chore: import upstream snapshot with attribution
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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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using System;
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using System.Linq;
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using Python.Runtime;
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using QuantConnect.Securities;
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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.Framework.Selection
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{
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/// <summary>
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/// Provides a base class for defining equity coarse/fine fundamental selection models
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/// </summary>
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public class FundamentalUniverseSelectionModel : UniverseSelectionModel
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{
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private readonly string _market;
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private readonly bool _fundamentalData;
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private readonly bool _filterFineData;
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private readonly UniverseSettings _universeSettings;
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private readonly Func<IEnumerable<Fundamental>, IEnumerable<Symbol>> _selector;
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/// <summary>
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/// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
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/// </summary>
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public FundamentalUniverseSelectionModel()
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: this(Market.USA, null)
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{
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_fundamentalData = true;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="market">The target market</param>
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/// <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>
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public FundamentalUniverseSelectionModel(string market, UniverseSettings universeSettings)
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{
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_market = market;
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_fundamentalData = true;
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_universeSettings = universeSettings;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <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>
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public FundamentalUniverseSelectionModel(UniverseSettings universeSettings)
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: this(Market.USA, universeSettings)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="market">The target market</param>
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/// <param name="selector">Selects symbols from the provided fundamental data set</param>
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/// <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>
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public FundamentalUniverseSelectionModel(string market, Func<IEnumerable<Fundamental>, IEnumerable<Symbol>> selector, UniverseSettings universeSettings = null)
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{
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_market = market;
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_selector = selector;
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_fundamentalData = true;
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_universeSettings = universeSettings;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="selector">Selects symbols from the provided fundamental data set</param>
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/// <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>
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public FundamentalUniverseSelectionModel(Func<IEnumerable<Fundamental>, IEnumerable<Symbol>> selector, UniverseSettings universeSettings = null)
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: this(Market.USA, selector, universeSettings)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="market">The target market</param>
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/// <param name="selector">Selects symbols from the provided fundamental data set</param>
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/// <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>
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public FundamentalUniverseSelectionModel(string market, PyObject selector, UniverseSettings universeSettings = null) : this(universeSettings)
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{
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_market = market;
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Func<IEnumerable<Fundamental>, object> selectorFunc;
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if (selector.TrySafeAs(out selectorFunc))
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{
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_selector = selectorFunc.ConvertToUniverseSelectionSymbolDelegate();
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="selector">Selects symbols from the provided fundamental data set</param>
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/// <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>
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public FundamentalUniverseSelectionModel(PyObject selector, UniverseSettings universeSettings = null)
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: this(Market.USA, selector, universeSettings)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="filterFineData">True to also filter using fine fundamental data, false to only filter on coarse data</param>
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[Obsolete("Fine and Coarse selection are merged, please use 'FundamentalUniverseSelectionModel()'")]
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protected FundamentalUniverseSelectionModel(bool filterFineData)
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: this(filterFineData, null)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="filterFineData">True to also filter using fine fundamental data, false to only filter on coarse data</param>
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/// <param name="universeSettings">The settings used when adding symbols to the algorithm, specify null to use algorithm.UniverseSettings</param>
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[Obsolete("Fine and Coarse selection are merged, please use 'FundamentalUniverseSelectionModel(UniverseSettings)'")]
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protected FundamentalUniverseSelectionModel(bool filterFineData, UniverseSettings universeSettings)
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{
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_market = Market.USA;
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_filterFineData = filterFineData;
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_universeSettings = universeSettings;
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}
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/// <summary>
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/// Creates a new fundamental universe using this class's selection functions
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/// </summary>
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/// <param name="algorithm">The algorithm instance to create universes for</param>
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/// <returns>The universe defined by this model</returns>
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public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
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{
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if (_fundamentalData)
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{
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var universeSettings = _universeSettings ?? algorithm.UniverseSettings;
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yield return new FundamentalUniverseFactory(_market, universeSettings, fundamental => Select(algorithm, fundamental));
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}
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else
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{
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// for backwards compatibility
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var universe = CreateCoarseFundamentalUniverse(algorithm);
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if (_filterFineData)
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{
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if (universe.UniverseSettings.Asynchronous.HasValue && universe.UniverseSettings.Asynchronous.Value)
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{
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throw new ArgumentException("Asynchronous universe setting is not supported for coarse & fine selections, please use the new Fundamental single pass selection");
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}
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#pragma warning disable CS0618 // Type or member is obsolete
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universe = new FineFundamentalFilteredUniverse(universe, fine => SelectFine(algorithm, fine));
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#pragma warning restore CS0618 // Type or member is obsolete
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}
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yield return universe;
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}
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}
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/// <summary>
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/// Creates the coarse fundamental universe object.
