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 +1,50 @@
+# 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 Selection.UniverseSelectionModel import UniverseSelectionModel
+
+class ETFConstituentsUniverseSelectionModel(UniverseSelectionModel):
+    '''Universe selection model that selects the constituents of an ETF.'''
+
+    def __init__(self,
+                 etf_symbol,
+                 universe_settings = None,
+                 universe_filter_func = None):
+        '''Initializes a new instance of the ETFConstituentsUniverseSelectionModel class
+        Args:
+            etfSymbol: Symbol of the ETF to get constituents for
+            universeSettings: Universe settings
+            universeFilterFunc: Function to filter universe results'''
+        if type(etf_symbol) is str:
+            symbol = SymbolCache.try_get_symbol(etf_symbol, None)
+            if symbol[0] and symbol[1].security_type == SecurityType.EQUITY:
+                self.etf_symbol = symbol[1]
+            else:
+                self.etf_symbol = Symbol.create(etf_symbol, SecurityType.EQUITY, Market.USA)
+        else:
+            self.etf_symbol = etf_symbol
+        self.universe_settings = universe_settings
+        self.universe_filter_function = universe_filter_func
+
+        self.universe = None
+
+    def create_universes(self, algorithm: QCAlgorithm) -> list[Universe]:
+        '''Creates a new ETF constituents universe using this class's selection function
+        Args:
+            algorithm: The algorithm instance to create universes for
+        Returns:
+            The universe defined by this model'''
+        if self.universe is None:
+            self.universe = algorithm.universe.etf(self.etf_symbol, self.universe_settings, self.universe_filter_function)
+        return [self.universe]