wehub-resource-sync
103 lines
3.6 KiB
C#
103 lines
3.6 KiB
C#
/*
|
|
* 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.Collections.Generic;
|
|
using System.Linq;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.Fundamental;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp.Benchmarks
|
|
{
|
|
|
|
public class CoarseFineUniverseSelectionBenchmark : QCAlgorithm
|
|
{
|
|
private const int NumberOfSymbolsCoarse = 150;
|
|
private const int NumberOfSymbolsFine = 40;
|
|
|
|
private SecurityChanges _changes = SecurityChanges.None;
|
|
|
|
public override void Initialize()
|
|
{
|
|
UniverseSettings.Resolution = Resolution.Minute;
|
|
|
|
SetStartDate(2017, 11, 01);
|
|
SetEndDate(2018, 3, 01);
|
|
SetCash(50000);
|
|
|
|
AddUniverse(CoarseSelectionFunction, FineSelectionFunction);
|
|
}
|
|
|
|
// sort the data by daily dollar volume and take the top 'NumberOfSymbolsCoarse'
|
|
public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
|
|
{
|
|
// select only symbols with fundamental data and sort descending by daily dollar volume
|
|
var sortedByDollarVolume = coarse
|
|
.Where(x => x.HasFundamentalData)
|
|
.OrderByDescending(x => x.DollarVolume);
|
|
|
|
// take the top entries from our sorted collection
|
|
var top5 = sortedByDollarVolume.Take(NumberOfSymbolsCoarse);
|
|
|
|
// we need to return only the symbol objects
|
|
return top5.Select(x => x.Symbol);
|
|
}
|
|
|
|
// sort the data by P/E ratio and take the top 'NumberOfSymbolsFine'
|
|
public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)
|
|
{
|
|
// sort descending by P/E ratio
|
|
var sortedByPeRatio = fine.OrderByDescending(x => x.ValuationRatios.PERatio);
|
|
|
|
// take the top entries from our sorted collection
|
|
var topFine = sortedByPeRatio.Take(NumberOfSymbolsFine);
|
|
|
|
// we need to return only the symbol objects
|
|
return topFine.Select(x => x.Symbol);
|
|
}
|
|
|
|
//Data Event Handler: New data arrives here.
|
|
public override void OnData(Slice slice)
|
|
{
|
|
// if we have no changes, do nothing
|
|
if (_changes == SecurityChanges.None) return;
|
|
|
|
// liquidate removed securities
|
|
foreach (var security in _changes.RemovedSecurities)
|
|
{
|
|
if (security.Invested)
|
|
{
|
|
Liquidate(security.Symbol);
|
|
}
|
|
}
|
|
|
|
// we want allocation in each security in our universe
|
|
foreach (var security in _changes.AddedSecurities)
|
|
{
|
|
SetHoldings(security.Symbol, 0.02m);
|
|
}
|
|
|
|
_changes = SecurityChanges.None;
|
|
}
|
|
|
|
// this event fires whenever we have changes to our universe
|
|
public override void OnSecuritiesChanged(SecurityChanges changes)
|
|
{
|
|
_changes = changes;
|
|
}
|
|
}
|
|
}
|