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 Python.Runtime;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.Framework.Selection
+{
+    /// <summary>
+    /// Universe selection model that selects the constituents of an ETF.
+    /// </summary>
+    public class ETFConstituentsUniverseSelectionModel : UniverseSelectionModel
+    {
+        private readonly Symbol _etfSymbol;
+        private readonly UniverseSettings _universeSettings;
+        private readonly Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> _universeFilterFunc;
+        private Universe _universe;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ETFConstituentsUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="etfSymbol">Symbol of the ETF to get constituents for</param>
+        /// <param name="universeSettings">Universe settings</param>
+        /// <param name="universeFilterFunc">Function to filter universe results</param>
+        public ETFConstituentsUniverseSelectionModel(
+            Symbol etfSymbol,
+            UniverseSettings universeSettings,
+            Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
+        {
+            _etfSymbol = etfSymbol;
+            _universeSettings = universeSettings;
+            _universeFilterFunc = universeFilterFunc;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ETFConstituentsUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="etfSymbol">Symbol of the ETF to get constituents for</param>
+        /// <param name="universeFilterFunc">Function to filter universe results</param>
+        public ETFConstituentsUniverseSelectionModel(
+            Symbol etfSymbol,
+            Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
+            : this(etfSymbol, null, universeFilterFunc)
+        { }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ETFConstituentsUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="etfSymbol">Symbol of the ETF to get constituents for</param>
+        /// <param name="universeSettings">Universe settings</param>
+        /// <param name="universeFilterFunc">Function to filter universe results</param>
+        public ETFConstituentsUniverseSelectionModel(
+            Symbol etfSymbol,
+            UniverseSettings universeSettings = null,
+            PyObject universeFilterFunc = null) :
+            this(etfSymbol, universeSettings, universeFilterFunc.ConvertPythonUniverseFilterFunction<ETFConstituentUniverse>())
+        { }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ETFConstituentsUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="etfTicker">The string ETF ticker symbol</param>
+        /// <param name="universeSettings">Universe settings</param>
+        /// <param name="universeFilterFunc">Function to filter universe results</param>
+        public ETFConstituentsUniverseSelectionModel(
+            string etfTicker,
+            UniverseSettings universeSettings,
+            Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
+        {
+            _etfSymbol = SymbolCache.TryGetSymbol(etfTicker, out var symbol)
+                && symbol.SecurityType == SecurityType.Equity
+                ? symbol : Symbol.Create(etfTicker, SecurityType.Equity, Market.USA);
+
+            _universeSettings = universeSettings;
+            _universeFilterFunc = universeFilterFunc;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ETFConstituentsUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="etfTicker">The string ETF ticker symbol</param>
+        /// <param name="universeFilterFunc">Function to filter universe results</param>
+        public ETFConstituentsUniverseSelectionModel(
+            string etfTicker,
+            Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> universeFilterFunc)
+            : this(etfTicker, null, universeFilterFunc)
+        { }
+
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ETFConstituentsUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="etfTicker">The string ETF ticker symbol</param>
+        /// <param name="universeSettings">Universe settings</param>
+        /// <param name="universeFilterFunc">Function to filter universe results</param>
+        public ETFConstituentsUniverseSelectionModel(
+            string etfTicker,
+            UniverseSettings universeSettings = null,
+            PyObject universeFilterFunc = null) :
+            this(etfTicker, universeSettings, universeFilterFunc.ConvertPythonUniverseFilterFunction<ETFConstituentUniverse>())
+        { }
+
+        /// <summary>
+        /// Creates a new ETF constituents universe using this class's selection function
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance to create universes for</param>
+        /// <returns>The universe defined by this model</returns>
+        public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
+        {
+            _universe ??= algorithm?.Universe.ETF(_etfSymbol, _universeSettings, _universeFilterFunc);
+            return new[] { _universe };
+        }
+    }
+}