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...iting Algorithms/14 Datasets/11 CoinGecko/01 Crypto Market Cap/11 Universe Selection.html
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...gorithms/14 Datasets/20 Quiver Quantitative/03 Insider Trading/10 Universe Selection.html
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,42 +1,53 @@ | ||
| <p>To select a dynamic universe of US Equities based on Insider Trading data, call the <b class="csharp">AddUniverse</b><b class="python">add_universe</b> method with the <b>QuiverInsiderTradingUniverse</b> class and a selection function.</p> | ||
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| <div class="section-example-container"> | ||
| <pre class="python">def initialize(self): | ||
| self._universe = self.add_universe(QuiverInsiderTradingUniverse, self.universe_selection) | ||
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| def universe_selection(self, alt_coarse: List[QuiverInsiderTradingUniverse]) -> List[Symbol]: | ||
| insider_trading_data_by_symbol = {} | ||
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| for datum in alt_coarse: | ||
| symbol = datum.symbol | ||
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| if symbol not in insider_trading_data_by_symbol: | ||
| insider_trading_data_by_symbol[symbol] = [] | ||
| insider_trading_data_by_symbol[symbol].append(datum) | ||
| <pre class="python">class InsiderTradingUniverseAlgorithm(QCAlgorithm): | ||
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| return [symbol for symbol, d in insider_trading_data_by_symbol.items() | ||
| if len([x for x in d if x.direction == OrderDirection.BUY]) >= 3]</pre> | ||
| <pre class="csharp">private Universe _universe; | ||
| public override void Initialize() | ||
| def initialize(self): | ||
| self.set_start_date(2023, 1, 1) | ||
| self._universe = self.add_universe(QuiverInsiderTradingUniverse, self._select_assets) | ||
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| def _select_assets(self, alt_coarse: List[QuiverInsiderTradingUniverse]) -> List[Symbol]: | ||
| dollar_volume_by_symbol = {} | ||
| for data in alt_coarse: | ||
| symbol = data.symbol | ||
| if not data.price_per_share: | ||
| continue | ||
| if symbol not in dollar_volume_by_symbol: | ||
| dollar_volume_by_symbol[symbol] = 0 | ||
| dollar_volume_by_symbol[symbol] += data.shares * data.price_per_share | ||
| return [ | ||
| symbol for symbol, _ in sorted(dollar_volume_by_symbol.items(), key=lambda kvp: kvp[1])[-10:] | ||
| ]</pre> | ||
| <pre class="csharp">public class InsiderTradingUniverseAlgorithm : QCAlgorithm | ||
| { | ||
| _universe = AddUniverse<QuiverInsiderTradingUniverse>(altCoarse => | ||
| private Universe _universe; | ||
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| public override void Initialize() | ||
| { | ||
| var insiderTradingDataBySymbol = new Dictionary<Symbol, List<QuiverInsiderTradingUniverse>>(); | ||
| SetStartDate(2023, 1, 1); | ||
| _universe = AddUniverse<QuiverInsiderTradingUniverse>(SelectAssets); | ||
| } | ||
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| foreach (var datum in altCoarse.OfType<QuiverInsiderTradingUniverse>()) | ||
| private IEnumerable<Symbol> SelectAssets(IEnumerable<BaseData> altCoarse) | ||
| { | ||
| var dollarVolumeBySymbol = new Dictionary<Symbol, decimal?>(); | ||
| foreach (QuiverInsiderTradingUniverse data in altCoarse) | ||
| { | ||
| var symbol = datum.Symbol; | ||
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| if (!insiderTradingDataBySymbol.ContainsKey(symbol)) | ||
| if (data.PricePerShare == 0m) | ||
| { | ||
| continue; | ||
| } | ||
| if (!dollarVolumeBySymbol.ContainsKey(data.Symbol)) | ||
| { | ||
| insiderTradingDataBySymbol.Add(symbol, new List<QuiverInsiderTradingUniverse>()); | ||
| dollarVolumeBySymbol[data.Symbol] = 0; | ||
| } | ||
| insiderTradingDataBySymbol[symbol].Add(datum); | ||
| dollarVolumeBySymbol[data.Symbol] += data.Shares * data.PricePerShare; | ||
| } | ||
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| return from kvp in insiderTradingDataBySymbol | ||
| where kvp.Value.Where(x => x.Direction == OrderDirection.Buy) >= 3 | ||
| select kvp.Key; | ||
| }); | ||
| return dollarVolumeBySymbol | ||
| .OrderByDescending(kvp => kvp.Value) | ||
| .Take(10) | ||
| .Select(kvp => kvp.Key); | ||
| } | ||
| }</pre> | ||
| </div> |