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.
+
+from AlgorithmImports import *
+import base64
+
+### <summary>
+### In this algorithm we show how you can easily use the universe selection feature to fetch symbols
+### to be traded using the BaseData custom data system in combination with the AddUniverse{T} method.
+### AddUniverse{T} requires a function that will return the symbols to be traded.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="universes" />
+### <meta name="tag" content="custom universes" />
+class DropboxUniverseSelectionAlgorithm(QCAlgorithm):
+
+    def initialize(self) -> None:
+        self.set_start_date(2017, 7, 4)
+        self.set_end_date(2018, 7, 4)
+
+        self._backtest_symbols_per_day = {}
+        self._current_universe = []
+
+        self.universe_settings.resolution = Resolution.DAILY
+
+        # Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
+        # Commented so regression algorithm is more sensitive
+        #self.settings.minimum_order_margin_portfolio_percentage = 0.005
+
+        self.add_universe("my-dropbox-universe", self.selector)
+
+    def selector(self, date: datetime) -> list[str]:
+        # handle live mode file format
+        if self.live_mode:
+            # fetch the file from dropbox
+            str = self.download("https://www.dropbox.com/s/2l73mu97gcehmh7/daily-stock-picker-live.csv?dl=1")
+            # if we have a file for today, return symbols, else leave universe unchanged
+            self._current_universe = str.split(',') if len(str) > 0 else self._current_universe
+            return self._current_universe
+
+        # backtest - first cache the entire file
+        if len(self._backtest_symbols_per_day) == 0:
+
+            # No need for headers for authorization with dropbox, these two lines are for example purposes 
+            byte_key = base64.b64encode("UserName:Password".encode('ASCII'))
+            # The headers must be passed to the Download method as dictionary
+            headers = { 'Authorization' : f'Basic ({byte_key.decode("ASCII")})' }
+
+            str = self.download("https://www.dropbox.com/s/ae1couew5ir3z9y/daily-stock-picker-backtest.csv?dl=1", headers)
+            for line in str.splitlines():
+                data = line.split(',')
+                self._backtest_symbols_per_day[data[0]] = data[1:]
+
+        index = date.strftime("%Y%m%d")
+        self._current_universe = self._backtest_symbols_per_day.get(index, self._current_universe)
+
+        return self._current_universe
+
+    def on_data(self, slice: Slice) -> None:
+        if slice.bars.count == 0:
+            return
+        if not self._changes:
+            return
+
+        # start fresh
+        self.liquidate()
+
+        percentage = 1 / slice.bars.count
+        for trade_bar in slice.bars.values():
+            self.set_holdings(trade_bar.symbol, percentage)
+
+        # reset changes
+        self._changes = None
+
+    def on_securities_changed(self, changes: SecurityChanges) -> None:
+        self._changes = changes