chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Provides an implementation of <see cref="IUniverseSelectionModel"/> that simply
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/// subscribes to the specified set of symbols
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/// </summary>
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public class CustomUniverseSelectionModel : UniverseSelectionModel
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{
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private static readonly MarketHoursDatabase MarketHours = MarketHoursDatabase.FromDataFolder();
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private readonly Symbol _symbol;
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private readonly Func<DateTime, IEnumerable<string>> _selector;
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private readonly UniverseSettings _universeSettings;
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private readonly TimeSpan _interval;
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/// <summary>
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/// Initializes a new instance of the <see cref="CustomUniverseSelectionModel"/> class
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/// for <see cref="Market.USA"/> and <see cref="SecurityType.Equity"/>
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/// using the algorithm's universe settings
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/// </summary>
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/// <param name="name">A unique name for this universe</param>
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/// <param name="selector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
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public CustomUniverseSelectionModel(string name, Func<DateTime, IEnumerable<string>> selector)
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: this(SecurityType.Equity, name, Market.USA, selector, null, Time.OneDay)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="CustomUniverseSelectionModel"/> class
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/// for <see cref="Market.USA"/> and <see cref="SecurityType.Equity"/>
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/// using the algorithm's universe settings
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/// </summary>
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/// <param name="name">A unique name for this universe</param>
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/// <param name="selector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
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public CustomUniverseSelectionModel(string name, PyObject selector)
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: this(SecurityType.Equity, name, Market.USA, selector, null, Time.OneDay)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="CustomUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="securityType">The security type of the universe</param>
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/// <param name="name">A unique name for this universe</param>
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/// <param name="market">The market of the universe</param>
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/// <param name="selector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
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/// <param name="universeSettings">The settings used when adding symbols to the algorithm, specify null to use algorithm.UniverseSettings</param>
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/// <param name="interval">The interval at which selection should be performed</param>
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public CustomUniverseSelectionModel(SecurityType securityType, string name, string market, Func<DateTime, IEnumerable<string>> selector, UniverseSettings universeSettings, TimeSpan interval)
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{
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_interval = interval;
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_selector = selector;
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_universeSettings = universeSettings;
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_symbol = Symbol.Create($"{name}-{securityType}-{market}", securityType, market);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="CustomUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="securityType">The security type of the universe</param>
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/// <param name="name">A unique name for this universe</param>
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/// <param name="market">The market of the universe</param>
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/// <param name="selector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
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/// <param name="universeSettings">The settings used when adding symbols to the algorithm, specify null to use algorithm.UniverseSettings</param>
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/// <param name="interval">The interval at which selection should be performed</param>
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public CustomUniverseSelectionModel(SecurityType securityType, string name, string market, PyObject selector, UniverseSettings universeSettings, TimeSpan interval)
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: this(
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securityType,
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name,
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market,
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selector.SafeAs<Func<DateTime, object>>().ConvertToUniverseSelectionStringDelegate(),
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universeSettings,
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interval
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)
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{
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}
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/// <summary>
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/// Creates the universes for this algorithm. Called at algorithm start.
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/// </summary>
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/// <returns>The universes defined by this model</returns>
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public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
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{
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var universeSettings = _universeSettings ?? algorithm.UniverseSettings;
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var entry = MarketHours.GetEntry(_symbol.ID.Market, (string)null, _symbol.SecurityType);
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var config = new SubscriptionDataConfig(
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universeSettings.Resolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar),
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_symbol,
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universeSettings.Resolution,
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entry.DataTimeZone,
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entry.ExchangeHours.TimeZone,
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universeSettings.FillForward,
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universeSettings.ExtendedMarketHours,
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true
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);
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yield return new CustomUniverse(config, universeSettings, _interval, dt => Select(algorithm, dt));
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}
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/// <summary>
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///
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/// </summary>
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/// <param name="algorithm"></param>
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/// <param name="date"></param>
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/// <returns></returns>
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public virtual IEnumerable<string> Select(QCAlgorithm algorithm, DateTime date)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(Select), out IEnumerable<string> result, algorithm, date))
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{
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return result;
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}
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if (_selector == null)
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{
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throw new ArgumentNullException(nameof(_selector));
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}
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return _selector(date);
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}
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/// <summary>
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/// Returns a string that represents the current object
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/// </summary>
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public override string ToString() => _symbol.Value;
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}
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}
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