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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from clr import AddReference
AddReference("System.Core")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data.UniverseSelection import *
class CoarseFundamentalTop5Algorithm(QCAlgorithm):
'''In this algorithm we demonstrate how to use the coarse fundamental data to define a universe as the top dollar volume'''
def __init__(self):
self.__numberOfSymbols = 5
self.__changes = SecurityChanges.None
# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
def CoarseSelectionFunction(self, coarse):
# sort descending by daily dollar volume
sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
# return the symbol objects of the top entries from our sorted collection
top5 = sortedByDollarVolume[:self.__numberOfSymbols]
# we need to return only the symbol objects
return [x.Symbol for x in top5]
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2014,01,01) #Set Start Date
self.SetEndDate(2015,01,01) #Set End Date
self.SetCash(50000) #Set Strategy Cash
self.UniverseSettings.Resolution = Resolution.Daily
# this add universe method accepts a single parameter that is a function that
# accepts an IEnumerable<CoarseFundamental> and returns IEnumerable<Symbol>
self.AddUniverse(self.CoarseSelectionFunction)
# Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
def OnData(self, data):
# if we have no changes, do nothing
if self.__changes == SecurityChanges.None: return
# liquidate removed securities
for security in self.__changes.RemovedSecurities:
if security.Invested:
self.Liquidate(security.Symbol)
# we want 20% allocation in each security in our universe
for security in self.__changes.AddedSecurities:
self.SetHoldings(security.Symbol, Decimal(0.2))
self.__changes = SecurityChanges.None;
# this event fires whenever we have changes to our universe
def OnSecuritiesChanged(self, changes):
self.__changes = changes