chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,292 @@
|
||||
/*
|
||||
* 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.Linq;
|
||||
using QuantConnect.Util;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Securities;
|
||||
using System.Collections.Generic;
|
||||
using System.Collections.Specialized;
|
||||
|
||||
namespace QuantConnect.Data.UniverseSelection
|
||||
{
|
||||
/// <summary>
|
||||
/// Represents the universe defined by the user's algorithm. This is
|
||||
/// the default universe where manually added securities live by
|
||||
/// market/security type. They can also be manually generated and
|
||||
/// can be configured to fire on certain interval and will always
|
||||
/// return the internal list of symbols.
|
||||
/// </summary>
|
||||
public class UserDefinedUniverse : Universe, INotifyCollectionChanged, ITimeTriggeredUniverse
|
||||
{
|
||||
private readonly TimeSpan _interval;
|
||||
private readonly HashSet<SubscriptionDataConfig> _subscriptionDataConfigs = new HashSet<SubscriptionDataConfig>();
|
||||
private readonly HashSet<Symbol> _symbols = new HashSet<Symbol>();
|
||||
// `UniverseSelection.RemoveSecurityFromUniverse()` will query us at `GetSubscriptionRequests()` to get the `SubscriptionDataConfig` and remove it from the DF
|
||||
// and we need to return the config even after the call to `Remove()`
|
||||
private readonly HashSet<SubscriptionDataConfig> _pendingRemovedConfigs = new HashSet<SubscriptionDataConfig>();
|
||||
private readonly Func<DateTime, IEnumerable<Symbol>> _selector;
|
||||
private readonly object _lock = new ();
|
||||
|
||||
/// <summary>
|
||||
/// Event fired when a symbol is added or removed from this universe
|
||||
/// </summary>
|
||||
public event NotifyCollectionChangedEventHandler CollectionChanged;
|
||||
|
||||
/// <summary>
|
||||
/// Gets the interval of this user defined universe
|
||||
/// </summary>
|
||||
public TimeSpan Interval
|
||||
{
|
||||
get { return _interval; }
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="UserDefinedUniverse"/> 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="interval">The interval at which selection should be performed</param>
|
||||
/// <param name="symbols">The initial set of symbols in this universe</param>
|
||||
public UserDefinedUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, TimeSpan interval, IEnumerable<Symbol> symbols)
|
||||
: base(configuration)
|
||||
{
|
||||
_interval = interval;
|
||||
_symbols = symbols.ToHashSet();
|
||||
UniverseSettings = universeSettings;
|
||||
// the selector Func will be the union of the provided symbols and the added symbols or subscriptions data configurations
|
||||
_selector = time => {
|
||||
lock(_lock)
|
||||
{
|
||||
return _subscriptionDataConfigs.Select(x => x.Symbol).Union(_symbols).ToHashSet();
|
||||
}
|
||||
};
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="UserDefinedUniverse"/> 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="interval">The interval at which selection should be performed</param>
|
||||
/// <param name="selector">Universe selection function invoked for each time returned via GetTriggerTimes.
|
||||
/// The function parameter is a DateTime in the time zone of configuration.ExchangeTimeZone</param>
|
||||
public UserDefinedUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, TimeSpan interval, Func<DateTime, IEnumerable<string>> selector)
|
||||
: base(configuration)
|
||||
{
|
||||
_interval = interval;
|
||||
UniverseSettings = universeSettings;
|
||||
_selector = time =>
|
||||
{
|
||||
var selectSymbolsResult = selector(time.ConvertFromUtc(Configuration.ExchangeTimeZone));
|
||||
// if we received an unchaged then short circuit the symbol creation and return it directly
|
||||
if (ReferenceEquals(selectSymbolsResult, Unchanged)) return Unchanged;
|
||||
return selectSymbolsResult.Select(sym => Symbol.Create(sym, Configuration.SecurityType, Configuration.Market));
|
||||
};
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates a user defined universe symbol
|
||||
/// </summary>
|
||||
/// <param name="securityType">The security</param>
|
||||
/// <param name="market">The market</param>
|
||||
/// <returns>A symbol for user defined universe of the specified security type and market</returns>
|
||||
public static Symbol CreateSymbol(SecurityType securityType, string market)
|
||||
{
|
||||
var ticker = $"qc-universe-userdefined-{market.ToLowerInvariant()}-{securityType}";
|
||||
return UniverseExtensions.CreateSymbol(securityType, market, ticker);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Adds the specified <see cref="Symbol"/> to this universe
|
||||
/// </summary>
|
||||
/// <param name="symbol">The symbol to be added to this universe</param>
|
||||
/// <returns>True if the symbol was added, false if it was already present</returns>
|
||||
public bool Add(Symbol symbol)
|
||||
{
|
||||
var added = false;
|
||||
lock (_lock)
|
||||
{
|
||||
// let's not call the event having the lock if we don't need too
|
||||
added = _symbols.Add(symbol);
|
||||
}
|
||||
|
||||
if (added)
|
||||
{
|
||||
OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Add, symbol));
|
||||
return true;
|
||||
}
|
||||
return false;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Adds the specified <see cref="SubscriptionDataConfig"/> to this universe
|
||||
/// </summary>
|
||||
/// <param name="subscriptionDataConfig">The subscription data configuration to be added to this universe</param>
|
||||
/// <returns>True if the subscriptionDataConfig was added, false if it was already present</returns>
|
||||
public bool Add(SubscriptionDataConfig subscriptionDataConfig)
