chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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.Collections.Generic;
+using System.Linq;
+using QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Data;
+using QuantConnect.Data.Fundamental;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class TachyonDynamicGearbox : QCAlgorithm
+    {
+        private int numberOfSymbols;
+        private int numberOfSymbolsFine;
+        private Queue<Symbol> queue;
+        private int dequeueSize;
+        
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 9, 1);
+            SetEndDate(2020, 9, 2);
+            SetCash(100000);
+            
+            numberOfSymbols = 2000;
+            numberOfSymbolsFine = 1000;
+            SetUniverseSelection(new FineFundamentalUniverseSelectionModel(CoarseSelectionFunction, FineSelectionFunction));
+            
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+            
+            SetExecution(new ImmediateExecutionModel());
+            
+            queue = new Queue<Symbol>();
+            dequeueSize = 100;
+            
+            AddEquity("SPY", Resolution.Minute);
+            Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(0, 0), FillQueue);
+            Schedule.On(DateRules.EveryDay("SPY"), TimeRules.Every(TimeSpan.FromMinutes(60)), TakeFromQueue);
+        }
+
+        public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
+        {
+            var sortedByDollarVolume = coarse
+                .Where(x => x.HasFundamentalData)
+                .OrderByDescending(x => x.DollarVolume);
+            return sortedByDollarVolume.Take(numberOfSymbols).Select(x => x.Symbol);
+        }
+        
+        public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)
+        {
+            
+            var sortedByPeRatio = fine.OrderByDescending(x => x.ValuationRatios.PERatio);
+            var topFine = sortedByPeRatio.Take(numberOfSymbolsFine);
+            return topFine.Select(x => x.Symbol);
+        }
+        
+        private void FillQueue() {
+            var securities = ActiveSecurities.Values.Where(x => x.Fundamentals != null);
+            
+            // Fill queue with symbols sorted by PE ratio (decreasing order)
+            queue.Clear();
+            var sortedByPERatio = securities.OrderByDescending(x => x.Fundamentals.ValuationRatios.PERatio);
+            foreach (Security security in sortedByPERatio)
+                queue.Enqueue(security.Symbol);
+        }
+        
+        private void TakeFromQueue() {
+            List<Symbol> symbols = new List<Symbol>();
+            for (int i = 0; i < Math.Min(dequeueSize, queue.Count); i++)
+                symbols.Add(queue.Dequeue());
+            History(symbols, 10, Resolution.Daily);
+            
+            Log("Symbols at " + Time + ": " + string.Join(", ", symbols.Select(x => x.ToString())));
+        }
+    }
+}