Overall Statistics
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * See the License for the specific language governing permissions and
 * limitations under the License.

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

namespace QuantConnect.Algorithm.CSharp
    /// <summary>
    /// In this algorithm we demonstrate how to use the coarse fundamental data to
    /// define a universe as the top dollar volume
    /// </summary>
    public class UniverseSelectionADX : QCAlgorithm
        private const int NumberOfSymbols = 10;

        // initialize our changes to nothing
        SecurityChanges _changes = SecurityChanges.None;

        public override void Initialize()
            UniverseSettings.Resolution = Resolution.Daily;

            SetStartDate(2014, 01, 01);
            SetEndDate(2015, 01, 01);

            // this add universe method accepts a single parameter that is a function that
            // accepts an IEnumerable<CoarseFundamental> and returns IEnumerable<Symbol>

        // sort the data by daily dollar volume and take the top 'NumberOfSymbols'
        public static IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
            // sort descending by daily dollar volume
            var sortedByDollarVolume = coarse.OrderByDescending(x => x.DollarVolume);

            // take the top entries from our sorted collection
            var top5 = sortedByDollarVolume.Take(NumberOfSymbols);

            // we need to return only the symbol objects
            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 20% allocation in each security in our universe
            foreach (var security in _changes.AddedSecurities)
                var adx = new AverageDirectionalIndex("ADX14", 14);

                foreach (var bar in History(security.Symbol, 14))

                if (adx > 30)
                    SetHoldings(security.Symbol, 0.1m);

            _changes = SecurityChanges.None;

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