from Selection.FundamentalUniverseSelectionModel import FundamentalUniverseSelectionModel
import pandas as pd

class MultidimensionalDynamicProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 5, 2)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        self.SetUniverseSelection(LiquidValueUniverseSelectionModel())

        
class LiquidValueUniverseSelectionModel(FundamentalUniverseSelectionModel):
    
    def __init__(self):
        self.lastWeek = -1 
        self.called = 0
        super().__init__(True)
        
    def SelectCoarse(self, algorithm, coarse):
        if not algorithm.Time.day % 7 == 0:
            return Universe.Unchanged

        sortedByDollarVolume = sorted([x for x in coarse if x.HasFundamentalData],
            key=lambda x: x.DollarVolume, reverse=True)

        return [x.Symbol for x in sortedByDollarVolume[:100]]

    def SelectFine(self, algorithm, fine):
        
        if not algorithm.Time.day % 7 == 0:
            return Universe.Unchanged
            
        factors_by_security_id = pd.DataFrame()
        
        for f in fine:
            factors_by_security_id.loc[str(f.Symbol), 'cash_return'] = f.ValuationRatios.CashReturn
            factors_by_security_id.loc[str(f.Symbol), 'earnings_yield'] =  f.ValuationRatios.EarningYield
        
        universe = factors_by_security_id.rank().sum(axis=1).sort_values().index[-10:]
        return [algorithm.Symbol(security_identifier) for security_identifier in universe]