wehub-resource-sync
45 lines
2.3 KiB
Python
45 lines
2.3 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Test algorithm using 'QCAlgorithm.add_universe_selection(IUniverseSelectionModel)'
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### </summary>
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class AddUniverseSelectionModelAlgorithm(QCAlgorithm):
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def initialize(self):
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''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.set_start_date(2013,10,8) #Set Start Date
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self.set_end_date(2013,10,11) #Set End Date
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self.set_cash(100000) #Set Strategy Cash
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self.universe_settings.resolution = Resolution.DAILY
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# set algorithm framework models
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self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
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self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
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self.set_execution(ImmediateExecutionModel())
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self.set_universe_selection(ManualUniverseSelectionModel([ Symbol.create("SPY", SecurityType.EQUITY, Market.USA) ]))
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self.add_universe_selection(ManualUniverseSelectionModel([ Symbol.create("AAPL", SecurityType.EQUITY, Market.USA) ]))
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self.add_universe_selection(ManualUniverseSelectionModel(
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Symbol.create("SPY", SecurityType.EQUITY, Market.USA), # duplicate will be ignored
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Symbol.create("FB", SecurityType.EQUITY, Market.USA)))
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def on_end_of_algorithm(self):
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if self.universe_manager.count != 3:
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raise ValueError("Unexpected universe count")
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if self.universe_manager.active_securities.count != 3:
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raise ValueError("Unexpected active securities")
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