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Improves Universe Selection for python
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In python algorithm using Universe Selection, the selector method should return a List<Symbol>. To make it more pythonic, we allow returning python list. The conversion is, then, performed in C# side.
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@AlexCatarino
AlexCatarino committed Sep 26, 2017
1 parent 7d2a67c commit 3da8449
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Showing 4 changed files with 20 additions and 48 deletions.
18 changes: 2 additions & 16 deletions Algorithm.Python/CoarseFineFundamentalComboAlgorithm.py
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Original file line number Diff line number Diff line change
Expand Up @@ -58,29 +58,15 @@ def CoarseSelectionFunction(self, coarse):
sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)

# return the symbol objects of the top entries from our sorted collection
top5 = sortedByDollarVolume[:self.__numberOfSymbols]

# we need to return only the symbol objects
list = List[Symbol](len(top5))
for x in top5:
list.Add(x.Symbol)

return list
return [ x.Symbol for x in sortedByDollarVolume[:self.__numberOfSymbols] ]

# sort the data by P/E ratio and take the top 'NumberOfSymbolsFine'
def FineSelectionFunction(self, fine):
# sort descending by P/E ratio
sortedByPeRatio = sorted(fine, key=lambda x: x.ValuationRatios.PERatio, reverse=True)

# take the top entries from our sorted collection
topFine = sortedByPeRatio[:self.__numberOfSymbolsFine]

list = List[Symbol](len(topFine))
for x in topFine:
list.Add(x.Symbol)

return list

return [ x.Symbol for x in sortedByPeRatio[:self.__numberOfSymbolsFine] ]

def OnData(self, data):
# if we have no changes, do nothing
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8 changes: 3 additions & 5 deletions Algorithm.Python/EmaCrossUniverseSelectionAlgorithm.py
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Expand Up @@ -71,13 +71,11 @@ def CoarseSelectionFunction(self, coarse):
# Sorts the values of the dict: we want those with greater difference between the moving averages
values.sort(key=lambda x: x.scale, reverse=True)

# we need to return only the symbol objects
list = List[Symbol]()
for x in values[:self.coarse_count]:
self.Log('symbol: ' + str(x.symbol.Value) + ' scale: ' + str(x.scale))
list.Add(x.symbol)

return list

# we need to return only the symbol objects
return [ x.symbol for x in values[:self.coarse_count] ]

# this event fires whenever we have changes to our universe
def OnSecuritiesChanged(self, changes):
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6 changes: 1 addition & 5 deletions Algorithm.Python/UniverseSelectionRegressionAlgorithm.py
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Original file line number Diff line number Diff line change
Expand Up @@ -52,11 +52,7 @@ def Initialize(self):


def CoarseSelectionFunction(self, coarse):
list = List[Symbol]()
for c in coarse:
if c.Symbol.Value == "GOOG" or c.Symbol.Value == "GOOCV" or c.Symbol.Value == "GOOAV" or c.Symbol.Value == "GOOGL":
list.Add(c.Symbol)
return list
return [ c.Symbol for c in coarse if c.Symbol.Value == "GOOG" or c.Symbol.Value == "GOOCV" or c.Symbol.Value == "GOOAV" or c.Symbol.Value == "GOOGL" ]


def OnData(self, data):
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36 changes: 14 additions & 22 deletions Algorithm/QCAlgorithm.Python.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -102,8 +102,8 @@ public void AddData(Type dataType, string symbol, Resolution resolution, DateTim
/// <param name="pycoarse">Defines an initial coarse selection</param>
public void AddUniverse(PyObject pycoarse)
{
var coarse = ToFunc<IEnumerable<CoarseFundamental>, Symbol>(pycoarse);
AddUniverse(coarse);
var coarse = ToFunc<IEnumerable<CoarseFundamental>, object[]>(pycoarse);
AddUniverse(c => coarse(c).Select(x => (Symbol)x));
}

