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 QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.Framework.Selection
+{
+    /// <summary>
+    /// Defines a universe as a set of dynamically set symbols.
+    /// </summary>
+    public class CustomUniverse : UserDefinedUniverse
+    {
+        /// <summary>
+        /// Creates a new instance of the <see cref="CustomUniverse"/>
+        /// </summary>
+        public CustomUniverse(SubscriptionDataConfig configuration,
+            UniverseSettings universeSettings,
+            TimeSpan interval,
+            Func<DateTime, IEnumerable<string>> selector)
+            : base(configuration, universeSettings, interval, selector)
+        {
+        }
+
+        /// <summary>
+        /// Gets the subscription requests to be added for the specified security
+        /// </summary>
+        /// <param name="security">The security to get subscriptions for</param>
+        /// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
+        /// <param name="maximumEndTimeUtc">The max end time</param>
+        /// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
+        /// <returns>All subscriptions required by this security</returns>
+        public override IEnumerable<SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
+            ISubscriptionDataConfigService subscriptionService)
+        {
+            // CustomUniverse will return any existing SDC for the symbol, else will create new, using universe settings.
+            var existingSubscriptionDataConfigs = subscriptionService.GetSubscriptionDataConfigs(security.Symbol);
+
+            if (existingSubscriptionDataConfigs.Any())
+            {
+                return existingSubscriptionDataConfigs.Select(
+                    config => new SubscriptionRequest(isUniverseSubscription: false,
+                        universe: this,
+                        security: security,
+                        configuration: config,
+                        startTimeUtc: currentTimeUtc,
+                        endTimeUtc: maximumEndTimeUtc));
+            }
+            return base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService);
+        }
+    }
+}