wehub-resource-sync
87 lines
3.6 KiB
Python
87 lines
3.6 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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import base64
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### <summary>
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### In this algorithm we show how you can easily use the universe selection feature to fetch symbols
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### to be traded using the BaseData custom data system in combination with the AddUniverse{T} method.
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### AddUniverse{T} requires a function that will return the symbols to be traded.
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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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class DropboxUniverseSelectionAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_start_date(2017, 7, 4)
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self.set_end_date(2018, 7, 4)
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self._backtest_symbols_per_day = {}
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self._current_universe = []
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self.universe_settings.resolution = Resolution.DAILY
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# Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
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# Commented so regression algorithm is more sensitive
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#self.settings.minimum_order_margin_portfolio_percentage = 0.005
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self.add_universe("my-dropbox-universe", self.selector)
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def selector(self, date: datetime) -> list[str]:
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# handle live mode file format
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if self.live_mode:
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# fetch the file from dropbox
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str = self.download("https://www.dropbox.com/s/2l73mu97gcehmh7/daily-stock-picker-live.csv?dl=1")
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# if we have a file for today, return symbols, else leave universe unchanged
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self._current_universe = str.split(',') if len(str) > 0 else self._current_universe
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return self._current_universe
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# backtest - first cache the entire file
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if len(self._backtest_symbols_per_day) == 0:
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# No need for headers for authorization with dropbox, these two lines are for example purposes
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byte_key = base64.b64encode("UserName:Password".encode('ASCII'))
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# The headers must be passed to the Download method as dictionary
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headers = { 'Authorization' : f'Basic ({byte_key.decode("ASCII")})' }
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str = self.download("https://www.dropbox.com/s/ae1couew5ir3z9y/daily-stock-picker-backtest.csv?dl=1", headers)
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for line in str.splitlines():
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data = line.split(',')
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self._backtest_symbols_per_day[data[0]] = data[1:]
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index = date.strftime("%Y%m%d")
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self._current_universe = self._backtest_symbols_per_day.get(index, self._current_universe)
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return self._current_universe
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def on_data(self, slice: Slice) -> None:
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if slice.bars.count == 0:
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return
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if not self._changes:
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return
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# start fresh
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self.liquidate()
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percentage = 1 / slice.bars.count
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for trade_bar in slice.bars.values():
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self.set_holdings(trade_bar.symbol, percentage)
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# reset changes
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self._changes = None
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def on_securities_changed(self, changes: SecurityChanges) -> None:
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self._changes = changes
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