Overall Statistics
// https://www.quantconnect.com/forum/discussion/918/feature-coarse-universe-selection

using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;

namespace QuantConnect.Algorithm.CSharp
	// In this algorithm we show how you can easily define a
	// universe using our coarse selection data. This data includes
	// a few properties, including the daily DollarVolume, the daily Volume
	// and also the daily closing price via the Value property.
    public class CoarseFundamentalTop5Algorithm : QCAlgorithm
        // initialize our security changes to nothing
        SecurityChanges _changes = SecurityChanges.None;

		//Coarse region "Variables"
		private const decimal minPrice = 50;
		private const decimal maxPrice = 100;
		private const int numberOfSymbolsCoarse  = 15;
		private const decimal minVolume = 50000;
		private const decimal tpPercent = 1.01m;

        public override void Initialize()
        	// this sets the resolution for securities added via universe selection
            UniverseSettings.Resolution = Resolution.Minute;

            SetStartDate(2018, 5, 6);
            SetEndDate(2018, 5, 12);

            // this add universe method accepts a single parameter that is a function that
            // accepts an IEnumerable<CoarseFundamental> and returns IEnumerable<Symbol>
            AddUniverse(coarse =>
            	return (from stock in coarse
            			where stock.Price > minPrice
                        where stock.Price < maxPrice
              			where stock.Volume > minVolume
            			orderby stock.DollarVolume descending  
            			select stock.Symbol).Take(numberOfSymbolsCoarse);


        // sort the data by daily dollar volume and take the top 5 symbols
        public static IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
            // sort descending by daily dollar volume
            var sortedByDollarVolume = coarse.OrderByDescending(x => x.DollarVolume);
            // take the top 5 entries from our sorted collection
            var top5 = sortedByDollarVolume.Take(5);
            // we need to return only the symbols
            return top5.Select(x => x.Symbol);

        //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
        public void OnData(TradeBars data)
            // if we have no changes, do nothing
            if (_changes == SecurityChanges.None) return;

            // liquidate removed securities
            foreach (var security in _changes.RemovedSecurities)
                if (security.Invested)

            // we want 25% allocation in each security in our universe (total of 150% invested)
            foreach (var security in _changes.AddedSecurities)
                SetHoldings(security.Symbol, 0.25m);
            // reset our changes
            _changes = SecurityChanges.None;

        // this event fires whenever we have changes to our universe
        public override void OnSecuritiesChanged(SecurityChanges changes)
            _changes = changes;