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 +1,66 @@
+# 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.
+
+from AlgorithmImports import *
+from clr import GetClrType as typeof
+
+from Selection.UniverseSelectionModel import UniverseSelectionModel
+from itertools import groupby
+
+class ManualUniverseSelectionModel(UniverseSelectionModel):
+    '''Provides an implementation of IUniverseSelectionModel that simply subscribes to the specified set of symbols'''
+
+    def __init__(self, symbols = list(), universe_settings = None):
+        self.marketHours = MarketHoursDatabase.from_data_folder()
+        self.symbols = symbols
+        self.universe_settings = universe_settings
+
+        for symbol in symbols:
+            SymbolCache.set(symbol.Value, symbol)
+
+    def create_universes(self, algorithm: QCAlgorithm) -> list[Universe]:
+        '''Creates the universes for this algorithm. Called once after IAlgorithm.Initialize
+        Args:
+            algorithm: The algorithm instance to create universes for</param>
+        Returns:
+            The universes to be used by the algorithm'''
+        universe_settings = self.universe_settings \
+            if self.universe_settings is not None else algorithm.universe_settings
+
+        resolution = universe_settings.resolution
+        type = typeof(Tick) if resolution == Resolution.TICK else typeof(TradeBar)
+
+        universes = list()
+
+        # universe per security type/market
+        self.symbols = sorted(self.symbols, key=lambda s: (s.id.market, s.security_type))
+        for key, grp in groupby(self.symbols, lambda s: (s.id.market, s.security_type)):
+
+            market = key[0]
+            security_type = key[1]
+            universe_symbol = Symbol.create(f"manual-universe-selection-model-{security_type}-{market}", security_type, market)
+
+            if security_type == 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.
+                symbol_string = MarketHoursDatabase.get_database_symbol_key(universe_symbol)
+                always_open = SecurityExchangeHours.always_open(TimeZones.NEW_YORK)
+                entry = self.marketHours.set_entry(market, symbol_string, security_type, always_open, TimeZones.NEW_YORK)
+            else:
+                entry = self.marketHours.get_entry(market, None, security_type)
+
+            config = SubscriptionDataConfig(type, universe_symbol, resolution, entry.data_time_zone, entry.exchange_hours.time_zone, False, False, True)
+            universes.append( ManualUniverse(config, universe_settings, list(grp)))
+
+        return universes