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.Collections.Generic;
+using Python.Runtime;
+using QuantConnect.Data.Fundamental;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.Framework.Selection
+{
+    /// <summary>
+    /// Portfolio selection model that uses coarse/fine selectors. For US equities only.
+    /// </summary>
+    public class FineFundamentalUniverseSelectionModel : FundamentalUniverseSelectionModel
+    {
+        private readonly Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> _coarseSelector;
+        private readonly Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> _fineSelector;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FineFundamentalUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
+        /// <param name="fineSelector">Selects symbols from the provided fine data set (this set has already been filtered according to the coarse selection)</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 FineFundamentalUniverseSelectionModel(
+            Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> coarseSelector,
+            Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> fineSelector,
+            UniverseSettings universeSettings = null)
+            : base(true, universeSettings)
+        {
+            _coarseSelector = coarseSelector;
+            _fineSelector = fineSelector;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FineFundamentalUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
+        /// <param name="fineSelector">Selects symbols from the provided fine data set (this set has already been filtered according to the coarse selection)</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 FineFundamentalUniverseSelectionModel(
+            PyObject coarseSelector,
+            PyObject fineSelector,
+            UniverseSettings universeSettings = null
+            )
+            : base(true, universeSettings)
+        {
+            Func<IEnumerable<FineFundamental>, object> fineFunc;
+            Func<IEnumerable<CoarseFundamental>, object> coarseFunc;
+            if (fineSelector.TrySafeAs(out fineFunc) &&
+                coarseSelector.TrySafeAs(out coarseFunc))
+            {
+                _fineSelector = fineFunc.ConvertToUniverseSelectionSymbolDelegate();
+                _coarseSelector = coarseFunc.ConvertToUniverseSelectionSymbolDelegate();
+            }
+        }
+
+        /// <inheritdoc />
+        public override IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)
+        {
+            // Check if this method was overridden in Python
+            if (TryInvokePythonOverride(nameof(SelectCoarse), out IEnumerable<Symbol> result, algorithm, coarse))
+            {
+                return result;
+            }
+
+            return _coarseSelector(coarse);
+        }
+
+        /// <inheritdoc />
+        public override IEnumerable<Symbol> SelectFine(QCAlgorithm algorithm, IEnumerable<FineFundamental> fine)
+        {
+            // Check if this method was overridden in Python
+            if (TryInvokePythonOverride(nameof(SelectFine), out IEnumerable<Symbol> result, algorithm, fine))
+            {
+                return result;
+            }
+
+            return _fineSelector(fine);
+        }
+    }
+}