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 NodaTime;
+using Python.Runtime;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Scheduling;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.Framework.Selection
+{
+    /// <summary>
+    /// Defines a universe selection model that invokes a selector function on a specific scheduled given by an <see cref="IDateRule"/> and an <see cref="ITimeRule"/>
+    /// </summary>
+    public class ScheduledUniverseSelectionModel : UniverseSelectionModel
+    {
+        private readonly IDateRule _dateRule;
+        private readonly ITimeRule _timeRule;
+        private readonly Func<DateTime, IEnumerable<Symbol>> _selector;
+        private readonly DateTimeZone _timeZone;
+        private readonly UniverseSettings _settings;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ScheduledUniverseSelectionModel"/> class using the algorithm's time zone
+        /// </summary>
+        /// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
+        /// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
+        /// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
+        /// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
+        public ScheduledUniverseSelectionModel(IDateRule dateRule, ITimeRule timeRule, Func<DateTime, IEnumerable<Symbol>> selector, UniverseSettings settings = null)
+        {
+            _dateRule = dateRule;
+            _timeRule = timeRule;
+            _selector = selector;
+            _settings = settings;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ScheduledUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="timeZone">The time zone the date/time rules are in</param>
+        /// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
+        /// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
+        /// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
+        /// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
+        public ScheduledUniverseSelectionModel(DateTimeZone timeZone, IDateRule dateRule, ITimeRule timeRule, Func<DateTime, IEnumerable<Symbol>> selector, UniverseSettings settings = null)
+        {
+            _timeZone = timeZone;
+            _dateRule = dateRule;
+            _timeRule = timeRule;
+            _selector = selector;
+            _settings = settings;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ScheduledUniverseSelectionModel"/> class using the algorithm's time zone
+        /// </summary>
+        /// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
+        /// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
+        /// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
+        /// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
+        public ScheduledUniverseSelectionModel(IDateRule dateRule, ITimeRule timeRule, PyObject selector, UniverseSettings settings = null)
+            : this(null, dateRule, timeRule, selector, settings)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="ScheduledUniverseSelectionModel"/> class
+        /// </summary>
+        /// <param name="timeZone">The time zone the date/time rules are in</param>
+        /// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
+        /// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
+        /// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
+        /// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
+        public ScheduledUniverseSelectionModel(DateTimeZone timeZone, IDateRule dateRule, ITimeRule timeRule, PyObject selector, UniverseSettings settings = null)
+        {
+            Func<DateTime, object> func;
+            selector.TrySafeAs(out func);
+            _timeZone = timeZone;
+            _dateRule = dateRule;
+            _timeRule = timeRule;
+            _selector = func.ConvertSelectionSymbolDelegate();
+            _settings = settings;
+        }
+
+        /// <summary>
+        /// Creates the universes for this algorithm. Called once after <see cref="IAlgorithm.Initialize"/>
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance to create universes for</param>
+        /// <returns>The universes to be used by the algorithm</returns>
+        public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
+        {
+            yield return new ScheduledUniverse(
+                // by default ITimeRule yields in UTC
+                _timeZone ?? TimeZones.Utc,
+                _dateRule,
+                _timeRule,
+                _selector,
+                _settings ?? algorithm.UniverseSettings
+            );
+        }
+    }
+}