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 QuantConnect.Util;
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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.Auxiliary;
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namespace QuantConnect.Data.UniverseSelection
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{
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/// <summary>
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/// Continuous contract universe selection that based on the requested mapping mode will select each symbol
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/// </summary>
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public class ContinuousContractUniverse : Universe, ITimeTriggeredUniverse
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{
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private readonly IMapFileProvider _mapFileProvider;
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private readonly SubscriptionDataConfig _config;
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private readonly Security _security;
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private readonly bool _liveMode;
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private Symbol _currentSymbol;
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private string _mappedSymbol;
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/// <summary>
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/// True if this universe filter can run async in the data stack
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/// TODO: see IContinuousSecurity.Mapped
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/// </summary>
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public override bool Asynchronous => false;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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public ContinuousContractUniverse(Security security, UniverseSettings universeSettings, bool liveMode, SubscriptionDataConfig universeConfig)
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: base(universeConfig)
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{
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_security = security;
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_liveMode = liveMode;
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UniverseSettings = universeSettings;
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_mapFileProvider = Composer.Instance.GetPart<IMapFileProvider>();
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_config = new SubscriptionDataConfig(Configuration, dataMappingMode: UniverseSettings.DataMappingMode, symbol: _security.Symbol.Canonical);
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}
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/// <summary>
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/// Performs universe selection based on the symbol mapping
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/// </summary>
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/// <param name="utcTime">The current utc time</param>
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/// <param name="data">Empty data</param>
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/// <returns>The symbols to use</returns>
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public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
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{
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yield return _security.Symbol.Canonical;
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var mapFile = _mapFileProvider.ResolveMapFile(_config);
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var mappedSymbol = mapFile.GetMappedSymbol(utcTime.ConvertFromUtc(_security.Exchange.TimeZone), dataMappingMode: _config.DataMappingMode);
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if (!string.IsNullOrEmpty(mappedSymbol) && mappedSymbol != _mappedSymbol)
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{
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if (_currentSymbol != null)
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{
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// let's emit the old and new for the mapping date
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yield return _currentSymbol;
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}
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_mappedSymbol = mappedSymbol;
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_currentSymbol = _security.Symbol.Canonical
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.UpdateMappedSymbol(mappedSymbol, Configuration.ContractDepthOffset)
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.Underlying;
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}
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if (_currentSymbol != null)
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{
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// TODO: this won't work with async universe selection
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((IContinuousSecurity)_security).Mapped = _currentSymbol;
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yield return _currentSymbol;
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}
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}
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/// <summary>
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/// Gets the subscription requests to be added for the specified security
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/// </summary>
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/// <param name="security">The security to get subscriptions for</param>
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/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
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/// <param name="maximumEndTimeUtc">The max end time</param>
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/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
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/// <returns>All subscriptions required by this security</returns>
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public override IEnumerable<SubscriptionRequest> GetSubscriptionRequests(Security security,
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DateTime currentTimeUtc,
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DateTime maximumEndTimeUtc,
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ISubscriptionDataConfigService subscriptionService)
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{
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var configs = AddConfigurations(subscriptionService, UniverseSettings, security.Symbol);
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return configs.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
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universe: this,
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security: security,
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configuration: new SubscriptionDataConfig(config, isInternalFeed: config.IsInternalFeed || config.TickType == TickType.OpenInterest),
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startTimeUtc: currentTimeUtc,
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endTimeUtc: maximumEndTimeUtc));
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}
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/// <summary>
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/// Each tradeable day of the future we trigger a new selection.
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/// Allows use to select the current contract
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/// </summary>
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public IEnumerable<DateTime> GetTriggerTimes(DateTime startTimeUtc, DateTime endTimeUtc, MarketHoursDatabase marketHoursDatabase)
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{
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var startTimeLocal = startTimeUtc.ConvertFromUtc(_security.Exchange.TimeZone);
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var endTimeLocal = endTimeUtc.ConvertFromUtc(_security.Exchange.TimeZone);
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return Time.EachTradeableDay(_security, startTimeLocal, endTimeLocal, Configuration.ExtendedMarketHours)
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// in live trading selection happens on start see 'DataQueueFuturesChainUniverseDataCollectionEnumerator'
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.Where(tradeableDay => _liveMode || tradeableDay >= startTimeLocal)
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// in live trading we delay selection so that we make sure auxiliary data is ready
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.Select(time => _liveMode ? time.Add(Time.LiveAuxiliaryDataOffset) : time);
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}
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/// <summary>
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/// Helper method to add and get the required configurations associated with a continuous universe
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/// </summary>
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public static List<SubscriptionDataConfig> AddConfigurations(ISubscriptionDataConfigService subscriptionService, UniverseSettings universeSettings, Symbol symbol)
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{
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List<SubscriptionDataConfig> configs = new(universeSettings.SubscriptionDataTypes.Count);
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foreach (var pair in universeSettings.SubscriptionDataTypes)
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{
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configs.AddRange(subscriptionService.Add(symbol,
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universeSettings.Resolution,
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universeSettings.FillForward,
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universeSettings.ExtendedMarketHours,
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dataNormalizationMode: universeSettings.DataNormalizationMode,
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// we need to provider the data types we want, else since it's canonical it would assume the default ZipEntry type used in universe chain
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subscriptionDataTypes: new List<Tuple<Type, TickType>> { pair },
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dataMappingMode: universeSettings.DataMappingMode,
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contractDepthOffset: (uint)Math.Abs(universeSettings.ContractDepthOffset),
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// open interest is internal and the underlying mapped contracts of the continuous canonical
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isInternalFeed: !symbol.IsCanonical() || pair.Item2 == TickType.OpenInterest));
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}
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return configs;
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}
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/// <summary>
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/// Creates a continuous universe symbol
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/// </summary>
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/// <param name="symbol">The associated symbol</param>
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/// <returns>A symbol for a continuous universe of the specified symbol</returns>
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public static Symbol CreateSymbol(Symbol symbol)
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{
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var ticker = $"qc-universe-continuous-{symbol.ID.Market.ToLowerInvariant()}-{symbol.SecurityType}-{symbol.ID.Symbol}";
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return UniverseExtensions.CreateSymbol(symbol.SecurityType, symbol.ID.Market, ticker);
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}
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}
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}
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