/*

* 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.Algorithm.Framework.Alphas;

using QuantConnect.Algorithm.Framework.Portfolio;

using QuantConnect.Algorithm.Framework.Selection;

using QuantConnect.Data.Fundamental;

using QuantConnect.Data.UniverseSelection;

using QuantConnect.Indicators;

using QuantConnect.Orders;

namespace QuantConnect.Algorithm.CSharp

{

/// <summary>

/// This example algorithm defines its own custom coarse/fine fundamental selection model

/// combined with the MACD alpha model.

/// </summary>

public class CustomFrameworkModelsAlgorithm : QCAlgorithm

{

public override void Initialize()

{

// Set requested data resolution

UniverseSettings.Resolution = Resolution.Minute;

SetStartDate(2013, 10, 07); //Set Start Date

SetEndDate(2013, 10, 11); //Set End Date

SetCash(100000); //Set Strategy Cash

SetUniverseSelection(new CustomFundamentalUniverseSelectionModel());

SetAlpha(new MacdAlphaModel(

fastPeriod: 10,

slowPeriod: 30,

signalPeriod: 12,

movingAverageType: MovingAverageType.Simple

));

SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());

}

public override void OnOrderEvent(OrderEvent orderEvent)

{

if (orderEvent.Status.IsFill())

{

Debug($"Purchased Stock: {orderEvent.Symbol}");

}

}

/// <summary>

/// Defines a custom <see cref="FundamentalUniverseSelectionModel"/> that takes the top 100 by

/// dollar volume and then the top 20 by earnings yield

/// </summary>

public class CustomFundamentalUniverseSelectionModel : FundamentalUniverseSelectionModel

{

public CustomFundamentalUniverseSelectionModel()

: base(filterFineData: true)

{

}

/// <summary>

/// Defines the coarse fundamental selection function.

/// </summary>

/// <param name="algorithm">The algorithm instance</param>

/// <param name="coarse">The coarse fundamental data used to perform filtering</param>

/// <returns>An enumerable of symbols passing the filter</returns>

public override IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)

{

return coarse

.OrderByDescending(c => c.DollarVolume)

.Select(c => c.Symbol)

.Take(100);

}

/// <summary>

/// Defines the fine fundamental selection function.

/// </summary>

/// <param name="algorithm">The algorithm instance</param>

/// <param name="fine">The fine fundamental data used to perform filtering</param>

/// <returns>An enumerable of symbols passing the filter</returns>

public override IEnumerable<Symbol> SelectFine(QCAlgorithm algorithm, IEnumerable<FineFundamental> fine)

{

return fine

.OrderByDescending(f => f.ValuationRatios.EarningYield)

.Select(f => f.Symbol)

.Take(20);

}

}

}

}