wehub-resource-sync
86 lines
2.8 KiB
C#
86 lines
2.8 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 System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp.Benchmarks
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{
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public class StatefulCoarseUniverseSelectionBenchmark : QCAlgorithm
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{
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private const int NumberOfSymbolsCoarse = 250;
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private readonly List<Symbol> _blackList = new List<Symbol>();
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public override void Initialize()
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{
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UniverseSettings.Resolution = Resolution.Daily;
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SetStartDate(2017, 1, 01);
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SetEndDate(2019, 1, 01);
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SetCash(50000);
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AddUniverse(CoarseSelectionFunction);
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}
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public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
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{
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// select only symbols with fundamental data and sort descending by daily dollar volume
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var sortedByDollarVolume = coarse
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.Where(x => x.HasFundamentalData)
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.OrderByDescending(x => x.DollarVolume);
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var top = sortedByDollarVolume
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.Where(fundamental => !_blackList.Contains(fundamental.Symbol))
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.Take(NumberOfSymbolsCoarse);
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// we need to return only the symbol objects
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return top.Select(x => x.Symbol);
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}
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public override void OnData(Slice slice)
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{
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if (slice.HasData)
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{
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var symbol = slice.Keys.FirstOrDefault();
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if (symbol != null)
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{
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if (_blackList.Count > 50)
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{
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_blackList.RemoveAt(0);
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}
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_blackList.Add(symbol);
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}
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}
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}
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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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foreach (var security in changes.AddedSecurities)
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{
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SetHoldings(security.Symbol, 0.001m);
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}
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}
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}
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}
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