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.Data.UniverseSelection;
+using QuantConnect.Orders;
+using QuantConnect.Orders.Fees;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// In this algorithm we demonstrate how to use the coarse fundamental data to
+    /// define a universe as the top dollar volume and set the algorithm to use
+    /// raw prices
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="universes" />
+    /// <meta name="tag" content="coarse universes" />
+    /// <meta name="tag" content="regression test" />
+    public class RawPricesCoarseUniverseAlgorithm : QCAlgorithm
+    {
+        private const int NumberOfSymbols = 5;
+
+        public override void Initialize()
+        {
+            // what resolution should the data *added* to the universe be?
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            SetStartDate(2014, 01, 01);
+            SetEndDate(2015, 01, 01);
+            SetCash(50000);
+
+            // Set the security initializer with the characteristics defined in CustomSecurityInitializer
+            SetSecurityInitializer(CustomSecurityInitializer);
+
+            // this add universe method accepts a single parameter that is a function that
+            // accepts an IEnumerable<CoarseFundamental> and returns IEnumerable<Symbol>
+            AddUniverse(CoarseSelectionFunction);
+        }
+
+        /// <summary>
+        /// Initialize the security with raw prices and zero fees 
+        /// </summary>
+        /// <param name="security">Security which characteristics we want to change</param>
+        private void CustomSecurityInitializer(Security security)
+        {
+            security.SetDataNormalizationMode(DataNormalizationMode.Raw);
+            security.SetFeeModel(new ConstantFeeModel(0));
+        }
+
+        // sort the data by daily dollar volume and take the top 'NumberOfSymbols'
+        public static IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
+        {
+            // sort descending by daily dollar volume
+            var sortedByDollarVolume = coarse.OrderByDescending(x => x.DollarVolume);
+
+            // take the top entries from our sorted collection
+            var top5 = sortedByDollarVolume.Take(NumberOfSymbols);
+
+            // we need to return only the symbol objects
+            return top5.Select(x => x.Symbol);
+        }
+
+        // this event fires whenever we have changes to our universe
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach (var security in changes.RemovedSecurities)
+            {
+                if (security.Invested)
+                {
+                    Liquidate(security.Symbol);
+                }
+            }
+
+            // we want 20% allocation in each security in our universe
+            foreach (var security in changes.AddedSecurities)
+            {
+                SetHoldings(security.Symbol, 0.2m);
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                Log($"OnOrderEvent({UtcTime:o}):: {orderEvent}");
+            }
+        }
+    }
+}