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 *
+
+### <summary>
+### This example algorithm defines its own custom coarse/fine fundamental selection model
+### with sector weighted portfolio.
+### </summary>
+class SectorWeightingFrameworkAlgorithm(QCAlgorithm):
+    '''This example algorithm defines its own custom coarse/fine fundamental selection model
+    with sector weighted portfolio.'''
+
+    def initialize(self):
+
+        # Set requested data resolution
+        self.universe_settings.resolution = Resolution.DAILY
+
+        self.set_start_date(2014, 4, 2)
+        self.set_end_date(2014, 4, 6)
+        self.set_cash(100000)
+
+        # set algorithm framework models
+        self.set_universe_selection(FineFundamentalUniverseSelectionModel(self.select_coarse, self.select_fine))
+        self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(1)))
+        self.set_portfolio_construction(SectorWeightingPortfolioConstructionModel())
+
+    def on_order_event(self, order_event):
+        if order_event.status == OrderStatus.FILLED:
+            self.debug(f"Order event: {order_event}. Holding value: {self.securities[order_event.symbol].holdings.absolute_holdings_value}")
+
+    def select_coarse(self, coarse):
+        # IndustryTemplateCode of AAPL, IBM and GOOG is N, AIG is I, BAC is B. SPY have no fundamentals
+        tickers = ["AAPL", "AIG", "IBM"] if self.time.date() < date(2014, 4, 4) else [ "GOOG", "BAC", "SPY" ]
+        return [Symbol.create(x, SecurityType.EQUITY, Market.USA) for x in tickers]
+
+    def select_fine(self, fine):
+        return [f.symbol for f in fine]