1. # region imports
  2. from AlgorithmImports import *
  3. from QuantConnect.DataSource import *# endregion
  5. class HipsterFluorescentYellowOwl(QCAlgorithm):
  7. def Initialize(self):
  8. 	self.SetStartDate(2023, 8, 15)
  9. 	self.SetStartDate(2023, 8, 17)
  11.     # Requesting data
  12.     self.AddUniverse(self.SelectCoarse, self.SelectFine)
  13.     self.UniverseSettings.Resolution = Resolution.Daily
  15. # Coarse filter: get list of symbols with biggest dollar volume
  16. def SelectCoarse(self, coarse):
  17. 	selected = [c for c in coarse if c.HasFundamentalData]
  18. 	sorted_by_dollar_volume = sorted(selected, key=lambda c: c.DollarVolume, reverse=True)
  19. 	return [ c.Symbol for c in sorted_by_dollar_volume[:10000] ]
  21. # Fine filter: filter to only 10 regional banks via MorningstarIndustryCode
  22. def SelectFine(self, fine):
  23. 	filtered_by_class = [f for f in fine if f.AssetClassification.MorningstarIndustryCode == MorningstarIndustryCode.BanksRegional]
  24. 	return [ f.Symbol for f in filtered_by_class[:self.10] ]
  28. # DATA EVENT HANDLER
  29. def OnData(self, data: Slice):
  30. 	for security in self._changes.AddedSecurities:
  31. 	
  32. 	#self.Plot(???) # here I have no clue how to get the fundamental data from morningstar
  33. 	
  34. #Event fired each time the we add/remove securities from the data feed
  35. def OnSecuritiesChanged(self, changes):
  36. 	self._changes = changes 
+ Expand

Author

Paulduring

August 2023