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.Portfolio;
+using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This algorithm sends an array of current portfolio targets to Numerai API
+    /// every time the ema indicators crosses between themselves. 
+    /// See (https://docs.numer.ai/numerai-signals/signals-overview) for more information
+    /// about accepted symbols, signals, etc.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="using quantconnect" />
+    /// <meta name="tag" content="securities and portfolio" />
+    public class NumeraiSignalExportDemonstrationAlgorithm : QCAlgorithm
+    {
+        private readonly List<Security> _securities = new();
+        private Symbol _etfSymbol;
+        public override void Initialize()
+        {
+            SetStartDate(2020, 10, 7);   // Set Start Date
+            SetEndDate(2020, 10, 12);    // Set End Date
+            SetCash(100000);             // Set Strategy Cash
+
+            SetSecurityInitializer(new BrokerageModelSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));
+
+            // Add the CRSP US Total Market Index constituents, which represents approximately 100% of the investable US Equity market
+            _etfSymbol = AddEquity("VTI").Symbol;
+            AddUniverse(Universe.ETF(_etfSymbol));
+
+            // Create a Scheduled Event to submit signals every trading day at 13:00 UTC
+            Schedule.On(DateRules.EveryDay(_etfSymbol), TimeRules.At(13, 0, TimeZones.Utc), SubmitSignals);
+
+            // Add the Numerai signal export provider
+            // Numerai Public ID: This value is provided by Numerai Signals in their main webpage once you've logged in
+            // and created a API key. See (https://signals.numer.ai/account)
+            var numeraiPublicId = "";
+
+            // Numerai Secret ID: This value is provided by Numerai Signals in their main webpage once you've logged in
+            // and created a API key. See (https://signals.numer.ai/account)
+            var numeraiSecretId = "";
+
+            // Numerai Model ID: This value is provided by Numerai Signals in their main webpage once you've logged in
+            // and created a model. See (https://signals.numer.ai/models)
+            var numeraiModelId = "";
+
+            var numeraiFilename = ""; // (Optional) Replace this value with your submission filename 
+
+            // Disable automatic exports as we manually set them
+            SignalExport.AutomaticExportTimeSpan = null;
+
+            // Set Numerai signal export provider
+            SignalExport.AddSignalExportProvider(new NumeraiSignalExport(numeraiPublicId, numeraiSecretId, numeraiModelId, numeraiFilename));
+        }
+
+        public void SubmitSignals()
+        {
+            // Select the subset of ETF constituents we can trade
+            var symbols = _securities.Where(security => security.HasData)
+                            .Select(security => security.Symbol)
+                            .OrderBy(symbol => symbol)
+                            .ToList();
+            if (symbols.Count == 0)
+            {
+                return;
+            }
+
+            // Get historical data
+            // var history = History(symbols, 22, Resolution.Daily);
+
+            // Create portfolio targets
+            //  Numerai requires that at least one of the signals have a unique weight
+            //  To ensure they are all unique, this demo gives a linear allocation to each symbol (ie. 1/55, 2/55, ..., 10/55)
+            var denominator = symbols.Count * (symbols.Count + 1) / 2.0m; // sum of 1, 2, ..., symbols.Count
+            var targets = symbols.Select((symbol, i) => new PortfolioTarget(symbol, (i + 1) / denominator)).ToList();
+
+            // (Optional) Place trades
+            SetHoldings(targets);
+
+            // Send signals to Numerai
+            var success = SignalExport.SetTargetPortfolio(targets.ToArray());
+            if (!success)
+            {
+                Debug($"Couldn't send targets at {Time}");
+            }
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach (var security in changes.RemovedSecurities)
+            {
+                if (_securities.Contains(security))
+                {
+                    _securities.Remove(security);
+                }
+            }
+
+            foreach (var security in changes.AddedSecurities)
+            {
+                if (security.Symbol != _etfSymbol)
+                {
+                    _securities.Add(security);
+                }
+            }
+        }
+    }
+}