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 QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Brokerages;
+using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Basic template framework algorithm uses framework components to define the algorithm.
+    /// Liquid ETF Competition template
+    /// </summary>
+    /// <meta name="tag" content="competition" />
+    /// <meta name="tag" content="alpha stream" />
+    /// <meta name="tag" content="using quantconnect" />
+    public class LiquidETFUniverseFrameworkAlgorithm : QCAlgorithm
+    {
+        // List of symbols we want to trade. Set it in OnSecuritiesChanged
+        private readonly List<Symbol> _symbols = new List<Symbol>();
+
+        public override void Initialize()
+        {
+            // Set Start Date so that backtest has 5+ years of data
+            SetStartDate(2014, 11, 1);
+            // No need to set End Date as the final submission will be tested
+            // up until the review date
+
+            // Set $1m Strategy Cash to trade significant AUM
+            SetCash(1000000);
+
+            // Add a relevant benchmark, with the default being SPY
+            SetBenchmark("SPY");
+
+            // Use the Alpha Streams Brokerage Model, developed in conjunction with
+            // funds to model their actual fees, costs, etc.
+            // Please do not add any additional reality modelling, such as Slippage, Fees, Buying Power, etc.
+            SetBrokerageModel(new AlphaStreamsBrokerageModel());
+
+            // Use the LiquidETFUniverse with minute-resolution data
+            UniverseSettings.Resolution = Resolution.Minute;
+            SetUniverseSelection(new LiquidETFUniverse());
+
+            // Optional
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+            SetExecution(new ImmediateExecutionModel());
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (_symbols.All(x => Portfolio[x].Invested))
+            {
+                return;
+            }
+
+            var insights = _symbols.Where(x => Securities[x].Price > 0)
+                .Select(x => Insight.Price(x, TimeSpan.FromDays(1), InsightDirection.Up))
+                .ToArray();
+
+            if (insights.Length > 0)
+            {
+                EmitInsights(insights);
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            // Set symbols as the Inverse Energy ETFs
+            foreach (var security in changes.AddedSecurities)
+            {
+                if (LiquidETFUniverse.Energy.Inverse.Contains(security.Symbol))
+                {
+                    _symbols.Add(security.Symbol);
+                }
+            }
+
+            // Print out the information about the groups
+            Log($"Energy: {LiquidETFUniverse.Energy}");
+            Log($"Metals: {LiquidETFUniverse.Metals}");
+            Log($"Technology: {LiquidETFUniverse.Technology}");
+            Log($"Treasuries: {LiquidETFUniverse.Treasuries}");
+            Log($"Volatility: {LiquidETFUniverse.Volatility}");
+            Log($"SP500Sectors: {LiquidETFUniverse.SP500Sectors}");
+        }
+    }
+}