chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Linq;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Universe Selection Model that adds the following ETFs at their inception date
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/// </summary>
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public class LiquidETFUniverse : InceptionDateUniverseSelectionModel
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{
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/// <summary>
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/// Represents the Energy ETF Category which can be used to access the list of Long and Inverse symbols
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/// </summary>
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public static readonly Grouping Energy = new Grouping(
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new[]
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{
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"VDE", "USO", "XES", "XOP", "UNG", "ICLN", "ERX",
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"UCO", "AMJ", "BNO", "AMLP", "UGAZ", "TAN"
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},
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new[] {"ERY", "SCO", "DGAZ" }
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);
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/// <summary>
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/// Represents the Metals ETF Category which can be used to access the list of Long and Inverse symbols
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/// </summary>
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public static readonly Grouping Metals = new Grouping(
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new[] {"GLD", "IAU", "SLV", "GDX", "AGQ", "PPLT", "NUGT", "USLV", "UGLD", "JNUG"},
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new[] {"DUST", "JDST"}
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);
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/// <summary>
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/// Represents the Technology ETF Category which can be used to access the list of Long and Inverse symbols
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/// </summary>
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public static readonly Grouping Technology = new Grouping(
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new[] {"QQQ", "IGV", "QTEC", "FDN", "FXL", "TECL", "SOXL", "SKYY", "KWEB"},
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new[] {"TECS", "SOXS"}
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);
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/// <summary>
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/// Represents the Treasuries ETF Category which can be used to access the list of Long and Inverse symbols
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/// </summary>
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public static readonly Grouping Treasuries = new Grouping(
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new[]
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{
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"IEF", "SHY", "TLT", "IEI", "TLH", "BIL", "SPTL",
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"TMF", "SCHO", "SCHR", "SPTS", "GOVT"
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},
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new[] {"SHV", "TBT", "TBF", "TMV"}
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);
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/// <summary>
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/// Represents the Volatility ETF Category which can be used to access the list of Long and Inverse symbols
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/// </summary>
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public static readonly Grouping Volatility = new Grouping(
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new[] {"TVIX", "VIXY", "SPLV", "UVXY", "EEMV", "EFAV", "USMV"},
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new[] {"SVXY"}
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);
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/// <summary>
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/// Represents the SP500 Sectors ETF Category which can be used to access the list of Long and Inverse symbols
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/// </summary>
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public static readonly Grouping SP500Sectors = new Grouping(
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new[] {"XLB", "XLE", "XLF", "XLI", "XLK", "XLP", "XLU", "XLV", "XLY"},
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new string[0]
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);
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/// <summary>
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/// Initializes a new instance of the LiquidETFUniverse class
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/// </summary>
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public LiquidETFUniverse() :
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base(
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"qc-liquid-etf-basket",
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SP500Sectors
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.Concat(Energy)
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.Concat(Metals)
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.Concat(Technology)
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.Concat(Treasuries)
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.Concat(Volatility)
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// Convert the concatenated list of Symbol into a Dictionary of DateTime keyed by Symbol
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// For equities, Symbol.ID is the first date the security is traded.
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.ToDictionary(x => x.Value, x => x.ID.Date)
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)
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{
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}
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/// <summary>
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/// Represent a collection of ETF symbols that is grouped according to a given criteria
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/// </summary>
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public class Grouping : List<Symbol>
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{
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/// <summary>
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/// List of Symbols that follow the components direction
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/// </summary>
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public List<Symbol> Long { get; init; }
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/// <summary>
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/// List of Symbols that follow the components inverse direction
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/// </summary>
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public List<Symbol> Inverse { get; init; }
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/// <summary>
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/// Creates a new instance of <see cref="Grouping"/>.
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/// </summary>
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/// <param name="longTickers">List of tickers of ETFs that follows the components direction</param>
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/// <param name="inverseTickers">List of tickers of ETFs that follows the components inverse direction</param>
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public Grouping(IEnumerable<string> longTickers, IEnumerable<string> inverseTickers)
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{
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Long = longTickers.Select(x => Symbol.Create(x, SecurityType.Equity, Market.USA)).ToList();
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Inverse = inverseTickers.Select(x => Symbol.Create(x, SecurityType.Equity, Market.USA)).ToList();
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AddRange(Long);
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AddRange(Inverse);
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}
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/// <summary>
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/// Returns a string that represents the current object.
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/// </summary>
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/// <returns>
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/// A string that represents the current object.
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/// </returns>
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public override string ToString()
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{
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if (Count == 0)
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{
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return "No Symbols";
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}
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var longSymbols = Long.Count == 0
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? string.Empty
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: $" Long: {string.Join(",", Long.Select(x => x.Value))}";
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var inverseSymbols = Inverse.Count == 0
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? string.Empty
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: $" Inverse: {string.Join(",", Inverse.Select(x => x.Value))}";
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return $"{Count} symbols:{longSymbols}{inverseSymbols}";
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}
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}
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}
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}
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