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.
+
+from AlgorithmImports import *
+from Selection.UniverseSelectionModel import UniverseSelectionModel
+
+class OptionUniverseSelectionModel(UniverseSelectionModel):
+    '''Provides an implementation of IUniverseSelectionMode that subscribes to option chains'''
+    def __init__(self,
+                 refreshInterval,
+                 optionChainSymbolSelector,
+                 universeSettings = None):
+        '''Creates a new instance of OptionUniverseSelectionModel
+        Args:
+            refreshInterval: Time interval between universe refreshes</param>
+            optionChainSymbolSelector: Selects symbols from the provided option chain
+            universeSettings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed'''
+        self.next_refresh_time_utc = datetime.min
+
+        self.refresh_interval = refreshInterval
+        self.option_chain_symbol_selector = optionChainSymbolSelector
+        self.universe_settings = universeSettings
+
+    def get_next_refresh_time_utc(self):
+        '''Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.'''
+        return self.next_refresh_time_utc
+
+    def create_universes(self, algorithm: QCAlgorithm) -> list[Universe]:
+        '''Creates a new fundamental universe using this class's selection functions
+        Args:
+            algorithm: The algorithm instance to create universes for
+        Returns:
+            The universe defined by this model'''
+        self.next_refresh_time_utc = (algorithm.utc_time + self.refresh_interval).date()
+
+        uniqueUnderlyingSymbols = set()
+        for option_symbol in self.option_chain_symbol_selector(algorithm.utc_time):
+            if not Extensions.is_option(option_symbol.security_type):
+                raise ValueError("optionChainSymbolSelector must return option, index options, or futures options symbols.")
+
+            # prevent creating duplicate option chains -- one per underlying
+            if option_symbol.underlying not in uniqueUnderlyingSymbols:
+                uniqueUnderlyingSymbols.add(option_symbol.underlying)
+                selection = self.filter
+                if hasattr(self, "Filter") and callable(self.Filter):
+                    selection = self.Filter
+                yield Extensions.create_option_chain(algorithm, option_symbol, selection, self.universe_settings)
+
+    def filter(self, filter):
+        '''Defines the option chain universe filter'''
+        # NOP
+        return filter