CoinGeckoUniverseSelectionModelAlgorithm.cs

/*
 * 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.
 *
*/

using System.Linq;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.DataSource;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Example algorithm using the custom data type as a source of alpha
    /// </summary>
    public class CoinGeckoUniverseSelectionModelAlgorithm : QCAlgorithm
    {
        /// <summary>
        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            // Data ADDED via universe selection is added with Daily resolution.
            UniverseSettings.Resolution = Resolution.Daily;

            SetStartDate(2018, 4, 4);
            SetEndDate(2018, 4, 6);
            SetCash(100000);

            // add a custom universe data source (defaults to usa-equity)
            SetUniverseSelection(new CoinGeckoUniverseSelectionModel(data =>
            {
                foreach (var datum in data)
                {
                    Debug($"{datum.Coin},{datum.MarketCap},{datum.Price}");
                }

                // define our selection criteria
                return (from d in data
                        orderby d.MarketCap descending
                        select d.CreateSymbol(Market.GDAX, "USD", SecurityType.Crypto)).Take(3);
            }));
        }

        /// <summary>
        /// Event fired each time that we add/remove securities from the data feed
        /// </summary>
        /// <param name="changes">Security additions/removals for this time step</param>
        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            Debug(changes.ToString());
        }
    }
}