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 System.Linq;
+using Python.Runtime;
+using QuantConnect.Util;
+
+namespace QuantConnect.Data.UniverseSelection
+{
+    /// <summary>
+    /// Provides a functional implementation of <see cref="Universe"/>
+    /// </summary>
+    /// <typeparam name="T">The BaseData type to provide to the user defined universe filter</typeparam>
+    public class FuncUniverse<T> : Universe
+        where T : BaseData
+    {
+        private readonly Func<IEnumerable<T>, IEnumerable<Symbol>> _universeSelector;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuncUniverse{T}"/> class
+        /// </summary>
+        /// <param name="configuration">The configuration used to resolve the data for universe selection</param>
+        /// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
+        /// <param name="universeSelector">Returns the symbols that should be included in the universe</param>
+        public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, Func<IEnumerable<T>, IEnumerable<Symbol>> universeSelector)
+            : base(configuration)
+        {
+            _universeSelector = universeSelector;
+            _universeSelector ??= (dataPoints) => dataPoints.Select(x => x.Symbol);
+            UniverseSettings = universeSettings;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuncUniverse{T}"/> class for a filter function loaded from Python
+        /// </summary>
+        /// <param name="configuration">The configuration used to resolve the data for universe selection</param>
+        /// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
+        /// <param name="universeSelector">Function that returns the symbols that should be included in the universe</param>
+        public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, PyObject universeSelector)
+            : this(configuration, universeSettings, universeSelector.ConvertPythonUniverseFilterFunction<T>())
+        {
+        }
+
+        /// <summary>
+        /// Performs an initial, coarse filter
+        /// </summary>
+        /// <param name="utcTime">The current utc time</param>
+        /// <param name="data">The coarse fundamental data</param>
+        /// <returns>The data that passes the filter</returns>
+        public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
+        {
+            return _universeSelector(new CastingEnumerable<BaseData, T>(data.Data));
+        }
+    }
+    
+    /// <summary>
+    /// Provides a functional implementation of <see cref="Universe"/>
+    /// </summary>
+    public class FuncUniverse : FuncUniverse<BaseData>
+    {
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuncUniverse"/> class
+        /// </summary>
+        /// <param name="configuration">The configuration used to resolve the data for universe selection</param>
+        /// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
+        /// <param name="universeSelector">Returns the symbols that should be included in the universe</param>
+        public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, Func<IEnumerable<BaseData>, IEnumerable<Symbol>> universeSelector)
+            : base(configuration, universeSettings, universeSelector)
+        {
+        }
+     
+        /// <summary>
+        /// Initializes a new instance of the <see cref="FuncUniverse"/> class
+        /// </summary>
+        /// <param name="configuration">The configuration used to resolve the data for universe selection</param>
+        /// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
+        /// <param name="universeSelector">Returns the symbols that should be included in the universe</param>
+        public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, PyObject universeSelector)
+            : base(configuration, universeSettings, universeSelector)
+        {
+        }
+    }
+}