# 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 *from queue import Queueclass ScheduledQueuingAlgorithm(QCAlgorithm):def initialize(self) -> None:self.set_start_date(2020, 9, 1)self.set_end_date(2020, 9, 2)self.set_cash(100000)self.__number_of_symbols = 2000self.__number_of_symbols_fine = 1000self.set_universe_selection(FineFundamentalUniverseSelectionModel(self.coarse_selection_function, self.fine_selection_function, None))self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())self.set_execution(ImmediateExecutionModel())self._queue = Queue()self._dequeue_size = 100self.add_equity("SPY", Resolution.MINUTE)self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.at(0, 0), self.fill_queue)self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.every(timedelta(minutes=60)), self.take_from_queue)def coarse_selection_function(self, coarse: list[CoarseFundamental]) -> list[Symbol]:has_fundamentals = [security for security in coarse if security.has_fundamental_data]sorted_by_dollar_volume = sorted(has_fundamentals, key=lambda x: x.dollar_volume, reverse=True)return [ x.symbol for x in sorted_by_dollar_volume[:self.__number_of_symbols] ]def fine_selection_function(self, fine: list[FineFundamental]) -> list[Symbol]:sorted_by_pe_ratio = sorted(fine, key=lambda x: x.valuation_ratios.pe_ratio, reverse=True)return [ x.symbol for x in sorted_by_pe_ratio[:self.__number_of_symbols_fine] ]def fill_queue(self) -> None:securities = [security for security in self.active_securities.values() if security.fundamentals]# Fill queue with symbols sorted by PE ratio (decreasing order)self._queue.queue.clear()sorted_by_pe_ratio = sorted(securities, key=lambda x: x.fundamentals.valuation_ratios.pe_ratio, reverse=True)for security in sorted_by_pe_ratio:self._queue.put(security.symbol)def take_from_queue(self) -> None:symbols = [self._queue.get() for _ in range(min(self._dequeue_size, self._queue.qsize()))]self.history(symbols, 10, Resolution.DAILY)self.log(f"Symbols at {self.time}: {[str(symbol) for symbol in symbols]}")
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