wehub-resource-sync
57 lines
2.3 KiB
C#
57 lines
2.3 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;
|
|
using System.Collections.Generic;
|
|
using System.Linq;
|
|
using MathNet.Numerics.Statistics;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
|
|
namespace QuantConnect.Algorithm
|
|
{
|
|
/// <summary>
|
|
/// Provides helpers for defining universes based on the daily dollar volume
|
|
/// </summary>
|
|
public class DollarVolumeUniverseDefinitions
|
|
{
|
|
private readonly QCAlgorithm _algorithm;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="DollarVolumeUniverseDefinitions"/> class
|
|
/// </summary>
|
|
/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
|
|
public DollarVolumeUniverseDefinitions(QCAlgorithm algorithm)
|
|
{
|
|
_algorithm = algorithm;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a new coarse <see cref="Universe"/> that contains the top count of stocks
|
|
/// by daily dollar volume
|
|
/// </summary>
|
|
/// <param name="count">The number of stock to select</param>
|
|
/// <param name="universeSettings">The settings for stocks added by this universe.
|
|
/// Defaults to <see cref="QCAlgorithm.UniverseSettings"/></param>
|
|
/// <returns>A new coarse universe for the top count of stocks by dollar volume</returns>
|
|
[Obsolete("This method is deprecated. Use method `Universe.Top(...)` instead")]
|
|
public Universe Top(int count, UniverseSettings universeSettings = null)
|
|
{
|
|
return _algorithm.Universe.Top(count, universeSettings);
|
|
}
|
|
}
|
|
}
|