BrainSentimentIndicatorUniverseSelectionAlgorithm.py

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from AlgorithmImports import *

class BrainSentimentIndicatorUniverseAlgorithm(QCAlgorithm):
    def Initialize(self):
        # Data ADDED via universe selection is added with Daily resolution.
        self.UniverseSettings.Resolution = Resolution.Daily

        self.SetStartDate(2021, 2, 14)
        self.SetEndDate(2021, 2, 18)
        self.SetCash(100000)

        # add a custom universe data source (defaults to usa-equity)
        universe = self.AddUniverse(BrainSentimentIndicatorUniverse, self.UniverseSelection)

        history = self.History(universe, TimeSpan(1, 0, 0, 0))
        if len(history) != 1:
            raise ValueError(f"Unexpected history count {len(history)}! Expected 1")

        for dataForDate in history:
            if len(dataForDate) < 1000:
                raise ValueError(f"Unexpected historical universe data!")

    def UniverseSelection(self, data):
        for datum in data:
            self.Log(f"""{datum.Symbol},
                    {datum.TotalArticleMentions7Days},
                    {datum.SentimentalArticleMentions7Days},
                    {datum.Sentiment7Days},
                    {datum.TotalBuzzVolume7Days},
                    {datum.SentimentalBuzzVolume7Days},
                    {datum.TotalArticleMentions30Days},
                    {datum.SentimentalArticleMentions30Days},
                    {datum.Sentiment30Days},
                    {datum.TotalBuzzVolume30Days},
                    {datum.SentimentalBuzzVolume30Days}""")

        # define our selection criteria
        return [d.Symbol for d in data \
                    if d.TotalArticleMentions7Days and d.TotalArticleMentions7Days > 0 \
                    and d.Sentiment7Days]

    def OnSecuritiesChanged(self, changes):
        self.Log(changes.ToString())