chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,166 @@
|
||||
/*
|
||||
* 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 System.Linq;
|
||||
using NodaTime;
|
||||
using Python.Runtime;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Securities;
|
||||
|
||||
namespace QuantConnect.Algorithm.Framework.Selection
|
||||
{
|
||||
/// <summary>
|
||||
/// Selects contracts in a futures universe, sorted by open interest. This allows the selection to identifiy current
|
||||
/// active contract.
|
||||
/// </summary>
|
||||
public class OpenInterestFutureUniverseSelectionModel : FutureUniverseSelectionModel
|
||||
{
|
||||
private readonly int? _chainContractsLookupLimit;
|
||||
private readonly IAlgorithm _algorithm;
|
||||
private readonly int? _resultsLimit;
|
||||
private readonly MarketHoursDatabase _marketHoursDatabase;
|
||||
|
||||
/// <summary>
|
||||
/// Creates a new instance of <see cref="OpenInterestFutureUniverseSelectionModel" />
|
||||
/// </summary>
|
||||
/// <param name="algorithm">Algorithm</param>
|
||||
/// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</param>
|
||||
/// <param name="chainContractsLookupLimit">Limit on how many contracts to query for open interest</param>
|
||||
/// <param name="resultsLimit">Limit on how many contracts will be part of the universe</param>
|
||||
public OpenInterestFutureUniverseSelectionModel(IAlgorithm algorithm, Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector, int? chainContractsLookupLimit = 6,
|
||||
int? resultsLimit = 1) : base(TimeSpan.FromDays(1), futureChainSymbolSelector)
|
||||
{
|
||||
_marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
|
||||
if (algorithm == null)
|
||||
{
|
||||
throw new ArgumentNullException(nameof(algorithm));
|
||||
}
|
||||
|
||||
_algorithm = algorithm;
|
||||
_resultsLimit = resultsLimit;
|
||||
_chainContractsLookupLimit = chainContractsLookupLimit;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates a new instance of <see cref="OpenInterestFutureUniverseSelectionModel" />
|
||||
/// </summary>
|
||||
/// <param name="algorithm">Algorithm</param>
|
||||
/// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</param>
|
||||
/// <param name="chainContractsLookupLimit">Limit on how many contracts to query for open interest</param>
|
||||
/// <param name="resultsLimit">Limit on how many contracts will be part of the universe</param>
|
||||
public OpenInterestFutureUniverseSelectionModel(IAlgorithm algorithm, PyObject futureChainSymbolSelector, int? chainContractsLookupLimit = 6,
|
||||
int? resultsLimit = 1) : this(algorithm, ConvertFutureChainSymbolSelectorToFunc(futureChainSymbolSelector), chainContractsLookupLimit, resultsLimit)
|
||||
{
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Defines the future chain universe filter
|
||||
/// </summary>
|
||||
protected override FutureFilterUniverse Filter(FutureFilterUniverse filter)
|
||||
{
|
||||
// Check if this method was overridden in Python
|
||||
if (TryInvokePythonOverride(nameof(Filter), out FutureFilterUniverse result, filter))
|
||||
{
|
||||
return result;
|
||||
}
|
||||
|
||||
// Remove duplicated keys
|
||||
return filter.Contracts(FilterByOpenInterest(
|
||||
filter.DistinctBy(x => x).ToDictionary(x => x.Symbol, x => _marketHoursDatabase.GetEntry(x.ID.Market, x, x.ID.SecurityType))));
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Filters a set of contracts based on open interest.
