define a custom data type for the NYSE top gainers and then short the
+    /// top 2 gainers each day
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="universes" />
+    /// <meta name="tag" content="custom universes" />
+    public class CustomDataUniverseAlgorithm : QCAlgorithm
+    {
+        private SecurityChanges _changes;
+
+        public override void Initialize()
+        {
+            // Data ADDED via universe selection is added with Daily resolution.
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            SetStartDate(2015, 01, 05);
+            SetEndDate(2015, 07, 01);
+
+            SetCash(100000);
+
+            AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
+            SetBenchmark("SPY");
+
+            // add a custom universe data source (defaults to usa-equity)
+            AddUniverse<NyseTopGainers>("universe-nyse-top-gainers", Resolution.Daily, data =>
+            {
+                // define our selection criteria
+                return from NyseTopGainers d in data
+                       // pick top 2 gainers to bet against
+                       where d.TopGainersRank <= 2
+                       select d.Symbol;
+            });
+        }
+
+        public override void OnData(Slice slice)
+        {
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            _changes = changes;
+
+            foreach (var security in changes.RemovedSecurities)
+            {
+                // liquidate securities that have been removed
+                if (security.Invested)
+                {
+                    Liquidate(security.Symbol);
+                    Log("Exit " + security.Symbol + " at " + security.Close);
+                }
+            }
+
+            foreach (var security in changes.AddedSecurities)
+            {
+                // enter short positions on new securities
+                if (!security.Invested && security.Close != 0)
+                {
+                    var qty = CalculateOrderQuantity(security.Symbol, -0.25m);
+                    MarketOnOpenOrder(security.Symbol, qty);
+                    Log("Enter  " + security.Symbol + " at " + security.Close);
+                }
+            }
+        }
+
+        /// <summary>
+        /// Custom data type that uses the wall street journal's top 100 nyse gainers
+        /// html page as a live data source, and a csv file that contains the top 10
+        /// nyse gainers since the beginning of 2009 until 2015/10/19
+        /// </summary>
+        public class NyseTopGainers : BaseData
+        {
+            public int TopGainersRank { get; set; }
+
+            public override DateTime EndTime
+            {
+                // define end time as exactly 1 day after Time
+                get { return Time + QuantConnect.Time.OneDay; }
+                set { Time = value - QuantConnect.Time.OneDay; }
+            }
+
+            private int _count;
+            private DateTime _lastDate;
+            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+            {
+                if (isLiveMode)
+                {
+                    // this is actually an html file, we'll handle the parsing accordingly
+                    return new SubscriptionDataSource(@"http://www.wsj.com/mdc/public/page/2_3021-gainnyse-gainer.html", SubscriptionTransportMedium.RemoteFile);
+                }
+
+                // this has data from 2009.01.01 to 2015.10.19 for top 10 nyse gainers
+                return new SubscriptionDataSource(@"https://www.dropbox.com/s/vrn3p38qberw3df/nyse-gainers.csv?dl=1", SubscriptionTransportMedium.RemoteFile);
+            }
+
+            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+            {
+                if (!isLiveMode)
+                {
+                    // backtest gets data from csv file in dropbox
+                    var csv = line.Split(',');
+                    return new NyseTopGainers
+                    {
+                        Time = DateTime.ParseExact(csv[0], "yyyyMMdd", null),
+                        Symbol = Symbol.Create(csv[1], SecurityType.Equity, Market.USA),
+                        TopGainersRank = Parse.Int(csv[2])
+                    };
+                }
+
+                if (_lastDate != date)
+                {
+                    // reset our counter for the new day
+                    _lastDate = date;
+                    _count = 0;
+                }
+
+                // parse the html into a symbol
+
+                if (!line.StartsWith(@"<a href=""/public/quotes/main.html?symbol="))
+                {
+                    // we're only looking for lines that contain the symbols
+                    return null;
+                }
+
+                var lastCloseParen = line.LastIndexOf(")", StringComparison.Ordinal);
+                var lastOpenParen = line.LastIndexOf("(", StringComparison.Ordinal);
+                if (lastOpenParen == -1 || lastCloseParen == -1)
+                {
+                    return null;
+                }
+
+                var symbolString = line.Substring(lastOpenParen + 1, lastCloseParen - lastOpenParen - 1);
+                return new NyseTopGainers
+                {
+                    Symbol = Symbol.Create(symbolString, SecurityType.Equity, Market.USA),
+                    Time = date,
+                    // the html has these in order, so we'll keep incrementing until a new day
+                    TopGainersRank = ++_count
+                };
+            }
+        }
+    }
+}