chore: import upstream snapshot with attribution
This commit is contained in:
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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*/
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using System;
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using System.Linq;
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using Python.Runtime;
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using System.Collections;
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using System.Collections.Generic;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Base class for contract symbols filtering universes.
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/// Used by OptionFilterUniverse and FutureFilterUniverse
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/// </summary>
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public abstract class ContractSecurityFilterUniverse<T, TData> : IDerivativeSecurityFilterUniverse<TData>
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where T : ContractSecurityFilterUniverse<T, TData>
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where TData : IChainUniverseData
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{
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private bool _alreadyAppliedTypeFilters;
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private IReadOnlyList<TData> _data;
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/// <summary>
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/// Defines listed contract types with Flags attribute
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/// </summary>
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[Flags]
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protected enum ContractExpirationType : int
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{
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/// <summary>
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/// Standard contracts
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/// </summary>
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Standard = 1,
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/// <summary>
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/// Non standard weekly contracts
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/// </summary>
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Weekly = 2
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}
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/// <summary>
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/// The default expiration type filter value
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/// </summary>
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protected static readonly ContractExpirationType DefaultExpirationType = ContractExpirationType.Standard | ContractExpirationType.Weekly;
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/// <summary>
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/// Expiration Types allowed through the filter
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/// Standards only by default
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/// </summary>
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protected ContractExpirationType Type { get; set; } = DefaultExpirationType;
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/// <summary>
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/// The local exchange current time
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/// </summary>
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public DateTime LocalTime { get; private set; }
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/// <summary>
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/// The number of contracts in the universe
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/// </summary>
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public int Count => _data.Count;
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/// <summary>
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/// All data in this filter
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/// Marked internal for use by extensions
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/// </summary>
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/// <remarks>
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/// Setting it will also set AllSymbols
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/// </remarks>
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internal IReadOnlyList<TData> Data
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{
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get
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{
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return _data;
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}
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set
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{
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_data = value;
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}
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}
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/// <summary>
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/// All Symbols in this filter
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/// Marked internal for use by extensions
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/// </summary>
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/// <remarks>
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/// Setting it will remove any data that doesn't have a symbol in AllSymbols
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/// </remarks>
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internal IEnumerable<Symbol> AllSymbols
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{
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get
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{
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return _data.Select(x => x.Symbol);
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}
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set
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{
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// We create a "fake" data instance for each symbol that is not in the data,
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// so we are polite to the user and keep backwards compatibility
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_data = value.Select(symbol => _data.FirstOrDefault(x => x.Symbol == symbol) ?? CreateDataInstance(symbol)).ToList();
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}
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}
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/// <summary>
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/// Constructs ContractSecurityFilterUniverse
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/// </summary>
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protected ContractSecurityFilterUniverse()
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{
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Type = DefaultExpirationType;
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}
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/// <summary>
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/// Constructs ContractSecurityFilterUniverse
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/// </summary>
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protected ContractSecurityFilterUniverse(IReadOnlyList<TData> allData, DateTime localTime)
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{
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Data = allData;
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LocalTime = localTime;
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Type = DefaultExpirationType;
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}
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/// <summary>
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/// Function to determine if the given symbol is a standard contract
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/// </summary>
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/// <returns>True if standard type</returns>
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protected abstract bool IsStandard(Symbol symbol);
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/// <summary>
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/// Creates a new instance of the data type for the given symbol
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/// </summary>
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/// <returns>A data instance for the given symbol</returns>
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protected abstract TData CreateDataInstance(Symbol symbol);
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/// <summary>
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/// Returns universe, filtered by contract type
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/// </summary>
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/// <returns>Universe with filter applied</returns>
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internal T ApplyTypesFilter()
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{
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if (_alreadyAppliedTypeFilters)
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{
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return (T)this;
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}
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// memoization map for ApplyTypesFilter()
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var memoizedMap = new Dictionary<DateTime, bool>();
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Func<TData, bool> memoizedIsStandardType = data =>
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{
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var dt = data.ID.Date;
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bool result;
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if (memoizedMap.TryGetValue(dt, out result))
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return result;
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var res = IsStandard(data.Symbol);
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memoizedMap[dt] = res;
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return res;
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};
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Data = Data.Where(x =>
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{
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switch (Type)
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{
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case ContractExpirationType.Weekly:
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return !memoizedIsStandardType(x);
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case ContractExpirationType.Standard:
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return memoizedIsStandardType(x);
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case ContractExpirationType.Standard | ContractExpirationType.Weekly:
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return true;
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default:
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return false;
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}
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}).ToList();
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_alreadyAppliedTypeFilters = true;
