wehub-resource-sync
104 lines
3.9 KiB
C#
104 lines
3.9 KiB
C#
/*
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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 QuantConnect.Data.UniverseSelection;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// In this algorithm we demonstrate how to use the coarse fundamental data to
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/// define a universe as the top dollar volume and set the algorithm to use
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/// raw prices
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="universes" />
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/// <meta name="tag" content="coarse universes" />
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/// <meta name="tag" content="regression test" />
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public class RawPricesCoarseUniverseAlgorithm : QCAlgorithm
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{
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private const int NumberOfSymbols = 5;
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public override void Initialize()
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{
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// what resolution should the data *added* to the universe be?
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UniverseSettings.Resolution = Resolution.Daily;
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SetStartDate(2014, 01, 01);
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SetEndDate(2015, 01, 01);
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SetCash(50000);
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// Set the security initializer with the characteristics defined in CustomSecurityInitializer
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SetSecurityInitializer(CustomSecurityInitializer);
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// this add universe method accepts a single parameter that is a function that
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// accepts an IEnumerable<CoarseFundamental> and returns IEnumerable<Symbol>
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AddUniverse(CoarseSelectionFunction);
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}
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/// <summary>
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/// Initialize the security with raw prices and zero fees
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/// </summary>
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/// <param name="security">Security which characteristics we want to change</param>
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private void CustomSecurityInitializer(Security security)
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{
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security.SetDataNormalizationMode(DataNormalizationMode.Raw);
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security.SetFeeModel(new ConstantFeeModel(0));
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}
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// sort the data by daily dollar volume and take the top 'NumberOfSymbols'
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public static IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
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{
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// sort descending by daily dollar volume
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var sortedByDollarVolume = coarse.OrderByDescending(x => x.DollarVolume);
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// take the top entries from our sorted collection
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var top5 = sortedByDollarVolume.Take(NumberOfSymbols);
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// we need to return only the symbol objects
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return top5.Select(x => x.Symbol);
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}
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// this event fires whenever we have changes to our universe
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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foreach (var security in changes.RemovedSecurities)
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{
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if (security.Invested)
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{
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Liquidate(security.Symbol);
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}
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}
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// we want 20% allocation in each security in our universe
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foreach (var security in changes.AddedSecurities)
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{
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SetHoldings(security.Symbol, 0.2m);
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status == OrderStatus.Filled)
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{
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Log($"OnOrderEvent({UtcTime:o}):: {orderEvent}");
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}
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}
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}
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} |