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Inline PEP8: Writing Algoritm > Universes
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@AlexCatarino
AlexCatarino committed Apr 25, 2024
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2 changes: 1 addition & 1 deletion 03 Writing Algorithms/01 Key Concepts/07 Event Handlers/03 Securities Changed Event.html
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}
}</pre>
<pre class="python">def on_securities_changed(self, changes: SecurityChanges) -> None:
for security in changes.added_securities:
for security in changes.added_securities::
self.debug(f"{self.time}: Added {security.symbol}")

for security in changes.removed_securities:
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4 changes: 2 additions & 2 deletions 03 Writing Algorithms/02 Initialization/06 Set Universe Settings.php
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<td>
<h4>Property: <span><code class="csharp">DataNormalizationMode</code><code class="pythpn">data_normalization_mode</code></span></h4>
<p class='property-description'>How should historical prices be adjusted? This setting is only available for Equity and Futures assets.</p>
<p>Data Type: <span><code>DataNormalizationMode</code></span><span class='pipe-separator'> | </span> Default Value: <span><code>DataNormalizationMode.Adjusted</code></span></p>
<p>Data Type: <span><code>DataNormalizationMode</code></span><span class='pipe-separator'> | </span> Default Value: <span><code class="csharp">DataNormalizationMode.Adjusted</code><code class="python">DataNormalizationMode.ADJUSTED</code></span></p>
</td>
</tr>
<tr>
<td>
<h4>Property: <span><code class="csharp">Leverage</code><code class="python">leverage</code></span></h4>
<p class='property-description'>What leverage should assets use in the universe? This setting is not available for derivative assets.</p>
<p>Data Type: <span><code class='csharp'>decimal</code><code class='python'>float</code></span><span class='pipe-separator'> | </span> Default Value: <span><code>Security.NullLeverage</code></span></p>
<p>Data Type: <span><code class='csharp'>decimal</code><code class='python'>float</code></span><span class='pipe-separator'> | </span> Default Value: <span><code class="csharp">Security.NullLeverage</code><code class="python">Security.NULL_LEVERAGE</code></span></p>
</td>
</tr>
</tbody>
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12 changes: 6 additions & 6 deletions 03 Writing Algorithms/02 Initialization/10 Set Algorithm Settings.html
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<td>
<h4>Property: <span><code class="csharp">FreePortfolioValue</code><code class="python">free_portfolio_value</code></span></h4>
<p class="property-description">The <a href="https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/position-sizing#05-Buying-Power-Buffer">buying power buffer </a>value.</p>
<p>Data Type: <span><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code>250</code></span></p>
<p>Data Type: <span class="csharp"><code>decimal</code></span><span class="python"><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code>250</code><code class="csharp">m</code></span></p>
</td>
</tr>
<tr>
<td>
<h4>Property: <span><code class="csharp">FreePortfolioValuePercentage</code><code class="python">free_portfolio_value_percentage</code></span></h4>
<p class="property-description">The buying power buffer percentage value.</p>
<p>Data Type: <span><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code>0.0025</code></span></p>
<p>Data Type: <span class="csharp"><code>decimal</code></span><span class="python"><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code>0.0025</code><code class="csharp">m</code></span></p>
</td>
</tr>
<tr>
Expand All @@ -27,21 +27,21 @@ <h4>Property: <span><code class="csharp">LiquidateEnabled</code><code class="pyt
<td>
<h4>Property: <span><code class="csharp">MaxAbsolutePortfolioTargetPercentage</code><code class="python">max_absolute_portfolio_target_percentage</code></span></h4>
<p class="property-description">The absolute maximum valid total portfolio value target percentage.</p>
<p>Data Type: <span><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code>1000000000</code></span></p>
<p>Data Type: <span class="csharp"><code>decimal</code></span><span class="python"><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code>1000000000</code><code class="csharp">m</code></span></p>
</td>
</tr>
<tr>
<td>
<h4>Property: <span><code class="csharp">MinAbsolutePortfolioTargetPercentage</code><code class="python">min_absolute_portfolio_target_percentage</code></span></h4>
<p class="property-description">The absolute minimum valid total portfolio value target percentage.</p>
<p>Data Type: <span><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code>0.0000000001</code></span></p>
<p>Data Type: <span class="csharp"><code>decimal</code></span><span class="python"><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code>0.0000000001</code><code class="csharp">m</code></span></p>
</td>
</tr>
<tr>
<td>
<h4>Property: <span><code class="csharp">MinimumOrderMarginPortfolioPercentage</code><code class="python">minimum_order_margin_portfolio_percentage</code></span></h4>
<p class="property-description">The minimum order margin portfolio percentage to ignore bad orders and orders with small sizes.</p>
<p>Data Type: <span><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code class='csharp'>0.001m</code><code class='python'>0.001</code></span></p>
<p>Data Type: <span class="csharp"><code>decimal</code></span><span class="python"><code>float</code></span><span class="pipe-separator"> | </span> Default Value: <span><code>0.001</code><code class="csharp">m</code></span></p>
</td>
</tr>
<tr>
Expand All @@ -62,7 +62,7 @@ <h4>Property: <span><code class="csharp">RebalancePortfolioOnSecurityChanges</co
<td>
<h4>Property: <span><code class="csharp">StalePriceTimeSpan</code><code class="python">stale_price_time_span</code></span></h4>
<p class="property-description">The minimum time span elapsed to consider a market fill price as stale</p>
<p>Data Type: <span><code>timedelta</code></span><span class="pipe-separator"> | </span> Default Value: <span><code class='csharp'>TimeSpan.FromHours(1)</code><code class='python'>timedelta(hours=1)</code></span></p>
<p>Data Type: <span class="csharp"><code>TimeSpan</code></span><span class="python"><code>timedelta</code></span><span class="pipe-separator"> | </span> Default Value: <span><code class='csharp'>TimeSpan.FromHours(1)</code><code class='python'>timedelta(hours=1)</code></span></p>
</td>
</tr>
<tr>
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4 changes: 2 additions & 2 deletions ...ties/99 Asset Classes/11 CFD/01 Requesting Data/03 Interactive Brokers Subscriptions.html
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<div class="section-example-container">
<pre class="csharp">_symbol = AddCfd("SPY", market: Market.InteractiveBrokers).Symbol;</pre>
<pre class="python">self._symbol = self.add_cfd("SPY", market = Market.INTERACTIVE_BROKERS).symbol</pre>
<pre class="python">self._symbol = self.add_cfd("SPY", market=Market.INTERACTIVE_BROKERS).symbol</pre>
</div>