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return (T)this;
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}
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/// <summary>
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/// Refreshes this filter universe
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/// </summary>
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/// <param name="allData">All data for contracts in the Universe</param>
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/// <param name="localTime">The local exchange current time</param>
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public virtual void Refresh(IReadOnlyList<TData> allData, DateTime localTime)
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{
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Data = allData;
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LocalTime = localTime;
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Type = DefaultExpirationType;
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_alreadyAppliedTypeFilters = false;
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}
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/// <summary>
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/// Sets universe of standard contracts (if any) as selection
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/// Contracts by default are standards; only needed to switch back if changed
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/// </summary>
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/// <returns>Universe with filter applied</returns>
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public T StandardsOnly()
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{
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if (_alreadyAppliedTypeFilters)
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{
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throw new InvalidOperationException("Type filters have already been applied, " +
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"please call StandardsOnly() before applying other filters such as FrontMonth() or BackMonths()");
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}
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Type = ContractExpirationType.Standard;
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return (T)this;
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}
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/// <summary>
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/// Includes universe of non-standard weeklys contracts (if any) into selection
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/// </summary>
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/// <returns>Universe with filter applied</returns>
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[Obsolete("IncludeWeeklys is obsolete because weekly contracts are now included by default.")]
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public T IncludeWeeklys()
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{
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if (_alreadyAppliedTypeFilters)
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{
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throw new InvalidOperationException("Type filters have already been applied, " +
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"please call IncludeWeeklys() before applying other filters such as FrontMonth() or BackMonths()");
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}
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Type |= ContractExpirationType.Weekly;
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return (T)this;
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}
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/// <summary>
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/// Sets universe of weeklys contracts (if any) as selection
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/// </summary>
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/// <returns>Universe with filter applied</returns>
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public T WeeklysOnly()
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{
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Type = ContractExpirationType.Weekly;
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return (T)this;
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}
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/// <summary>
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/// Returns front month contract
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/// </summary>
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/// <returns>Universe with filter applied</returns>
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public virtual T FrontMonth()
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{
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ApplyTypesFilter();
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var ordered = Data.OrderBy(x => x.ID.Date).ToList();
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if (ordered.Count == 0) return (T)this;
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var frontMonth = ordered.TakeWhile(x => ordered[0].ID.Date == x.ID.Date);
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Data = frontMonth.ToList();
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return (T)this;
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}
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/// <summary>
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/// Returns a list of back month contracts
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/// </summary>
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/// <returns>Universe with filter applied</returns>
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public virtual T BackMonths()
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{
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ApplyTypesFilter();
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var ordered = Data.OrderBy(x => x.ID.Date).ToList();
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if (ordered.Count == 0) return (T)this;
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var backMonths = ordered.SkipWhile(x => ordered[0].ID.Date == x.ID.Date);
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Data = backMonths.ToList();
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return (T)this;
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}
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/// <summary>
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/// Returns first of back month contracts
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/// </summary>
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/// <returns>Universe with filter applied</returns>
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public T BackMonth()
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{
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return BackMonths().FrontMonth();
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}
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/// <summary>
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/// Adjust the reference date used for expiration filtering. By default it just returns the same date.
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/// </summary>
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/// <param name="referenceDate">The reference date to be adjusted</param>
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/// <returns>The adjusted date</returns>
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protected virtual DateTime AdjustExpirationReferenceDate(DateTime referenceDate)
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{
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return referenceDate;
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}
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/// <summary>
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/// Applies filter selecting options contracts based on a range of expiration dates relative to the current day
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/// </summary>
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/// <param name="minExpiry">The minimum time until expiry to include, for example, TimeSpan.FromDays(10)
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/// would exclude contracts expiring in less than 10 days</param>
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/// <param name="maxExpiry">The maximum time until expiry to include, for example, TimeSpan.FromDays(10)
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/// would exclude contracts expiring in more than 10 days</param>
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/// <returns>Universe with filter applied</returns>
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public virtual T Expiration(TimeSpan minExpiry, TimeSpan maxExpiry)
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{
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if (LocalTime == default)
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{
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return (T)this;
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}
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if (maxExpiry > Time.MaxTimeSpan) maxExpiry = Time.MaxTimeSpan;
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var referenceDate = AdjustExpirationReferenceDate(LocalTime.Date);
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var minExpiryToDate = referenceDate + minExpiry;
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var maxExpiryToDate = referenceDate + maxExpiry;
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Data = Data
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.Where(symbol => symbol.ID.Date.Date >= minExpiryToDate && symbol.ID.Date.Date <= maxExpiryToDate)
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.ToList();
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return (T)this;
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}
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/// <summary>
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/// Applies filter selecting contracts based on a range of expiration dates relative to the current day
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/// </summary>
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/// <param name="minExpiryDays">The minimum time, expressed in days, until expiry to include, for example, 10
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/// would exclude contracts expiring in less than 10 days</param>
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/// <param name="maxExpiryDays">The maximum time, expressed in days, until expiry to include, for example, 10
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/// would exclude contracts expiring in more than 10 days</param>
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/// <returns>Universe with filter applied</returns>
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public T Expiration(int minExpiryDays, int maxExpiryDays)
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{
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return Expiration(TimeSpan.FromDays(minExpiryDays), TimeSpan.FromDays(maxExpiryDays));
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}
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/// <summary>
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/// Explicitly sets the selected contract symbols for this universe.
