wehub-resource-sync
96 lines
3.8 KiB
C#
96 lines
3.8 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;
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using System.Collections.Generic;
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using System.Linq;
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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.Data;
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using QuantConnect.Data.Fundamental;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class TachyonDynamicGearbox : QCAlgorithm
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{
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private int numberOfSymbols;
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private int numberOfSymbolsFine;
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private Queue<Symbol> queue;
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private int dequeueSize;
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public override void Initialize()
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{
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SetStartDate(2020, 9, 1);
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SetEndDate(2020, 9, 2);
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SetCash(100000);
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numberOfSymbols = 2000;
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numberOfSymbolsFine = 1000;
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SetUniverseSelection(new FineFundamentalUniverseSelectionModel(CoarseSelectionFunction, FineSelectionFunction));
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SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
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SetExecution(new ImmediateExecutionModel());
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queue = new Queue<Symbol>();
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dequeueSize = 100;
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AddEquity("SPY", Resolution.Minute);
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Schedule.On(DateRules.EveryDay("SPY"), TimeRules.At(0, 0), FillQueue);
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Schedule.On(DateRules.EveryDay("SPY"), TimeRules.Every(TimeSpan.FromMinutes(60)), TakeFromQueue);
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}
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public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
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{
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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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return sortedByDollarVolume.Take(numberOfSymbols).Select(x => x.Symbol);
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}
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public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)
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{
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var sortedByPeRatio = fine.OrderByDescending(x => x.ValuationRatios.PERatio);
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var topFine = sortedByPeRatio.Take(numberOfSymbolsFine);
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return topFine.Select(x => x.Symbol);
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}
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private void FillQueue() {
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var securities = ActiveSecurities.Values.Where(x => x.Fundamentals != null);
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// Fill queue with symbols sorted by PE ratio (decreasing order)
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queue.Clear();
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var sortedByPERatio = securities.OrderByDescending(x => x.Fundamentals.ValuationRatios.PERatio);
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foreach (Security security in sortedByPERatio)
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queue.Enqueue(security.Symbol);
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}
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private void TakeFromQueue() {
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List<Symbol> symbols = new List<Symbol>();
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for (int i = 0; i < Math.Min(dequeueSize, queue.Count); i++)
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symbols.Add(queue.Dequeue());
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History(symbols, 10, Resolution.Daily);
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Log("Symbols at " + Time + ": " + string.Join(", ", symbols.Select(x => x.ToString())));
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}
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}
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} |