chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using Python.Runtime;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Util;
+
+namespace QuantConnect.Algorithm.Framework.Selection
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IUniverseSelectionModel"/> that combines multiple universe
+    /// selection models into a single model.
+    /// </summary>
+    public class CompositeUniverseSelectionModel : UniverseSelectionModel
+    {
+        private readonly List<IUniverseSelectionModel> _universeSelectionModels = new List<IUniverseSelectionModel>();
+        private bool _alreadyCalledCreateUniverses;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CompositeUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="universeSelectionModels">The individual universe selection models defining this composite model</param>
+        public CompositeUniverseSelectionModel(params IUniverseSelectionModel[] universeSelectionModels)
+        {
+            if (universeSelectionModels.IsNullOrEmpty())
+            {
+                throw new ArgumentException("Must specify at least 1 universe selection model for the CompositeUniverseSelectionModel");
+            }
+
+            _universeSelectionModels.AddRange(universeSelectionModels);
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="CompositeUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="universeSelectionModels">The individual universe selection models defining this composite model</param>
+        public CompositeUniverseSelectionModel(params PyObject[] universeSelectionModels)
+        {
+            if (universeSelectionModels.IsNullOrEmpty())
+            {
+                throw new ArgumentException("Must specify at least 1 universe selection model for the CompositeUniverseSelectionModel");
+            }
+
+            foreach (var pyUniverseSelectionModel in universeSelectionModels)
+            {
+                AddUniverseSelection(pyUniverseSelectionModel);
+            }
+        }
+
+        /// <summary>
+        /// Adds a new <see cref="IUniverseSelectionModel"/>
+        /// </summary>
+        /// <param name="universeSelectionModel">The universe selection model to add</param>
+        public void AddUniverseSelection(IUniverseSelectionModel universeSelectionModel)
+        {
+            _universeSelectionModels.Add(universeSelectionModel);
+        }
+
+        /// <summary>
+        /// Adds a new <see cref="IUniverseSelectionModel"/>
+        /// </summary>
+        /// <param name="pyUniverseSelectionModel">The universe selection model to add</param>
+        public void AddUniverseSelection(PyObject pyUniverseSelectionModel)
+        {
+            IUniverseSelectionModel selectionModel;
+            if (!pyUniverseSelectionModel.TryConvert(out selectionModel))
+            {
+                selectionModel = new UniverseSelectionModelPythonWrapper(pyUniverseSelectionModel);
+            }
+            _universeSelectionModels.Add(selectionModel);
+        }
+
+        /// <summary>
+        /// Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.
+        /// </summary>
+        public override DateTime GetNextRefreshTimeUtc()
+        {
+            return _universeSelectionModels.Min(model => model.GetNextRefreshTimeUtc());
+        }
+
+        /// <summary>
+        /// Creates the universes for this algorithm.
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance to create universes for</param>
+        /// <returns>The universes to be used by the algorithm</returns>
+        public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
+        {
+            foreach (var universeSelectionModel in _universeSelectionModels)
+            {
+                var selectionRefreshTime = universeSelectionModel.GetNextRefreshTimeUtc();
+                var refreshTime = algorithm.UtcTime >= selectionRefreshTime;
+                if (!_alreadyCalledCreateUniverses // first initial call
+                    || refreshTime
+                    || selectionRefreshTime == DateTime.MaxValue)
+                {
+                    foreach (var universe in universeSelectionModel.CreateUniverses(algorithm))
+                    {
+                        yield return universe;
+                    }
+                }
+            }
+            _alreadyCalledCreateUniverses = true;
+        }
+    }
+}