<p>Historical data for backtesting IB CFDs is unavailable.</p>
Expand All @@ -22,7 +22,7 @@
_symbol = QuantConnect.Symbol.Create("SPY", securityType, Market.InteractiveBrokers);
AddSecurity(_symbol);</pre>
<pre class="python">security_type = SecurityType.CFD if self.live_mode else SecurityType.EQUITY
market = Market.INTERACTIVE_BROKERS if self.live_mode else Market.USA
market=Market.INTERACTIVE_BROKERS if self.live_mode else Market.USA
self._symbol = Symbol.create("SPY", security_type, market)
self.add_security(self.symbol)</pre>
</div>
6 changes: 3 additions & 3 deletions 03 Writing Algorithms/12 Universes/01 Key Concepts/06 Security Changed Events.html
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<p>When your universe adds and removes assets, LEAN notifies your algorithm through the <code class="csharp">OnSecuritiesChanged</code><code class="python">on_securities_changed</code> event handler. The event handler receives a <code>SecurityChanges</code> object, which contains references to the added and removed securities. To access the added securities, check the <code>changes.AddedSecurities</code> property. To access the removed securities, check the <code>changes.RemovedSecurities</code> property.</p>
<p>When your universe adds and removes assets, LEAN notifies your algorithm through the <code class="csharp">OnSecuritiesChanged</code><code class="python">on_securities_changed</code> event handler. The event handler receives a <code>SecurityChanges</code> object, which contains references to the added and removed securities. To access the added securities, check the <code class="csharp">changes.AddedSecurities</code><code class="python">changes.added_securities</code> method property. To access the removed securities, check the <code class="csharp">changes.RemovedSecurities</code><code class="python">changes.removed_securities</code> method property.</p>

<div class="section-example-container">
<pre class="csharp">public override void OnSecuritiesChanged(SecurityChanges changes)
Expand All @@ -18,7 +18,7 @@
}
}</pre>
<pre class="python">def on_securities_changed(self, changes: SecurityChanges) -> None:
for security in changes.added_securities:
for security in changes.added_securities::
self.debug(f"{self.time}: Added {security.symbol}")

for security in changes.removed_securities:
Expand All @@ -45,7 +45,7 @@

def on_securities_changed(self, changes: SecurityChanges) -> None:
for security in changes.removed_securities:
if security in self.securities:
if security in self._securities:
self._securities.remove(security)

self._securities.extend(changes.added_securities)</pre>
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10 changes: 5 additions & 5 deletions 03 Writing Algorithms/12 Universes/01 Key Concepts/07 Custom Security Properties.html
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DeregisterIndicator((security as dynamic).Indicator);
}
}</pre>
<pre class="python">def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
for security in changes.AddedSecurities:
<pre class="python">def on_securities_changed(self, changes: SecurityChanges) -> None:
for security in changes.added_securities:
# Create an indicator
security.indicator = self.sma(security.Symbol, 10)

