wehub-resource-sync
50 lines
2.2 KiB
Python
50 lines
2.2 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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### Regression algorithm asserting the behavior of Universe.SELECTED collection
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### </summary>
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class UniverseSelectedRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2014, 3, 25)
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self.set_end_date(2014, 3, 27)
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self.universe_settings.resolution = Resolution.DAILY
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self._universe = self.add_universe(self.selection_function)
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self.selection_count = 0
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def selection_function(self, fundamentals):
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sorted_by_dollar_volume = sorted(fundamentals, key=lambda x: x.dollar_volume, reverse=True)
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sorted_by_dollar_volume = sorted_by_dollar_volume[self.selection_count:]
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self.selection_count = self.selection_count + 1
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# return the symbol objects of the top entries from our sorted collection
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return [ x.symbol for x in sorted_by_dollar_volume[:self.selection_count] ]
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def on_data(self, data):
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if Symbol.create("TSLA", SecurityType.EQUITY, Market.USA) in self._universe.selected:
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raise ValueError(f"TSLA shouldn't of been selected")
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self.buy(next(iter(self._universe.selected)), 1)
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def on_end_of_algorithm(self):
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if self.selection_count != 3:
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raise ValueError(f"Unexpected selection count {self.selection_count}")
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if self._universe.selected.count != 3 or self._universe.selected.count == self._universe.members.count:
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raise ValueError(f"Unexpected universe selected count {self._universe.selected.count}")
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