Intraday Market-Wide Ups/Downs and Returns

1from AlgorithmImports import *
2from typing import List, Dict
3from dataclasses import dataclass
4# endregion
5class IntradayMarketWideUpsDowns(QCAlgorithm):
6def Initialize(self) -> None:
7self.SetStartDate(2010, 1, 1)
8self.SetCash(100000)
9
10self.exchange_codes: List[str] = ['NYS', 'NAS', 'ASE']	
11data: Equity = self.AddEquity('SPY', Resolution.Minute)
12data.SetFeeModel(CustomFeeModel())
13self.symbol: Symbol = data.Symbol
14
15self.data: Dict[Symbol, SymbolData] = {} # Storing SymbolData for each stocks
16self.selected_stocks: List[Symbol] = []
17
18self.fundamental_count: int = 500
19self.fundamental_sorting_key = lambda x: x.DollarVolume
20
21self.selection_flag: bool = False
22self.settings.daily_precise_end_time = False
23self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
24self.UniverseSettings.Resolution = Resolution.Minute
25self.AddUniverse(self.FundamentalSelectionFunction)
26self.Schedule.On(self.DateRules.MonthStart(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Selection)
27    
28def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> List[Symbol]:
29# Rebalance monthly
30if not self.selection_flag:
31    return Universe.Unchanged
32self.selection_flag = False
33
34# Filter universe
35selected: List[Fundamental] = [
36    x for x in fundamental if x.HasFundamentalData and x.Market == 'usa' and x.SecurityReference.ExchangeId in self.exchange_codes
37]
38if len(selected) > self.fundamental_count:
39    selected = [x for x in sorted(selected, key=self.fundamental_sorting_key, reverse=True)[:self.fundamental_count]]    
40    
41# Add filtered stocks in self.data dictionary
42for stock in selected:
43    symbol: Symbol = stock.Symbol
44    self.data[symbol] = SymbolData()
45
46# Store selected stocks symbols in self.selected_stocks parameter
47self.selected_stocks = list(map(lambda x:x.Symbol, selected))
48
49return self.selected_stocks
50
51def OnData(self, data: Slice) -> None:
52# Trade stocks at this time
53if self.Time.hour == 9 and self.Time.minute == 45 and len(self.selected_stocks) > 0:
54    # Diffrence between upwards and downwards
55    difference: Union[None, float] = None
56    
57    # Make calculation for each stock in self.selected_stocks
58    for symbol in self.selected_stocks:
59        # Check if symbol is in data slices and stock with this symbol has close price
60        if symbol in data and data[symbol] and self.data[symbol].close:
61            price: float = data[symbol].Value
62            
63            # Make sure, that trade is make based on difference
64            if difference == None:
65                difference = 0
66                
67            # If stock's current price is greater than it's close,
68            # then it is upwards stock, otherwise it is downwards stock
69            if price > self.data[symbol].close:
70                difference += 1
71            else:
72                difference -= 1
73    
74    # Trade only if it calculated difference
75    if difference != None:
76        # Calculate uds based od difference between upwards and downwards divided by total count of selected stocks            
77        uds: float = difference / len(self.selected_stocks)
78        trade_direction: int = 1 if uds >= 0 else -1
79        
80        self.SetHoldings(self.symbol, trade_direction)
81    
82# Store close prices and liquidate portfolio
83if self.Time.hour == 15 and self.Time.minute == 59 and len(self.selected_stocks) != 0:
84    
85    # Update closes of stocks
86    for symbol in self.selected_stocks:
87        # Check if symbol is in data slices
88        if symbol in data and data[symbol]:
89            self.data[symbol].close = data[symbol].Value
90        
91    # Liquidate portfolio
92    self.Liquidate()
93
94def Selection(self) -> None:
95self.selection_flag = True
96
97@dataclass
98class SymbolData():
99close: Union[None, float] = None
100open: Union[None, float] = None
101# Custom fee model.
102class CustomFeeModel(FeeModel):
103def GetOrderFee(self, parameters: OrderFeeParameters) -> OrderFee:
104fee: float = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
105return OrderFee(CashAmount(fee, "USD"))