# Warm up the indicator
self.WarmUpIndicator(security.Symbol, security.indicator)
self.warm_up_indicator(security.symbol, security.indicator)

for security in changes.RemovedSecurities:
self.DeregisterIndicator(security.indicator)</pre>
for security in changes.removed_securities:
self.deregister_indicator(security.indicator)</pre>
</div>
2 changes: 1 addition & 1 deletion 03 Writing Algorithms/12 Universes/01 Key Concepts/09 Universe Manager.html
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self._universe = self.add_universe(self.my_fundamental_filter_function)

# In OnData
universe_members = self.universe_manager[self.universe.configuration.symbol].members
universe_members = self.universe_manager[self._universe.configuration.symbol].members
for kvp in universe_members:
symbol = kvp.key
security = kvp.value</pre>
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8 changes: 4 additions & 4 deletions 03 Writing Algorithms/12 Universes/01 Key Concepts/11 Selected Securities.php
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<p>
The <code>Selected</code> property of your <code>Universe</code> contains references to all the assets that are currently in the universe.
The <code>Universe.Selected</code> property differs from the <code>Universe.Members</code> property because the <code>Universe.Members</code> property can contain more assets than <code>Universe.Selected</code>.
The <code>QCAlgorithm.ActiveSecurities</code> is a collection of <code>Universe.Members</code> of all universes.
The <code class="csharp">Selected</code><code class="python">selected</code> property of your <code>Universe</code> contains references to all the assets that are currently in the universe.
The <code class="csharp">Universe.Selected</code><code class="python">Universe.selected</code> property differs from the <code class="csharp">Universe.Members</code><code class="python">Universe.members</code> property because the <code class="csharp">Universe.Members</code><code class="python">Universe.members</code> property can contain more assets than <code class="csharp">Universe.Selected</code><code class="python">Universe.selected</code>.
The <code class="csharp">QCAlgorithm.ActiveSecurities</code><code class="python">QCAlgorithm.active_securities</code> is a collection of <code class="csharp">Universe.Members</code><code class="python">Universe.members</code> of all universes.
To access the <code>Universe</code> object, save a reference to the result of the <code class="csharp">AddUniverse</code><code class="python">add_universe</code> method.
The following algorithm demonstrates how to use the <code>Universe.Selected</code> property to create simple rebalancing strategies:
The following algorithm demonstrates how to use the <code class="csharp">Universe.Selected</code><code class="python">Universe.selected</code> property to create simple rebalancing strategies:
</p>

<div class="section-example-container">
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4 changes: 2 additions & 2 deletions 03 Writing Algorithms/12 Universes/02 Settings/05 Extended Market Hours.php
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<? include(DOCS_RESOURCES."/universes/settings/extended-market-hours.php"); ?>

<p>To enable extended market hours in non-derivative universes, in the <a href='/docs/v2/writing-algorithms/initialization'>Initialize</a> method, adjust the algorithm's <code>UniverseSettings</code> before you add the universe.</p>
<p>To enable extended market hours in non-derivative universes, in the <a href='/docs/v2/writing-algorithms/initialization'>Initialize</a> method, adjust the algorithm's <code class="csharp">UniverseSettings</code><code class="python">universe_settings</code> before you add the universe.</p>

<div class="section-example-container">
<pre class="csharp">UniverseSettings.ExtendedMarketHours = true;
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<div class="section-example-container">
<pre class="csharp">AddFuture(Futures.Currencies.BTC, extendedMarketHours: true);</pre>
<pre class="python">self.add_universe(Futures.Currencies.BTC, extended_market_hours=True)</pre>
<pre class="python">self.add_future(Futures.Currencies.BTC, extended_market_hours=True)</pre>
</div>
6 changes: 3 additions & 3 deletions 03 Writing Algorithms/12 Universes/02 Settings/07 Data Normalization Mode.php
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<p>The <code>DataNormalizationMode</code> setting is an enumeration that defines how historical data is adjusted. This setting is only applicable for US Equities and Futures.
<p>The <code class="csharp">DataNormalizationMode</code><code class="python">data_normalization_mode</code> setting is an enumeration that defines how historical data is adjusted. This setting is only applicable for US Equities and Futures.

