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.Securities;
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using System.Collections.Generic;
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namespace QuantConnect.Data.UniverseSelection
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{
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/// <summary>
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/// Defines the additions and subtractions to the algorithm's security subscriptions
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/// </summary>
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public class SecurityChanges
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{
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/// <summary>
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/// Gets an instance that represents no changes have been made
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/// </summary>
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public static readonly SecurityChanges None = new (Enumerable.Empty<Security>(), Enumerable.Empty<Security>(),
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Enumerable.Empty<Security>(), Enumerable.Empty<Security>());
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private readonly IReadOnlySet<Security> _addedSecurities;
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private readonly IReadOnlySet<Security> _removedSecurities;
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private readonly IReadOnlySet<Security> _internalAddedSecurities;
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private readonly IReadOnlySet<Security> _internalRemovedSecurities;
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/// <summary>
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/// Gets the total count of added and removed securities
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/// </summary>
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public int Count => _addedSecurities.Count + _removedSecurities.Count
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+ _internalAddedSecurities.Count + _internalRemovedSecurities.Count;
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/// <summary>
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/// True will filter out custom securities from the
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/// <see cref="AddedSecurities"/> and <see cref="RemovedSecurities"/> properties
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/// </summary>
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/// <remarks>This allows us to filter but also to disable
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/// the filtering if desired</remarks>
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public bool FilterCustomSecurities { get; set; }
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/// <summary>
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/// True will filter out internal securities from the
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/// <see cref="AddedSecurities"/> and <see cref="RemovedSecurities"/> properties
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/// </summary>
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/// <remarks>This allows us to filter but also to disable
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/// the filtering if desired</remarks>
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public bool FilterInternalSecurities { get; set; }
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/// <summary>
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/// Gets the symbols that were added by universe selection
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/// </summary>
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/// <remarks>Will use <see cref="FilterCustomSecurities"/> value
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/// to determine if custom securities should be filtered</remarks>
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/// <remarks>Will use <see cref="FilterInternalSecurities"/> value
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/// to determine if internal securities should be filtered</remarks>
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public IReadOnlyList<Security> AddedSecurities => GetFilteredList(_addedSecurities,
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!FilterInternalSecurities ? _internalAddedSecurities : null);
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/// <summary>
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/// Gets the symbols that were removed by universe selection. This list may
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/// include symbols that were removed, but are still receiving data due to
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/// existing holdings or open orders
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/// </summary>
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/// <remarks>Will use <see cref="FilterCustomSecurities"/> value
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/// to determine if custom securities should be filtered</remarks>
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/// <remarks>Will use <see cref="FilterInternalSecurities"/> value
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/// to determine if internal securities should be filtered</remarks>
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public IReadOnlyList<Security> RemovedSecurities => GetFilteredList(_removedSecurities,
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!FilterInternalSecurities ? _internalRemovedSecurities : null);
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/// <summary>
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/// Initializes a new instance of the <see cref="SecurityChanges"/> class
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/// </summary>
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/// <param name="additions">Added symbols list</param>
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/// <param name="removals">Removed symbols list</param>
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/// <param name="internalAdditions">Internal added symbols list</param>
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/// <param name="internalRemovals">Internal removed symbols list</param>
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private SecurityChanges(IEnumerable<Security> additions, IEnumerable<Security> removals,
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IEnumerable<Security> internalAdditions, IEnumerable<Security> internalRemovals)
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{
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_addedSecurities = additions.ToHashSet();
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_removedSecurities = removals.ToHashSet();
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_internalAddedSecurities = internalAdditions.ToHashSet();
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_internalRemovedSecurities = internalRemovals.ToHashSet();
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="SecurityChanges"/> class
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/// as a shallow clone of a given instance, sharing the same collections
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/// </summary>
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/// <param name="changes">The instance to clone</param>
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public SecurityChanges(SecurityChanges changes)
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{
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_addedSecurities = changes._addedSecurities;
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_removedSecurities = changes._removedSecurities;
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_internalAddedSecurities = changes._internalAddedSecurities;
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_internalRemovedSecurities = changes._internalRemovedSecurities;
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}
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/// <summary>
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/// Combines the results of two <see cref="SecurityChanges"/>
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/// </summary>
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/// <param name="left">The left side of the operand</param>
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/// <param name="right">The right side of the operand</param>
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/// <returns>Adds the additions together and removes any removals found in the additions, that is, additions take precedence</returns>
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public static SecurityChanges operator +(SecurityChanges left, SecurityChanges right)
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{
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// common case is adding something to nothing, shortcut these to prevent linqness
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if (left == None || left.Count == 0) return right;
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if (right == None || right.Count == 0) return left;
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var additions = Merge(left._addedSecurities, right._addedSecurities);
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var internalAdditions = Merge(left._internalAddedSecurities, right._internalAddedSecurities);
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var removals = Merge(left._removedSecurities, right._removedSecurities,
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security => !additions.Contains(security) && !internalAdditions.Contains(security));
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var internalRemovals = Merge(left._internalRemovedSecurities, right._internalRemovedSecurities,
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security => !additions.Contains(security) && !internalAdditions.Contains(security));
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return new SecurityChanges(additions, removals, internalAdditions, internalRemovals);
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="SecurityChanges"/> class all none internal
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/// </summary>
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/// <param name="additions">Added symbols list</param>
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/// <param name="removals">Removed symbols list</param>