|
||||
/// </summary>
|
||||
/// <param name="contracts">Contracts to filter</param>
|
||||
/// <returns>Filtered set</returns>
|
||||
public IEnumerable<Symbol> FilterByOpenInterest(IReadOnlyDictionary<Symbol, MarketHoursDatabase.Entry> contracts)
|
||||
{
|
||||
var symbols = new List<Symbol>(_chainContractsLookupLimit.HasValue ? contracts.Keys.OrderBy(x => x.ID.Date).Take(_chainContractsLookupLimit.Value) : contracts.Keys);
|
||||
var openInterest = symbols.GroupBy(x => contracts[x]).SelectMany(g => GetOpenInterest(g.Key, g.Select(i => i))).ToDictionary(x => x.Key, x => x.Value);
|
||||
|
||||
if (openInterest.Count == 0)
|
||||
{
|
||||
_algorithm.Error(
|
||||
$"{nameof(OpenInterestFutureUniverseSelectionModel)}.{nameof(FilterByOpenInterest)}: Failed to get historical open interest, no symbol will be selected."
|
||||
);
|
||||
return Enumerable.Empty<Symbol>();
|
||||
}
|
||||
|
||||
var filtered = openInterest.OrderByDescending(x => x.Value).ThenBy(x => x.Key.ID.Date).Select(x => x.Key);
|
||||
if (_resultsLimit.HasValue)
|
||||
{
|
||||
filtered = filtered.Take(_resultsLimit.Value);
|
||||
}
|
||||
|
||||
return filtered;
|
||||
}
|
||||
|
||||
private Dictionary<Symbol, decimal> GetOpenInterest(MarketHoursDatabase.Entry marketHours, IEnumerable<Symbol> symbols)
|
||||
{
|
||||
var current = _algorithm.UtcTime;
|
||||
var exchangeHours = marketHours.ExchangeHours;
|
||||
var endTime = Instant.FromDateTimeUtc(_algorithm.UtcTime).InZone(exchangeHours.TimeZone).ToDateTimeUnspecified();
|
||||
var previousDay = Time.GetStartTimeForTradeBars(exchangeHours, endTime, Time.OneDay, 1, true, marketHours.DataTimeZone);
|
||||
var requests = symbols.Select(
|
||||
symbol => new HistoryRequest(
|
||||
previousDay,
|
||||
current,
|
||||
typeof(Tick),
|
||||
symbol,
|
||||
Resolution.Tick,
|
||||
exchangeHours,
|
||||
exchangeHours.TimeZone,
|
||||
null,
|
||||
true,
|
||||
false,
|
||||
DataNormalizationMode.Raw,
|
||||
TickType.OpenInterest
|
||||
)
|
||||
)
|
||||
.ToArray();
|
||||
return _algorithm.HistoryProvider.GetHistory(requests, exchangeHours.TimeZone)
|
||||
.Where(s => s.HasData && s.Ticks.Keys.Count > 0)
|
||||
.SelectMany(s => s.Ticks.Select(x => new Tuple<Symbol, Tick>(x.Key, x.Value.LastOrDefault())))
|
||||
.GroupBy(x => x.Item1)
|
||||
.ToDictionary(x => x.Key, x => x.OrderByDescending(i => i.Item2.Time).LastOrDefault().Item2.Value);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Converts future chain symbol selector, provided as a Python lambda function, to a managed func
|
||||
/// </summary>
|
||||
/// <param name="futureChainSymbolSelector">Python lambda function that selects symbols from the provided future chain</param>
|
||||
/// <returns>Given Python future chain symbol selector as a func objet</returns>
|
||||
/// <exception cref="ArgumentException"></exception>
|
||||
private static Func<DateTime, IEnumerable<Symbol>> ConvertFutureChainSymbolSelectorToFunc(PyObject futureChainSymbolSelector)
|
||||
{
|
||||
if (futureChainSymbolSelector.TrySafeAs(out Func<DateTime, IEnumerable<Symbol>> futureSelector))
|
||||
{
|
||||
return futureSelector;
|
||||
}
|
||||
else
|
||||
{
|
||||
using (Py.GIL())
|
||||
{
|
||||
throw new ArgumentException($"FutureUniverseSelectionModel.ConvertFutureChainSymbolSelectorToFunc: {futureChainSymbolSelector.Repr()} is not a valid argument.");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user