chore: import upstream snapshot with attribution
This commit is contained in:
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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*/
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using System;
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using System.Linq;
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using Python.Runtime;
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using System.Collections.Generic;
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using QuantConnect.Data.Fundamental;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm
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{
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/// <summary>
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/// Provides helpers for defining universes in algorithms
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/// </summary>
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public class UniverseDefinitions
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{
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private readonly QCAlgorithm _algorithm;
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/// <summary>
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/// Gets a helper that provides methods for creating universes based on daily dollar volumes
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/// </summary>
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public DollarVolumeUniverseDefinitions DollarVolume { get; set; }
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/// <summary>
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/// Specifies that universe selection should not make changes on this iteration
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/// </summary>
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public Universe.UnchangedUniverse Unchanged => Universe.Unchanged;
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/// <summary>
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/// Initializes a new instance of the <see cref="UniverseDefinitions"/> class
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/// </summary>
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/// <param name="algorithm">The algorithm instance, used for obtaining the default <see cref="UniverseSettings"/></param>
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public UniverseDefinitions(QCAlgorithm algorithm)
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{
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_algorithm = algorithm;
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DollarVolume = new DollarVolumeUniverseDefinitions(algorithm);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
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/// </summary>
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/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
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/// <param name="market">Market of the ETF</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New ETF constituents Universe</returns>
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public Universe ETF(
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string etfTicker,
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string market,
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UniverseSettings universeSettings,
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Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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market ??= _algorithm.BrokerageModel.DefaultMarkets.TryGetValue(SecurityType.Equity, out var defaultMarket)
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? defaultMarket
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: throw new Exception("No default market set for security type: Equity");
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var etfSymbol = new Symbol(
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SecurityIdentifier.GenerateEquity(
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etfTicker,
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market,
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true,
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mappingResolveDate: _algorithm.Time.Date),
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etfTicker);
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return ETF(etfSymbol, universeSettings, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
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/// </summary>
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/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
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/// <param name="market">Market of the ETF</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New ETF constituents Universe</returns>
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public Universe ETF(string etfTicker, string market, Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return ETF(etfTicker, market, null, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
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/// </summary>
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/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New ETF constituents Universe</returns>
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public Universe ETF(string etfTicker, Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return ETF(etfTicker, null, null, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
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/// </summary>
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/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New ETF constituents Universe</returns>
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public Universe ETF(
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string etfTicker,
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UniverseSettings universeSettings,
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Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return ETF(etfTicker, null, universeSettings, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
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/// </summary>
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/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
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/// <param name="market">Market of the ETF</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New ETF constituents Universe</returns>
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public Universe ETF(
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string etfTicker,
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string market = null,
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UniverseSettings universeSettings = null,
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PyObject universeFilterFunc = null)
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{
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return ETF(etfTicker, market, universeSettings, universeFilterFunc?.ConvertPythonUniverseFilterFunction<ETFConstituentUniverse>());
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="etfTicker"/>
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/// </summary>
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/// <param name="etfTicker">Ticker of the ETF to get constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New ETF constituents Universe</returns>
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public Universe ETF(
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string etfTicker,
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UniverseSettings universeSettings,
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PyObject universeFilterFunc)
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{
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return ETF(etfTicker, null, universeSettings, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided ETF <paramref name="symbol"/>
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/// </summary>
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/// <param name="symbol">ETF Symbol to get constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New ETF constituents Universe</returns>
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public Universe ETF(Symbol symbol, UniverseSettings universeSettings,
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Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return new ETFConstituentsUniverseFactory(symbol, universeSettings ?? _algorithm.UniverseSettings, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided ETF <paramref name="symbol"/>
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/// </summary>
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/// <param name="symbol">ETF Symbol to get constituents for</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New ETF constituents Universe</returns>
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public Universe ETF(Symbol symbol, Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return ETF(symbol, null, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided ETF <paramref name="symbol"/>
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/// </summary>
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/// <param name="symbol">ETF Symbol to get constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New ETF constituents Universe</returns>
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public Universe ETF(Symbol symbol, UniverseSettings universeSettings = null, PyObject universeFilterFunc = null)
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{
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return ETF(symbol, universeSettings ?? _algorithm.UniverseSettings,
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universeFilterFunc?.ConvertPythonUniverseFilterFunction<ETFConstituentUniverse>());
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
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/// </summary>
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/// <param name="indexTicker">Ticker of the index to get constituents for</param>
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/// <param name="market">Market of the index</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New index constituents Universe</returns>
