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.Linq;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Securities.Future;
+using Python.Runtime;
+
+namespace QuantConnect.Algorithm.Selection
+{
+    /// <summary>
+    /// This universe selection model will chain to the security changes of a given <see cref="Universe"/> selection
+    /// output and create a new <see cref="OptionChainUniverse"/> for each of them
+    /// </summary>
+    public class OptionChainedUniverseSelectionModel : UniverseSelectionModel
+    {
+        private DateTime _nextRefreshTimeUtc;
+        private IEnumerable<Symbol> _currentSymbols;
+        private readonly UniverseSettings _universeSettings;
+        private readonly Func<OptionFilterUniverse, OptionFilterUniverse> _optionFilter;
+
+        /// <summary>
+        /// Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.
+        /// </summary>
+        public override DateTime GetNextRefreshTimeUtc() => _nextRefreshTimeUtc;
+
+        /// <summary>
+        /// Creates a new instance of <see cref="OptionChainedUniverseSelectionModel"/>
+        /// </summary>
+        /// <param name="universe">The universe we want to chain to</param>
+        /// <param name="optionFilter">The option filter universe to use</param>
+        /// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
+        public OptionChainedUniverseSelectionModel(Universe universe,
+            Func<OptionFilterUniverse, OptionFilterUniverse> optionFilter,
+            UniverseSettings universeSettings = null)
+        {
+            _optionFilter = optionFilter;
+            _universeSettings = universeSettings;
+            _nextRefreshTimeUtc = DateTime.MaxValue;
+
+            _currentSymbols = Enumerable.Empty<Symbol>();
+            universe.SelectionChanged += (sender, args) =>
+            {
+                // the universe we were watching changed, this will trigger a call to CreateUniverses
+                _nextRefreshTimeUtc = DateTime.MinValue;
+
+                // We must create the new option Symbol using the CreateOption(Symbol, ...) overload.
+                // Otherwise, we'll end up loading equity data for the selected Symbol, which won't
+                // work whenever we're loading options data for any non-equity underlying asset class.
+                _currentSymbols = ((Universe.SelectionEventArgs)args).CurrentSelection
+                    .Select(symbol => Symbol.CreateOption(
+                        symbol,
+                        symbol.ID.Market,
+                        symbol.SecurityType.DefaultOptionStyle(),
+                        default(OptionRight),
+                        0m,
+                        SecurityIdentifier.DefaultDate))
+                    .ToList();
+            };
+        }
+
+        /// <summary>
+        /// Creates a new instance of <see cref="OptionChainedUniverseSelectionModel"/>
+        /// </summary>
+        /// <param name="universe">The universe we want to chain to</param>
+        /// <param name="optionFilter">The python option filter universe to use</param>
+        /// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
+        public OptionChainedUniverseSelectionModel(Universe universe,
+            PyObject optionFilter,
+            UniverseSettings universeSettings = null): this(universe, ConvertOptionFilter(optionFilter), universeSettings)
+        {
+        }
+
+        /// <summary>
+        /// Creates the universes for this algorithm. Called once after <see cref="IAlgorithm.Initialize"/>
+        /// </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)
+        {
+            _nextRefreshTimeUtc = DateTime.MaxValue;
+
+            foreach (var optionSymbol in _currentSymbols)
+            {
+                yield return algorithm.CreateOptionChain(optionSymbol, _optionFilter, _universeSettings);
+            }
+        }
+
+        private static Func<OptionFilterUniverse, OptionFilterUniverse> ConvertOptionFilter(PyObject optionFilter)
+        {
+            using (Py.GIL())
+            {
+                return optionFilter.SafeAs<Func<OptionFilterUniverse, OptionFilterUniverse>>();
+            }
+        }
+    }
+}