How to convert a Python fineselectionfunction to c# based on self.history() ? by Quant Trader

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How to do this in C#?

    def CoarseSelectionFunction(self, coarse):

        if self.rebalence_flag or self.first_month_trade_flag:

            # drop stocks which have no fundamental data or have too low prices

            selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 5)]

            # rank the stocks by dollar volume 

            filtered = sorted(selected, key=lambda x: x.DollarVolume, reverse=True) 

    

            return [ x.Symbol for x in filtered[:200]]

        else:

            return self.symbols





    def FineSelectionFunction(self, fine):

        if self.rebalence_flag or self.first_month_trade_flag:

            hist = self.History([i.Symbol for i in fine], 1, Resolution.Daily)

            try:

                filtered_fine = [x for x in fine if (x.ValuationRatios.EVToEBITDA > 0) 

                                                    and (x.EarningReports.BasicAverageShares.ThreeMonths > 0) 

                                                    and float(x.EarningReports.BasicAverageShares.ThreeMonths) * hist.loc[str(x.Symbol)]['close'][0] > 2e9]

            except:

                filtered_fine = [x for x in fine if (x.ValuationRatios.EVToEBITDA > 0) 

                                                and (x.EarningReports.BasicAverageShares.ThreeMonths > 0)] 



            top = sorted(filtered_fine, key = lambda x: x.ValuationRatios.EVToEBITDA, reverse=True)[:self.num_screener]

            self.symbols = [x.Symbol for x in top]

            

            self.rebalence_flag = 0

            self.first_month_trade_flag = 0

            self.trade_flag = 1

            return self.symbols

        else:

            return self.symbols

I tried:

        public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)

        {

            if (!_reSelectUniverse)

                return Enumerable.Empty<Symbol>();



            var hist = History(fine.Select(x => x.Symbol), 1, Resolution.Daily);



            try

            {

                filtered = from x in fine

                           where x.SecurityReference.SecurityType == "ST00000001"

                           where x.SecurityReference.IsPrimaryShare

                           where x.ValuationRatios.EVToEBITDA > 0

                           where x.EarningReports.BasicAverageShares.ThreeMonths > 0

                           where ((float) x.EarningReports.BasicAverageShares.ThreeMonths) * hist ????) > 2 * 1000 * 1000 * 1000)

                           select x;



               filtered_fine = [x for x in fine if (x.ValuationRatios.EVToEBITDA > 0)

                        and(x.EarningReports.BasicAverageShares.ThreeMonths > 0)

                                                         and float(x.EarningReports.BasicAverageShares.ThreeMonths) * hist.loc[str(x.Symbol)]['close'][0] > 2e9]

            }

            catch

            {

                except:

                filtered_fine = [x for x in fine if (x.ValuationRatios.EVToEBITDA > 0)

                        and(x.EarningReports.BasicAverageShares.ThreeMonths > 0)] 

            }



            return filtered.OrderByDescending(x => x.ValuationRatios.EVToEBITDA).Select(x => x.Symbol); 



            }

no success so far...

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Accepted Answer

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Alexandre Catarino

Pro ,

I have attached a backtest of a simplified C# version of your code.
The key part is the FineSelectionFunction method:

public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)

{

    if (_reSelectUniverse)

    {

        _symbols = fine

            .Where(x => x.SecurityReference.SecurityType == "ST00000001")

            .Where(x => x.SecurityReference.IsPrimaryShare)

            .Where(x => x.ValuationRatios.EVToEBITDA > 0)

            .Where(x => x.EarningReports.BasicAverageShares.ThreeMonths > 0)

            .Where(x => 

            {

                var averageShares = x.EarningReports.BasicAverageShares.ThreeMonths;

                var history = History(x.Symbol, 1, Resolution.Daily);

                var close = history.FirstOrDefault()?.Close;

                	    

                // If history is empty, close will be null

                // In this case, we will not consider the security

                if (close == null)

                {

                    return false;

                }

                	    

                return averageShares * close > 2 * 1000 * 1000 * 1000;

             })

             .OrderByDescending(x => x.ValuationRatios.EVToEBITDA)

             .Select(x => x.Symbol);

        }

        return _symbols;

    }

}

Note that we make a history request for a single symbol only if the previsous conditions were met. If the request turns out to return an empty enumerable, that symbol will not be added.

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