/// <summary>
Expand All @@ -114,9 +114,9 @@ public void AddUniverse(PyObject pycoarse)
/// <param name="pyfine">Defines a more detailed selection with access to more data</param>
public void AddUniverse(PyObject pycoarse, PyObject pyfine)
{
var coarse = ToFunc<IEnumerable<CoarseFundamental>, Symbol>(pycoarse);
var fine = ToFunc< IEnumerable<FineFundamental>, Symbol>(pyfine);
AddUniverse(coarse, fine);
var coarse = ToFunc<IEnumerable<CoarseFundamental>, object[]>(pycoarse);
var fine = ToFunc<IEnumerable<FineFundamental>, object[]>(pyfine);
AddUniverse(c => coarse(c).Select(x => (Symbol)x), f => fine(f).Select(x => (Symbol)x));
}

/// <summary>
Expand All @@ -128,8 +128,8 @@ public void AddUniverse(PyObject pycoarse, PyObject pyfine)
/// <param name="pySelector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
public void AddUniverse(string name, Resolution resolution, PyObject pySelector)
{
var selector = ToFunc<DateTime, string>(pySelector);
AddUniverse(name, resolution, selector);
var selector = ToFunc<DateTime, object[]>(pySelector);
AddUniverse(name, resolution, d => selector(d).Select(x => (string)x));
}

/// <summary>
Expand All @@ -140,8 +140,8 @@ public void AddUniverse(string name, Resolution resolution, PyObject pySelector)
/// <param name="pySelector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
public void AddUniverse(string name, PyObject pySelector)
{
var selector = ToFunc<DateTime, string>(pySelector);
AddUniverse(name, selector);
var selector = ToFunc<DateTime, object[]>(pySelector);
AddUniverse(name, d => selector(d).Select(x => (string)x));
}

/// <summary>
Expand All @@ -155,8 +155,8 @@ public void AddUniverse(string name, PyObject pySelector)
/// <param name="pySelector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
public void AddUniverse(SecurityType securityType, string name, Resolution resolution, string market, UniverseSettings universeSettings, PyObject pySelector)
{
var selector = ToFunc<DateTime, string>(pySelector);
AddUniverse(securityType, name, resolution, market, universeSettings, selector);
var selector = ToFunc<DateTime, object[]>(pySelector);
AddUniverse(securityType, name, resolution, market, universeSettings, d => selector(d).Select(x => (string)x));
}

/// <summary>
Expand Down Expand Up @@ -403,7 +403,6 @@ public PyObject History(PyObject tickers, DateTime start, DateTime end, Resoluti
/// Gets the symbols/string from a PyObject
/// </summary>
/// <param name="pyObject">PyObject containing symbols</param>
/// <param name="isEquity"></param>
/// <returns>List of symbols</returns>
public List<Symbol> GetSymbolsFromPyObject(PyObject pyObject)
{
Expand Down Expand Up @@ -465,26 +464,19 @@ private Type CreateType(PyObject type)
/// <typeparam name="TSecond">The output type</typeparam>
/// <param name="pyObject">The python method</param>
/// <returns>A <see cref="System.Func{T, TResult}"/> that encapsulates the python method</returns>
private Func<T, IEnumerable<TSecond>> ToFunc<T, TSecond>(PyObject pyObject)
private Func<T, TSecond> ToFunc<T, TSecond>(PyObject pyObject)
{
var testMod =
"from clr import AddReference\n" +
"AddReference(\"System\")\n" +
"AddReference(\"System.Collections\")\n" +
"AddReference(\"QuantConnect.Common\")\n" +
"from System import Func\n" +
"from System.Collections.Generic import IEnumerable\n" +
"from QuantConnect import Symbol\n" +
"from QuantConnect.Data.Fundamental import FineFundamental\n" +
"from QuantConnect.Data.UniverseSelection import CoarseFundamental\n" +
"def to_func(pyobject, in_type, out_type):\n" +
" return Func[in_type, IEnumerable[out_type]](pyobject)";
" return Func[in_type, out_type](pyobject)";

using (Py.GIL())
{
dynamic toFunc = PythonEngine.ModuleFromString("x", testMod).GetAttr("to_func");
return toFunc(pyObject, typeof(T), typeof(TSecond))
.AsManagedObject(typeof(Func<T, IEnumerable<TSecond>>));
return toFunc(pyObject, typeof(T), typeof(TSecond)).AsManagedObject(typeof(Func<T, TSecond>));
}
}
}
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