AddUniverseSelectionModelAlgorithm.py

# 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 AlgorithmImports import *

### <summary>
### Test algorithm using 'QCAlgorithm.AddUniverseSelection(IUniverseSelectionModel)'
### </summary>
class AddUniverseSelectionModelAlgorithm(QCAlgorithm):
    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(2013,10,8)   #Set Start Date
        self.SetEndDate(2013,10,11)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash

        self.UniverseSettings.Resolution = Resolution.Daily

        # set algorithm framework models
        self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
        self.SetExecution(ImmediateExecutionModel())

        self.SetUniverseSelection(ManualUniverseSelectionModel([ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]))
        self.AddUniverseSelection(ManualUniverseSelectionModel([ Symbol.Create("AAPL", SecurityType.Equity, Market.USA) ]))
        self.AddUniverseSelection(ManualUniverseSelectionModel(
                Symbol.Create("SPY", SecurityType.Equity, Market.USA), # duplicate will be ignored
                Symbol.Create("FB", SecurityType.Equity, Market.USA)))

    def OnEndOfAlgorithm(self):
        if self.UniverseManager.Count != 3:
            raise ValueError("Unexpected universe count")
        if self.UniverseManager.ActiveSecurities.Count != 3:
            raise ValueError("Unexpected active securities")