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/// This overrides and and all other methods of selecting symbols assuming it is called last.
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/// </summary>
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/// <param name="contracts">The option contract symbol objects to select</param>
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/// <returns>Universe with filter applied</returns>
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public T Contracts(PyObject contracts)
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{
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// Let's first check if the object is a selector:
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if (contracts.TrySafeAs(out Func<IEnumerable<TData>, IEnumerable<Symbol>> contractSelector))
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{
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return Contracts(contractSelector);
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}
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// Else, it should be a list of symbols:
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return Contracts(contracts.ConvertToSymbolEnumerable());
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}
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/// <summary>
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/// Explicitly sets the selected contract symbols for this universe.
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/// This overrides and and all other methods of selecting symbols assuming it is called last.
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/// </summary>
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/// <param name="contracts">The option contract symbol objects to select</param>
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/// <returns>Universe with filter applied</returns>
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public T Contracts(IEnumerable<Symbol> contracts)
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{
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AllSymbols = contracts.ToList();
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return (T)this;
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}
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/// <summary>
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/// Explicitly sets the selected contract symbols for this universe.
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/// This overrides and and all other methods of selecting symbols assuming it is called last.
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/// </summary>
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/// <param name="contracts">The option contract symbol objects to select</param>
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/// <returns>Universe with filter applied</returns>
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public T Contracts(IEnumerable<TData> contracts)
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{
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Data = contracts.ToList();
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return (T)this;
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}
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/// <summary>
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/// Sets a function used to filter the set of available contract filters. The input to the 'contractSelector'
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/// function will be the already filtered list if any other filters have already been applied.
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/// </summary>
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/// <param name="contractSelector">The option contract symbol objects to select</param>
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/// <returns>Universe with filter applied</returns>
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public T Contracts(Func<IEnumerable<TData>, IEnumerable<Symbol>> contractSelector)
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{
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// force materialization using ToList
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AllSymbols = contractSelector(Data).ToList();
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return (T)this;
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}
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/// <summary>
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/// Sets a function used to filter the set of available contract filters. The input to the 'contractSelector'
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/// function will be the already filtered list if any other filters have already been applied.
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/// </summary>
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/// <param name="contractSelector">The option contract symbol objects to select</param>
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/// <returns>Universe with filter applied</returns>
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public T Contracts(Func<IEnumerable<TData>, IEnumerable<TData>> contractSelector)
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{
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// force materialization using ToList
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Data = contractSelector(Data).ToList();
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return (T)this;
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}
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/// <summary>
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/// Instructs the engine to only filter contracts on the first time step of each market day.
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/// </summary>
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/// <returns>Universe with filter applied</returns>
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/// <remarks>Deprecated since filters are always non-dynamic now</remarks>
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[Obsolete("Deprecated as of 2023-12-13. Filters are always non-dynamic as of now, which means they will only bee applied daily.")]
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public T OnlyApplyFilterAtMarketOpen()
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{
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return (T)this;
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}
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/// <summary>
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/// IEnumerable interface method implementation
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/// </summary>
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/// <returns>IEnumerator of Symbols in Universe</returns>
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public IEnumerator<TData> GetEnumerator()
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{
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return Data.GetEnumerator();
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}
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/// <summary>
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/// IEnumerable interface method implementation
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/// </summary>
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IEnumerator IEnumerable.GetEnumerator()
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{
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return Data.GetEnumerator();
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}
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}
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}
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Block a user