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/// <param name="internalAdditions">Internal added symbols list</param>
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/// <param name="internalRemovals">Internal removed symbols list</param>
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/// <remarks>Useful for testing</remarks>
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public static SecurityChanges Create(IReadOnlyCollection<Security> additions, IReadOnlyCollection<Security> removals,
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IReadOnlyCollection<Security> internalAdditions, IReadOnlyCollection<Security> internalRemovals)
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{
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// return None if there's no changes, otherwise return what we've modified
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return additions?.Count + removals?.Count + internalAdditions?.Count + internalRemovals?.Count > 0
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? new SecurityChanges(additions, removals, internalAdditions, internalRemovals)
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: None;
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}
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#region Overrides of Object
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/// <summary>
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/// Returns a string that represents the current object.
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/// </summary>
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/// <returns>
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/// A string that represents the current object.
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/// </returns>
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/// <filterpriority>2</filterpriority>
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public override string ToString()
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{
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if (Count == 0)
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{
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return "SecurityChanges: None";
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}
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var added = string.Empty;
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if (AddedSecurities.Count != 0)
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{
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added = $" Added: {string.Join(",", AddedSecurities.Select(x => x.Symbol.ID))}";
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}
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var removed = string.Empty;
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if (RemovedSecurities.Count != 0)
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{
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removed = $" Removed: {string.Join(",", RemovedSecurities.Select(x => x.Symbol.ID))}";
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}
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return $"SecurityChanges: {added}{removed}";
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}
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#endregion
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/// <summary>
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/// Helper method to filter added and removed securities based on current settings
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/// </summary>
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private IReadOnlyList<Security> GetFilteredList(IReadOnlySet<Security> source, IReadOnlySet<Security> secondSource = null)
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{
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IEnumerable<Security> enumerable = source;
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if (secondSource != null && secondSource.Count > 0)
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{
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enumerable = enumerable.Union(secondSource);
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}
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return enumerable.Where(kvp => !FilterCustomSecurities || kvp.Type != SecurityType.Base)
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.Select(kvp => kvp)
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.OrderBy(security => security.Symbol.Value)
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.ToList();
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}
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/// <summary>
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/// Helper method that will merge two security sets, taken into account an optional filter
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/// </summary>
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/// <returns>Will return merged set</returns>
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private static HashSet<Security> Merge(IReadOnlyCollection<Security> left, IReadOnlyCollection<Security> right, Func<Security, bool> filter = null)
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{
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// if right is emtpy we just use left
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IEnumerable<Security> result = left;
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if (right.Count != 0)
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{
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if (left.Count == 0)
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{
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// left is emtpy so let's just use right
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result = right;
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}
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else
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{
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// merge, both are not empty
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result = result.Concat(right);
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}
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}
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if (filter != null)
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{
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result = result.Where(filter.Invoke);
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}
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return new HashSet<Security>(result);
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}
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}
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/// <summary>
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/// Helper method to create security changes
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/// </summary>
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public class SecurityChangesConstructor
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{
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private readonly List<Security> _internalAdditions = new();
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private readonly List<Security> _internalRemovals = new();
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private readonly List<Security> _additions = new();
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private readonly List<Security> _removals = new();
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/// <summary>
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/// Inserts a security addition change
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/// </summary>
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public void Add(Security security, bool isInternal)
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{
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if (isInternal)
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{
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_internalAdditions.Add(security);
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}
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else
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{
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_additions.Add(security);
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}
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}
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/// <summary>
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/// Inserts a security removal change
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/// </summary>
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public void Remove(Security security, bool isInternal)
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{
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if (isInternal)
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{
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_internalRemovals.Add(security);
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}
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else
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{
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_removals.Add(security);
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}
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}
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/// <summary>
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/// Get the current security changes clearing state
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/// </summary>
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public SecurityChanges Flush()
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{
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var result = SecurityChanges.Create(_additions, _removals, _internalAdditions, _internalRemovals);
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_internalAdditions.Clear();
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_removals.Clear();
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_internalRemovals.Clear();
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_additions.Clear();
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return result;
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}
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}
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}
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