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I used this code to log the top 3 dollar volume, the output was :
['AOL', 'INTC', 'YHOO']
However, according to the research environment, there is no output for AOL.
class CoarseFundamentalTopAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(1999,1,11)
self.SetEndDate(1999,1,12)
self.SetCash(10000)
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.Universe.DollarVolume.Top(3))
self.__numberOfSymbols = 3
def OnData(self, data):
x = []
for key in data.Keys:
x.append(str(key.Value))
x.sort()
self.Log(x)
Kevin Laventure
I should have used this code instead
from QuantConnect.Data.UniverseSelection import * class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.num_coarse = 3 self.SetCash(100000) self.SetStartDate(1999,1,4) self.SetEndDate(1999,1,5) self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.CoarseSelectionFunction) def CoarseSelectionFunction(self, coarse): selected = [x for x in coarse if (x.HasFundamentalData)] sortedByDollarVolume = sorted(selected, key=lambda x: x.DollarVolume, reverse=True) top = sortedByDollarVolume[:self.num_coarse] self.tickers = [] for ticker in top: self.tickers.append(ticker.Symbol) return self.tickers def OnData(self, data): for i in self.tickers: self.SetHoldings(i, 0.9/self.num_coarse) all_symbols = [ x.Value for x in self.Portfolio.Keys ] all_symbols.sort() self.Log(all_symbols)Xin Wei
Hi Kevin,
The ticker `AOL` returned by your strategy represents company AOL Time Warner Inc. (NYSE: AOL). However, there was a ticker symbol change to `TWX` for this company in 2003. The strategy needs to use the new ticker `TWX` to fetch historical `AOL` data before the symbol change event in 2003. Please see my attached research notebook. For more information, please refer to the SymbolChangedEvent documentation section.
Also, if you're interested, please check out this old news about the change of Time Warner's name and ticker symbol in 2003.
I hope this helps!
Xin
Kevin Laventure
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