|
||||
{
|
||||
var added = false;
|
||||
lock (_lock)
|
||||
{
|
||||
// let's not call the event having the lock if we don't need too
|
||||
added = _subscriptionDataConfigs.Add(subscriptionDataConfig);
|
||||
}
|
||||
|
||||
if (added)
|
||||
{
|
||||
OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Add, subscriptionDataConfig.Symbol));
|
||||
return true;
|
||||
}
|
||||
return false;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Removes the specified <see cref="Symbol"/> from this universe
|
||||
/// </summary>
|
||||
/// <param name="symbol">The symbol to be removed</param>
|
||||
/// <returns>True if the symbol was removed, false if the symbol was not present</returns>
|
||||
public bool Remove(Symbol symbol)
|
||||
{
|
||||
if (RemoveAndKeepTrack(symbol))
|
||||
{
|
||||
OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Remove, symbol));
|
||||
return true;
|
||||
}
|
||||
return false;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Returns the symbols defined by the user for this universe
|
||||
/// </summary>
|
||||
/// <param name="utcTime">The current utc time</param>
|
||||
/// <param name="data">The symbols to remain in the universe</param>
|
||||
/// <returns>The data that passes the filter</returns>
|
||||
public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
|
||||
{
|
||||
return _selector(utcTime);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Returns an enumerator that defines when this user defined universe will be invoked
|
||||
/// </summary>
|
||||
/// <returns>An enumerator of DateTime that defines when this universe will be invoked</returns>
|
||||
public virtual IEnumerable<DateTime> GetTriggerTimes(DateTime startTimeUtc, DateTime endTimeUtc, MarketHoursDatabase marketHoursDatabase)
|
||||
{
|
||||
var exchangeHours = marketHoursDatabase.GetExchangeHours(Configuration);
|
||||
var localStartTime = startTimeUtc.ConvertFromUtc(exchangeHours.TimeZone);
|
||||
var localEndTime = endTimeUtc.ConvertFromUtc(exchangeHours.TimeZone);
|
||||
|
||||
var first = true;
|
||||
foreach (var dateTime in LinqExtensions.Range(localStartTime, localEndTime, dt => dt + Interval))
|
||||
{
|
||||
if (first)
|
||||
{
|
||||
yield return dateTime;
|
||||
first = false;
|
||||
}
|
||||
else if (exchangeHours.IsOpen(dateTime, dateTime + Interval, Configuration.ExtendedMarketHours))
|
||||
{
|
||||
yield return dateTime;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Event invocator for the <see cref="CollectionChanged"/> event
|
||||
/// </summary>
|
||||
/// <param name="e">The notify collection changed event arguments</param>
|
||||
protected virtual void OnCollectionChanged(NotifyCollectionChangedEventArgs e)
|
||||
{
|
||||
CollectionChanged?.Invoke(this, e);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the subscription requests to be added for the specified security
|
||||
/// </summary>
|
||||
/// <param name="security">The security to get subscriptions for</param>
|
||||
/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
|
||||
/// <param name="maximumEndTimeUtc">The max end time</param>
|
||||
/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
|
||||
/// <returns>All subscriptions required by this security</returns>
|
||||
public override IEnumerable<SubscriptionRequest> GetSubscriptionRequests(Security security,
|
||||
DateTime currentTimeUtc,
|
||||
DateTime maximumEndTimeUtc,
|
||||
ISubscriptionDataConfigService subscriptionService)
|
||||
{
|
||||
List<SubscriptionDataConfig> result;
|
||||
lock (_lock)
|
||||
{
|
||||
result = _subscriptionDataConfigs.Where(x => x.Symbol == security.Symbol).ToList();
|
||||
if (!result.Any())
|
||||
{
|
||||
result = _pendingRemovedConfigs.Where(x => x.Symbol == security.Symbol).ToList();
|
||||
if (result.Any())
|
||||
{
|
||||
_pendingRemovedConfigs.RemoveWhere(x => x.Symbol == security.Symbol);
|
||||
}
|
||||
else
|
||||
{
|
||||
result = base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService).Select(x => x.Configuration).ToList();
|
||||
// we create subscription data configs ourselves, add the configs
|
||||
_subscriptionDataConfigs.UnionWith(result);
|
||||
}
|
||||
}
|
||||
}
|
||||
return result.Select(config => new SubscriptionRequest(isUniverseSubscription: false,
|
||||
universe: this,
|
||||
security: security,
|
||||
configuration: config,
|
||||
startTimeUtc: currentTimeUtc,
|
||||
endTimeUtc: maximumEndTimeUtc));
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Tries to remove the specified security from the universe.
|
||||
/// </summary>
|
||||
/// <param name="utcTime">The current utc time</param>
|
||||
/// <param name="security">The security to be removed</param>
|
||||
/// <returns>True if the security was successfully removed, false if
|
||||
/// we're not allowed to remove or if the security didn't exist</returns>
|
||||
internal override bool RemoveMember(DateTime utcTime, Security security)
|
||||
{
|
||||
if (base.RemoveMember(utcTime, security))
|
||||
{
|
||||
RemoveAndKeepTrack(security.Symbol);
|
||||
return true;
|
||||
}
|
||||
return false;
|
||||
}
|
||||
|
||||
private bool RemoveAndKeepTrack(Symbol symbol)
|
||||
{
|
||||
lock (_lock)
|
||||
{
|
||||
var toBeRemoved = _subscriptionDataConfigs.Where(x => x.Symbol == symbol).ToList();
|
||||
var removedSymbol = _symbols.Remove(symbol);
|
||||
|
||||
if (removedSymbol || toBeRemoved.Any())
|
||||
{
|
||||
_subscriptionDataConfigs.RemoveWhere(x => x.Symbol == symbol);
|
||||
_pendingRemovedConfigs.UnionWith(toBeRemoved);
|
||||
return true;
|
||||
}
|
||||
|
||||
return false;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user