wehub-resource-sync
105 lines
4.0 KiB
C#
105 lines
4.0 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.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using System;
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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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/// Basic template framework algorithm uses framework components to define the algorithm.
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/// Liquid ETF Competition template
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/// </summary>
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/// <meta name="tag" content="competition" />
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/// <meta name="tag" content="alpha stream" />
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/// <meta name="tag" content="using quantconnect" />
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public class LiquidETFUniverseFrameworkAlgorithm : QCAlgorithm
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{
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// List of symbols we want to trade. Set it in OnSecuritiesChanged
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private readonly List<Symbol> _symbols = new List<Symbol>();
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public override void Initialize()
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{
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// Set Start Date so that backtest has 5+ years of data
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SetStartDate(2014, 11, 1);
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// No need to set End Date as the final submission will be tested
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// up until the review date
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// Set $1m Strategy Cash to trade significant AUM
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SetCash(1000000);
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// Add a relevant benchmark, with the default being SPY
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SetBenchmark("SPY");
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// Use the Alpha Streams Brokerage Model, developed in conjunction with
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// funds to model their actual fees, costs, etc.
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// Please do not add any additional reality modelling, such as Slippage, Fees, Buying Power, etc.
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SetBrokerageModel(new AlphaStreamsBrokerageModel());
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// Use the LiquidETFUniverse with minute-resolution data
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UniverseSettings.Resolution = Resolution.Minute;
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SetUniverseSelection(new LiquidETFUniverse());
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// Optional
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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SetExecution(new ImmediateExecutionModel());
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}
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public override void OnData(Slice slice)
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{
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if (_symbols.All(x => Portfolio[x].Invested))
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{
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return;
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}
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var insights = _symbols.Where(x => Securities[x].Price > 0)
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.Select(x => Insight.Price(x, TimeSpan.FromDays(1), InsightDirection.Up))
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.ToArray();
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if (insights.Length > 0)
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{
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EmitInsights(insights);
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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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// Set symbols as the Inverse Energy ETFs
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foreach (var security in changes.AddedSecurities)
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{
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if (LiquidETFUniverse.Energy.Inverse.Contains(security.Symbol))
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{
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_symbols.Add(security.Symbol);
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}
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}
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// Print out the information about the groups
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Log($"Energy: {LiquidETFUniverse.Energy}");
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Log($"Metals: {LiquidETFUniverse.Metals}");
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Log($"Technology: {LiquidETFUniverse.Technology}");
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Log($"Treasuries: {LiquidETFUniverse.Treasuries}");
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Log($"Volatility: {LiquidETFUniverse.Volatility}");
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Log($"SP500Sectors: {LiquidETFUniverse.SP500Sectors}");
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}
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}
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} |