/* * 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; using QuantConnect.Data.UniverseSelection; namespace QuantConnect.Algorithm.CSharp.Benchmarks { public class StatefulCoarseUniverseSelectionBenchmark : QCAlgorithm { private const int NumberOfSymbolsCoarse = 250; private readonly List _blackList = new List(); public override void Initialize() { UniverseSettings.Resolution = Resolution.Daily; SetStartDate(2017, 1, 01); SetEndDate(2019, 1, 01); SetCash(50000); AddUniverse(CoarseSelectionFunction); } 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); var top = sortedByDollarVolume .Where(fundamental => !_blackList.Contains(fundamental.Symbol)) .Take(NumberOfSymbolsCoarse); // we need to return only the symbol objects return top.Select(x => x.Symbol); } public override void OnData(Slice slice) { if (slice.HasData) { var symbol = slice.Keys.FirstOrDefault(); if (symbol != null) { if (_blackList.Count > 50) { _blackList.RemoveAt(0); } _blackList.Add(symbol); } } } public override void OnSecuritiesChanged(SecurityChanges changes) { foreach (var security in changes.RemovedSecurities) { if (security.Invested) { Liquidate(security.Symbol); } } foreach (var security in changes.AddedSecurities) { SetHoldings(security.Symbol, 0.001m); } } } }