RawPricesCoarseUniverseAlgorithm.cs

/*
 * 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 QuantConnect.Data.UniverseSelection;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Securities;
using System.Collections.Generic;
using System.Linq;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// In this algorithm we demonstrate how to use the coarse fundamental data to
    /// define a universe as the top dollar volume and set the algorithm to use
    /// raw prices
    /// </summary>
    /// <meta name="tag" content="using data" />
    /// <meta name="tag" content="universes" />
    /// <meta name="tag" content="coarse universes" />
    /// <meta name="tag" content="regression test" />
    public class RawPricesCoarseUniverseAlgorithm : QCAlgorithm
    {
        private const int NumberOfSymbols = 5;

        public override void Initialize()
        {
            // what resolution should the data *added* to the universe be?
            UniverseSettings.Resolution = Resolution.Daily;

            SetStartDate(2014, 01, 01);
            SetEndDate(2015, 01, 01);
            SetCash(50000);

            // Set the security initializer with the characteristics defined in CustomSecurityInitializer
            SetSecurityInitializer(CustomSecurityInitializer);

            // this add universe method accepts a single parameter that is a function that
            // accepts an IEnumerable<CoarseFundamental> and returns IEnumerable<Symbol>
            AddUniverse(CoarseSelectionFunction);
        }

        /// <summary>
        /// Initialize the security with raw prices and zero fees 
        /// </summary>
        /// <param name="security">Security which characteristics we want to change</param>
        private void CustomSecurityInitializer(Security security)
        {
            security.SetDataNormalizationMode(DataNormalizationMode.Raw);
            security.SetFeeModel(new ConstantFeeModel(0));
        }

        // sort the data by daily dollar volume and take the top 'NumberOfSymbols'
        public static IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
        {
            // sort descending by daily dollar volume
            var sortedByDollarVolume = coarse.OrderByDescending(x => x.DollarVolume);

            // take the top entries from our sorted collection
            var top5 = sortedByDollarVolume.Take(NumberOfSymbols);

            // we need to return only the symbol objects
            return top5.Select(x => x.Symbol);
        }

        // this event fires whenever we have changes to our universe
        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            foreach (var security in changes.RemovedSecurities)
            {
                if (security.Invested)
                {
                    Liquidate(security.Symbol);
                }
            }

            // we want 20% allocation in each security in our universe
            foreach (var security in changes.AddedSecurities)
            {
                SetHoldings(security.Symbol, 0.2m);
            }
        }

        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            if (orderEvent.Status == OrderStatus.Filled)
            {
                Log($"OnOrderEvent({UtcTime:o}):: {orderEvent}");
            }
        }
    }
}