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 QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using QuantConnect.Data.UniverseSelection;
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using Python.Runtime;
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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Provides an implementation of <see cref="IUniverseSelectionModel"/> that subscribes to future chains
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/// </summary>
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public class FutureUniverseSelectionModel : UniverseSelectionModel
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{
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private DateTime _nextRefreshTimeUtc;
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private readonly TimeSpan _refreshInterval;
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private readonly UniverseSettings _universeSettings;
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private readonly Func<DateTime, IEnumerable<Symbol>> _futureChainSymbolSelector;
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/// <summary>
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/// Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.
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/// </summary>
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public override DateTime GetNextRefreshTimeUtc() => _nextRefreshTimeUtc;
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/// <summary>
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/// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
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/// </summary>
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/// <param name="refreshInterval">Time interval between universe refreshes</param>
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/// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</param>
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public FutureUniverseSelectionModel(TimeSpan refreshInterval, Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector)
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: this(refreshInterval, futureChainSymbolSelector, null)
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{
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}
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/// <summary>
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/// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
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/// </summary>
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/// <param name="refreshInterval">Time interval between universe refreshes</param>
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/// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</param>\
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public FutureUniverseSelectionModel(TimeSpan refreshInterval, PyObject futureChainSymbolSelector)
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: this(refreshInterval, futureChainSymbolSelector.SafeAs<Func<DateTime, IEnumerable<Symbol>>>(), null)
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{
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}
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/// <summary>
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/// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
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/// </summary>
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/// <param name="refreshInterval">Time interval between universe refreshes</param>
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/// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</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 FutureUniverseSelectionModel(TimeSpan refreshInterval, PyObject futureChainSymbolSelector, UniverseSettings universeSettings)
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: this(refreshInterval, futureChainSymbolSelector.SafeAs<Func<DateTime, IEnumerable<Symbol>>>(), universeSettings)
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{
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}
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/// <summary>
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/// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
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/// </summary>
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/// <param name="refreshInterval">Time interval between universe refreshes</param>
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/// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</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 FutureUniverseSelectionModel(
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TimeSpan refreshInterval,
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Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector,
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UniverseSettings universeSettings
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)
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{
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_nextRefreshTimeUtc = DateTime.MinValue;
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_refreshInterval = refreshInterval;
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_universeSettings = universeSettings;
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_futureChainSymbolSelector = futureChainSymbolSelector;
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}
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/// <summary>
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/// Creates the universes for this algorithm. Called once after <see cref="IAlgorithm.Initialize"/>
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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 universes to be used by the algorithm</returns>
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public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
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{
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_nextRefreshTimeUtc = algorithm.UtcTime + _refreshInterval;
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var uniqueSymbols = new HashSet<Symbol>();
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foreach (var futureSymbol in _futureChainSymbolSelector(algorithm.UtcTime))
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{
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if (futureSymbol.SecurityType != SecurityType.Future)
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{
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throw new ArgumentException("FutureChainSymbolSelector must return future symbols.");
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}
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// prevent creating duplicate future chains -- one per symbol
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if (uniqueSymbols.Add(futureSymbol))
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{
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foreach (var universe in algorithm.CreateFutureChain(futureSymbol, Filter, _universeSettings))
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{
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yield return universe;
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}
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}
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}
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}
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/// <summary>
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/// Defines the future chain universe filter
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/// </summary>
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protected virtual FutureFilterUniverse Filter(FutureFilterUniverse filter)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(Filter), out FutureFilterUniverse result, filter))
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{
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return result;
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}
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// NOP
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return filter;
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}
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}
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/// <summary>
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/// Provides an implementation of <see cref="IUniverseSelectionModel"/> that subscribes to future chains
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/// </summary>
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public class FuturesUniverseSelectionModel : FutureUniverseSelectionModel
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{
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/// <summary>
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/// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
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/// </summary>
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/// <param name="refreshInterval">Time interval between universe refreshes</param>
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/// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</param>
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public FuturesUniverseSelectionModel(TimeSpan refreshInterval, Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector)
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: base(refreshInterval, futureChainSymbolSelector)
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{
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}
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/// <summary>
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/// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
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/// </summary>
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/// <param name="refreshInterval">Time interval between universe refreshes</param>
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/// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</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 FuturesUniverseSelectionModel(TimeSpan refreshInterval,
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Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector,
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UniverseSettings universeSettings)
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: base(refreshInterval, futureChainSymbolSelector, universeSettings)
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{
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}
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}
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}
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