<h4>US Equities</h4>

<p>In the case of US Equities, the data normalization mode affects how historical data is adjusted for <a href='/docs/v2/writing-algorithms/securities/asset-classes/us-equity/corporate-actions'>corporate actions</a>. To view all the available options, see <a href='/docs/v2/writing-algorithms/securities/asset-classes/us-equity/requesting-data#11-Data-Normalization'>Data Normalization</a>. The default value is <code>DataNormalizationMode.Adjusted</code>. To change the data normalization mode, in the <a href='/docs/v2/writing-algorithms/initialization'>Initialize</a> method, adjust the algorithm's <code>UniverseSettings</code> before you add the universe.</p>
<p>In the case of US Equities, the data normalization mode affects how historical data is adjusted for <a href='/docs/v2/writing-algorithms/securities/asset-classes/us-equity/corporate-actions'>corporate actions</a>. To view all the available options, see <a href='/docs/v2/writing-algorithms/securities/asset-classes/us-equity/requesting-data#11-Data-Normalization'>Data Normalization</a>. The default value is <code class="csharp">DataNormalizationMode.Adjusted</code><code class="python">DataNormalizationMode.ADJUSTED</code>. To change the data normalization mode, in the <a href='/docs/v2/writing-algorithms/initialization'>Initialize</a> method, adjust the algorithm's <code class="csharp">UniverseSettings</code><code class="python">universe_settings</code> before you add the universe.</p>
<div class="section-example-container">
<pre class="csharp">UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
Expand All @@ -12,7 +12,7 @@
</div>
<h4>Futures</h4>
<p>In the case of Futures, the data normalization mode affects how historical data of two contracts is stitched together to form the <a href='/docs/v2/writing-algorithms/universes/futures#12-Continous-Contracts'>continuous contract</a>. To view all the available options, see <a href='/docs/v2/writing-algorithms/securities/asset-classes/futures/requesting-data#09-Data-Normalization'>Data Normalization</a>. The default value is <code>DataNormalizationMode.Adjusted</code>. To change the data normalization mode, in the <a href='/docs/v2/writing-algorithms/initialization'>Initialize</a> method, pass a <code class="csharp">dataNormalizationMode</code><code class="python">data_normalization_mode</code> argument to the <code class="csharp">AddFuture</code><code class="python">add_future</code> method.</p>
<p>In the case of Futures, the data normalization mode affects how historical data of two contracts is stitched together to form the <a href='/docs/v2/writing-algorithms/universes/futures#12-Continous-Contracts'>continuous contract</a>. To view all the available options, see <a href='/docs/v2/writing-algorithms/securities/asset-classes/futures/requesting-data#09-Data-Normalization'>Data Normalization</a>. The default value is <code class="csharp">DataNormalizationMode.Adjusted</code><code class="python">DataNormalizationMode.ADJUSTED</code>. To change the data normalization mode, in the <a href='/docs/v2/writing-algorithms/initialization'>Initialize</a> method, pass a <code class="csharp">dataNormalizationMode</code><code class="python">data_normalization_mode</code> argument to the <code class="csharp">AddFuture</code><code class="python">add_future</code> method.</p>
<div class="section-example-container">
<pre class="csharp">AddFuture(Futures.Currencies.BTC, dataNormalizationMode: DataNormalizationMode.BackwardsRatio);</pre>
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2 changes: 1 addition & 1 deletion 03 Writing Algorithms/12 Universes/02 Settings/08 Contract Depth Offset.php
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<? include(DOCS_RESOURCES."/universes/settings/contract-depth-offset.php"); ?> pass a <code>contractDepthOffset</code> argument to the <code class="csharp">AddFuture</code><code class="python">add_future</code> method.</p>
<? include(DOCS_RESOURCES."/universes/settings/contract-depth-offset.php"); ?> pass a <code class="csharp">contractDepthOffset</code><code class="python">contract_depth_offset</code> argument to the <code class="csharp">AddFuture</code><code class="python">add_future</code> method.</p>

<div class="section-example-container">
<pre class="csharp">AddFuture(Futures.Currencies.BTC, contractDepthOffset: 3);</pre>
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4 changes: 2 additions & 2 deletions 03 Writing Algorithms/12 Universes/02 Settings/10 Schedule.php
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<p>
The <code>Schedule</code> setting defines the selection schedule of the universe.
The <code class="csharp">Schedule</code><code class="python">schedule</code> setting defines the selection schedule of the universe.
Most universes run on a daily schedule.
To change the selection schedule, call the <code>UniverseSettings.Schedule.On</code> method with an <code>IDateRule</code> object before you add the universe.
To change the selection schedule, call the <code class="csharp">UniverseSettings.Schedule.On</code><code class="python">universe_settings.schedule.on</code> method with an <code>IDateRule</code> object before you add the universe.
</p>

<div class="section-example-container">
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