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/// This is provided to allow more flexibility when creating coarse universe.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <returns>The coarse fundamental universe</returns>
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public virtual Universe CreateCoarseFundamentalUniverse(QCAlgorithm algorithm)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(CreateCoarseFundamentalUniverse), out Universe result, algorithm))
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{
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return result;
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}
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var universeSettings = _universeSettings ?? algorithm.UniverseSettings;
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return new CoarseFundamentalUniverse(universeSettings, coarse =>
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{
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// if we're using fine fundamental selection than exclude symbols without fine data
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if (_filterFineData)
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{
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coarse = coarse.Where(c => c.HasFundamentalData);
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}
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#pragma warning disable CS0618 // Type or member is obsolete
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return SelectCoarse(algorithm, coarse);
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#pragma warning restore CS0618 // Type or member is obsolete
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});
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}
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/// <summary>
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/// Defines the fundamental selection function.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="fundamental">The fundamental data used to perform filtering</param>
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/// <returns>An enumerable of symbols passing the filter</returns>
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public virtual IEnumerable<Symbol> Select(QCAlgorithm algorithm, IEnumerable<Fundamental> fundamental)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(Select), out IEnumerable<Symbol> result, algorithm, fundamental))
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{
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return result;
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}
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if (_selector == null)
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{
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throw new NotImplementedException("If inheriting, please override the 'Select' fundamental function, else provide it as a constructor parameter");
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}
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return _selector(fundamental);
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}
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/// <summary>
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/// Defines the coarse fundamental selection function.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="coarse">The coarse fundamental data used to perform filtering</param>
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/// <returns>An enumerable of symbols passing the filter</returns>
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[Obsolete("Fine and Coarse selection are merged, please use 'Select(QCAlgorithm, IEnumerable<Fundamental>)'")]
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public virtual IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(SelectCoarse), out IEnumerable<Symbol> result, algorithm, coarse))
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{
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return result;
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}
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throw new NotImplementedException("Please override the 'Select' fundamental function");
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}
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/// <summary>
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/// Defines the fine fundamental selection function.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="fine">The fine fundamental data used to perform filtering</param>
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/// <returns>An enumerable of symbols passing the filter</returns>
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[Obsolete("Fine and Coarse selection are merged, please use 'Select(QCAlgorithm, IEnumerable<Fundamental>)'")]
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public virtual IEnumerable<Symbol> SelectFine(QCAlgorithm algorithm, IEnumerable<FineFundamental> fine)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(SelectFine), out IEnumerable<Symbol> result, algorithm, fine))
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{
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return result;
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}
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// default impl performs no filtering of fine data
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return fine.Select(f => f.Symbol);
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}
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/// <summary>
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/// Convenience method for creating a selection model that uses only coarse data
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/// </summary>
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/// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
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/// <returns>A new universe selection model that will select US equities according to the selection function specified</returns>
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[Obsolete("Fine and Coarse selection are merged, please use 'Fundamental(Func<IEnumerable<Fundamental>, IEnumerable<Symbol>>)'")]
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public static IUniverseSelectionModel Coarse(Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> coarseSelector)
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{
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return new CoarseFundamentalUniverseSelectionModel(coarseSelector);
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}
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/// <summary>
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/// Convenience method for creating a selection model that uses coarse and fine data
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/// </summary>
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/// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
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/// <param name="fineSelector">Selects symbols from the provided fine data set (this set has already been filtered according to the coarse selection)</param>
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/// <returns>A new universe selection model that will select US equities according to the selection functions specified</returns>
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[Obsolete("Fine and Coarse selection are merged, please use 'Fundamental(Func<IEnumerable<Fundamental>, IEnumerable<Symbol>>)'")]
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public static IUniverseSelectionModel Fine(Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> coarseSelector, Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> fineSelector)
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{
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return new FineFundamentalUniverseSelectionModel(coarseSelector, fineSelector);
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}
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/// <summary>
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/// Convenience method for creating a selection model that uses fundamental data
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/// </summary>
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/// <param name="selector">Selects symbols from the provided fundamental data set</param>
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/// <returns>A new universe selection model that will select US equities according to the selection functions specified</returns>
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public static IUniverseSelectionModel Fundamental(Func<IEnumerable<Fundamental>, IEnumerable<Symbol>> selector)
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{
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return new FundamentalUniverseSelectionModel(selector);
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}
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}
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}
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