wehub-resource-sync
73 lines
2.4 KiB
C#
73 lines
2.4 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 QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm shows how you can handle universe selection in anyway you like,
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/// at any time you like. This algorithm has a list of 10 stocks that it rotates
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/// through every hour.
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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="custom universes" />
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public class UserDefinedUniverseAlgorithm : QCAlgorithm
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{
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private static readonly IReadOnlyList<string> Symbols = new List<string>
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{
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"SPY", "GOOG", "IBM", "AAPL", "MSFT", "CSCO", "ADBE", "WMT",
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};
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public override void Initialize()
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{
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UniverseSettings.Resolution = Resolution.Hour;
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SetStartDate(2015, 01, 01);
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SetEndDate(2015, 12, 01);
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AddUniverse("my-universe-name", Resolution.Hour, time =>
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{
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var hour = time.Hour;
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var index = hour%Symbols.Count;
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return new List<string> {Symbols[index]};
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});
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}
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public override void OnData(Slice slice)
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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 removed in changes.RemovedSecurities)
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{
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if (removed.Invested)
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{
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Liquidate(removed.Symbol);
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}
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}
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foreach (var added in changes.AddedSecurities)
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{
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SetHoldings(added.Symbol, 1/(decimal)changes.AddedSecurities.Count);
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}
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}
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}
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}
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