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
@@ -0,0 +1,133 @@
+/*
+ * 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.Market;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.Framework.Selection
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IUniverseSelectionModel"/> that simply
+    /// subscribes to the specified set of symbols
+    /// </summary>
+    public class ManualUniverseSelectionModel : UniverseSelectionModel
+    {
+        private static readonly MarketHoursDatabase MarketHours = MarketHoursDatabase.FromDataFolder();
+
+        private readonly IReadOnlyList<Symbol> _symbols;
+        private readonly UniverseSettings _universeSettings;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ManualUniverseSelectionModel"/> class using the algorithm's
+        /// security initializer and universe settings
+        /// </summary>
+        public ManualUniverseSelectionModel()
+            : this(Enumerable.Empty<Symbol>())
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ManualUniverseSelectionModel"/> class using the algorithm's
+        /// security initializer and universe settings
+        /// </summary>
+        /// <param name="symbols">The symbols to subscribe to.
+        /// Should not send in symbols at <see cref="QCAlgorithm.Securities"/> since those will be managed by the <see cref="UserDefinedUniverse"/></param>
+        public ManualUniverseSelectionModel(IEnumerable<Symbol> symbols)
+            : this(symbols.ToArray())
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ManualUniverseSelectionModel"/> class using the algorithm's
+        /// security initializer and universe settings
+        /// </summary>
+        /// <param name="symbols">The symbols to subscribe to
+        /// Should not send in symbols at <see cref="QCAlgorithm.Securities"/> since those will be managed by the <see cref="UserDefinedUniverse"/></param>
+        public ManualUniverseSelectionModel(params Symbol[] symbols)
+            : this (symbols?.AsEnumerable(), null)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ManualUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="symbols">The symbols to subscribe to
+        /// Should not send in symbols at <see cref="QCAlgorithm.Securities"/> since those will be managed by the <see cref="UserDefinedUniverse"/></param>
+        /// <param name="universeSettings">The settings used when adding symbols to the algorithm, specify null to use algorithm.UniverseSettings</param>
+        public ManualUniverseSelectionModel(IEnumerable<Symbol> symbols, UniverseSettings universeSettings)
+        {
+            if (symbols == null)
+            {
+                throw new ArgumentNullException(nameof(symbols));
+            }
+
+            _symbols = symbols.Where(s => !s.IsCanonical()).ToList();
+            _universeSettings = universeSettings;
+
+            foreach (var symbol in _symbols)
+            {
+                SymbolCache.Set(symbol.Value, symbol);
+            }
+        }
+
+        /// <summary>
+        /// Creates the universes for this algorithm.
+        /// Called at algorithm start.
+        /// </summary>
+        /// <returns>The universes defined by this model</returns>
+        public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
+        {
+            var universeSettings = _universeSettings ?? algorithm.UniverseSettings;
+            var resolution = universeSettings.Resolution;
+            var type = resolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
+
+            // universe per security type/market
+            foreach (var grp in _symbols.GroupBy(s => new { s.ID.Market, s.SecurityType }))
+            {
+                MarketHoursDatabase.Entry entry;
+
+                var market = grp.Key.Market;
+                var securityType = grp.Key.SecurityType;
+                var hashCode = 1;
+                foreach (var symbol in grp)
+                {
+                    hashCode = hashCode * 31 + symbol.GetHashCode();
+                }
+                var universeSymbol = Symbol.Create($"manual-universe-selection-model-{securityType}-{market}-{hashCode}", securityType, market);
+                if (securityType == SecurityType.Base)
+                {
+                    // add an entry for this custom universe symbol -- we don't really know the time zone for sure,
+                    // but we set it to TimeZones.NewYork in AddData, also, since this is a manual universe, the time
+                    // zone doesn't actually matter since this universe specifically doesn't do anything with data.
+                    var symbolString = MarketHoursDatabase.GetDatabaseSymbolKey(universeSymbol);
+                    var alwaysOpen = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
+                    entry = MarketHours.SetEntry(market, symbolString, securityType, alwaysOpen, TimeZones.NewYork);
+                }
+                else
+                {
+                    entry = MarketHours.GetEntry(market, (string) null, securityType);
+                }
+
+                var config = new SubscriptionDataConfig(type, universeSymbol, resolution, entry.DataTimeZone, entry.ExchangeHours.TimeZone, false, false, true);
+                yield return new ManualUniverse(config, universeSettings, grp);
+            }
+        }
+    }
+}