/* * 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. */ using System.Collections.Generic; using System.Linq; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; namespace QuantConnect.Algorithm.CSharp.Benchmarks { public class CoarseFineUniverseSelectionBenchmark : QCAlgorithm { private const int NumberOfSymbolsCoarse = 150; private const int NumberOfSymbolsFine = 40; private SecurityChanges _changes = SecurityChanges.None; public override void Initialize() { UniverseSettings.Resolution = Resolution.Minute; SetStartDate(2017, 11, 01); SetEndDate(2018, 3, 01); SetCash(50000); AddUniverse(CoarseSelectionFunction, FineSelectionFunction); } // sort the data by daily dollar volume and take the top 'NumberOfSymbolsCoarse' public IEnumerable CoarseSelectionFunction(IEnumerable coarse) { // select only symbols with fundamental data and sort descending by daily dollar volume var sortedByDollarVolume = coarse .Where(x => x.HasFundamentalData) .OrderByDescending(x => x.DollarVolume); // take the top entries from our sorted collection var top5 = sortedByDollarVolume.Take(NumberOfSymbolsCoarse); // we need to return only the symbol objects return top5.Select(x => x.Symbol); } // sort the data by P/E ratio and take the top 'NumberOfSymbolsFine' public IEnumerable FineSelectionFunction(IEnumerable fine) { // sort descending by P/E ratio var sortedByPeRatio = fine.OrderByDescending(x => x.ValuationRatios.PERatio); // take the top entries from our sorted collection var topFine = sortedByPeRatio.Take(NumberOfSymbolsFine); // we need to return only the symbol objects return topFine.Select(x => x.Symbol); } //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public void OnData(TradeBars data) { // if we have no changes, do nothing if (_changes == SecurityChanges.None) return; // liquidate removed securities foreach (var security in _changes.RemovedSecurities) { if (security.Invested) { Liquidate(security.Symbol); } } // we want allocation in each security in our universe foreach (var security in _changes.AddedSecurities) { SetHoldings(security.Symbol, 0.02m); } _changes = SecurityChanges.None; } // this event fires whenever we have changes to our universe public override void OnSecuritiesChanged(SecurityChanges changes) { _changes = changes; } } }