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public Universe Index(string indexTicker, string market, UniverseSettings universeSettings,
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Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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market ??= _algorithm.BrokerageModel.DefaultMarkets.TryGetValue(SecurityType.Index, out var defaultMarket)
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? defaultMarket
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: throw new Exception("No default market set for security type: Index");
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return Index(
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Symbol.Create(indexTicker, SecurityType.Index, market),
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universeSettings,
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universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
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/// </summary>
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/// <param name="indexTicker">Ticker of the index to get constituents for</param>
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/// <param name="market">Market of the index</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New index constituents Universe</returns>
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public Universe Index(string indexTicker, string market, Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return Index(indexTicker, market, null, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
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/// </summary>
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/// <param name="indexTicker">Ticker of the index to get constituents for</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New index constituents Universe</returns>
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public Universe Index(string indexTicker, Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return Index(indexTicker, null, null, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
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/// </summary>
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/// <param name="indexTicker">Ticker of the index to get constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New index constituents Universe</returns>
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public Universe Index(string indexTicker, UniverseSettings universeSettings,
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Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return Index(indexTicker, null, universeSettings, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
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/// </summary>
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/// <param name="indexTicker">Ticker of the index to get constituents for</param>
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/// <param name="market">Market of the index</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New index constituents Universe</returns>
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public Universe Index(
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string indexTicker,
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string market = null,
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UniverseSettings universeSettings = null,
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PyObject universeFilterFunc = null)
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{
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return Index(indexTicker, market, universeSettings, universeFilterFunc?.ConvertPythonUniverseFilterFunction<ETFConstituentUniverse>());
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="indexTicker"/>
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/// </summary>
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/// <param name="indexTicker">Ticker of the index to get constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New index constituents Universe</returns>
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public Universe Index(
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string indexTicker,
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UniverseSettings universeSettings,
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PyObject universeFilterFunc)
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{
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return Index(indexTicker, null, universeSettings, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="indexSymbol"/>
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/// </summary>
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/// <param name="indexSymbol">Index Symbol to get constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New index constituents Universe</returns>
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public Universe Index(Symbol indexSymbol, UniverseSettings universeSettings,
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Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return new ETFConstituentsUniverseFactory(indexSymbol, universeSettings, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="indexSymbol"/>
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/// </summary>
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/// <param name="indexSymbol">Index Symbol to get constituents for</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New index constituents Universe</returns>
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public Universe Index(Symbol indexSymbol, Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
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{
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return Index(indexSymbol, null, universeFilterFunc);
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}
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/// <summary>
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/// Creates a universe for the constituents of the provided <paramref name="indexSymbol"/>
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/// </summary>
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/// <param name="indexSymbol">Index Symbol to get constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="universeFilterFunc">Function to filter universe results</param>
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/// <returns>New index constituents Universe</returns>
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public Universe Index(
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Symbol indexSymbol,
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UniverseSettings universeSettings = null,
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PyObject universeFilterFunc = null)
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{
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return Index(indexSymbol, universeSettings ?? _algorithm.UniverseSettings,
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universeFilterFunc?.ConvertPythonUniverseFilterFunction<ETFConstituentUniverse>());
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}
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/// <summary>
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/// Creates a new fine universe that contains the constituents of QC500 index based onthe company fundamentals
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/// The algorithm creates a default tradable and liquid universe containing 500 US equities
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/// which are chosen at the first trading day of each month.
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/// </summary>
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/// <returns>A new coarse universe for the top count of stocks by dollar volume</returns>
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public Universe QC500
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{
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get
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{
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return ETF(Symbol.Create("SPY", SecurityType.Equity, Market.USA));
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}
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}
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/// <summary>
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/// Creates a new coarse universe that contains the top count of stocks
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/// by daily dollar volume
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/// </summary>
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/// <param name="count">The number of stock to select</param>
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/// <param name="universeSettings">The settings for stocks added by this universe.
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/// Defaults to <see cref="QCAlgorithm.UniverseSettings"/></param>
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/// <returns>A new coarse universe for the top count of stocks by dollar volume</returns>
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public Universe Top(int count, UniverseSettings universeSettings = null)
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{
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universeSettings ??= _algorithm.UniverseSettings;
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var symbol = Symbol.Create("us-equity-dollar-volume-top-" + count, SecurityType.Equity, Market.USA);
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return FundamentalUniverse.USA(selectionData => (
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from c in selectionData
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orderby c.DollarVolume descending
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select c.Symbol).Take(count),
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universeSettings);
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}
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}
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}
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