class SwimmingYellowGreenDogfish(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 1, 21)
        self.SetCash(100000) 
        self.dataBySymbol = {}
        self.AddUniverse(self.MyCoarseFilterFunction)
        self.UniverseSettings.Resolution = Resolution.Daily


    
    def MyCoarseFilterFunction(self, coarse):
         sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
         filtered = [ x.Symbol for x in sortedByDollarVolume 
                      if x.Price > 10 and x.DollarVolume > 10000000 ]
         return filtered[:10]
    def OnData(self, data):
        for symbol in self.dataBySymbol:
            if self.dataBySymbol[symbol].IsReady:
                self.Debug("sharpe ratio of "+str(symbol)+" is "+str(self.dataBySymbol[symbol].sharpe.Current.Value))
    def OnSecuritiesChanged(self, changes):
        for x in changes.AddedSecurities:
            if x.Symbol not in self.dataBySymbol:
                self.dataBySymbol[x.Symbol] = SymbolData(self,x.Symbol)
        for x in changes.RemovedSecurities:
            data = self.dataBySymbol.get(x.Symbol,None)
            if data:
                data.dispose()

class SymbolData:
    def __init__(self,algo,symbol):
        self.algo = algo
        self.symbol = symbol
        self.sharpe = SharpeRatio(7,0.1)
        history = self.algo.History(self.symbol,7,Resolution.Daily)
        if not  history.empty and 'close'  in history.columns:
            
            for bar in history.loc[symbol, :].itertuples():
                self.sharpe.Update(bar.Index,bar.close)

        self.consolidator = TradeBarConsolidator(timedelta(days = 1))
        self.consolidator.DataConsolidated += self.OnDataConsolidated
        
        algo.SubscriptionManager.AddConsolidator(self.symbol, self.consolidator)
        
    @property
    def IsReady(self):
        return self.sharpe.IsReady
    def OnDataConsolidated(self,sender,bar):
        self.sharpe.Update(bar.Time,bar.Close)
    def dispose(self):
        
        self.algo.SubscriptionManager.RemoveConsolidator(self.symbol, self.consolidator)