from AlgorithmImports import *
from QuantConnect.DataSource import *

class USEquityCoarseUniverseConstituentsDataAlgorithm(QCAlgorithm):

    _number_of_symbols = 3
    _changes = None

    def initialize(self) -> None:
        self.set_start_date(2021, 1, 1)
        self.set_end_date(2021, 7, 1)
        self.set_cash(100000)
        # Set Asynchronous to True to improve speed performance
        self.universe_settings.asynchronous = True
        # Requesting data
        self.add_universe(self.fundamental_selection_function)

    def fundamental_selection_function(self, fundamental: List[Fundamental]) -> List[Symbol]:
        sortedByDollarVolume = sorted(fundamental, key=lambda x: x.dollar_volume, reverse=True)
        return [ x.symbol for x in sortedByDollarVolume[:self._number_of_symbols] ] 

    def on_data(self, slice: Slice) -> None:
        # if we have no changes, do nothing
        if self._changes is None: return

        # liquidate removed securities
        for security in self._changes.removed_securities:
            if security.invested:
                self.liquidate(security.symbol)

        # we want 1/N allocation in each security in our universe
        for security in self._changes.added_securities:
            self.set_holdings(security.symbol, 1 / self._number_of_symbols)

        self._changes = None

    def on_securities_changed(self, changes: SecurityChanges) -> None:
        self._changes = changes
        
        for security in changes.added_securities:
            # Historical data
            history = self.history(security.symbol, 7, Resolution.DAILY)
            self.debug(f"We got {len(history)} from our history request for {security.symbol}")