wehub-resource-sync
61 lines
2.4 KiB
Python
61 lines
2.4 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### This algorithm shows some of the various helper methods available when defining universes
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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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class UniverseSelectionDefinitionsAlgorithm(QCAlgorithm):
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def initialize(self):
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# subscriptions added via universe selection will have this resolution
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self.universe_settings.resolution = Resolution.DAILY
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self.set_start_date(2014,3,24) # Set Start Date
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self.set_end_date(2014,3,28) # Set End Date
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self.set_cash(100000) # Set Strategy Cash
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# add universe for the top 3 stocks by dollar volume
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self.add_universe(self.universe.top(3))
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self.changes = None
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self.on_securities_changed_was_called = False
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def on_data(self, data):
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if self.changes is None: return
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# liquidate securities that fell out of our universe
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for security in self.changes.removed_securities:
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if security.invested:
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self.liquidate(security.symbol)
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# invest in securities just added to our universe
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for security in self.changes.added_securities:
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if not security.invested:
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self.market_order(security.symbol, 10)
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self.changes = None
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# this event fires whenever we have changes to our universe
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def on_securities_changed(self, changes):
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self.changes = changes
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self.on_securities_changed_was_called = True
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def on_end_of_algorithm(self):
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if not self.on_securities_changed_was_called:
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raise AssertionError("OnSecuritiesChanged() method was never called!")
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