wehub-resource-sync
51 lines
2.3 KiB
Python
51 lines
2.3 KiB
Python
# 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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from AlgorithmImports import *
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from Selection.UniverseSelectionModel import UniverseSelectionModel
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class ETFConstituentsUniverseSelectionModel(UniverseSelectionModel):
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'''Universe selection model that selects the constituents of an ETF.'''
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def __init__(self,
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etf_symbol,
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universe_settings = None,
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universe_filter_func = None):
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'''Initializes a new instance of the ETFConstituentsUniverseSelectionModel class
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Args:
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etfSymbol: Symbol of the ETF to get constituents for
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universeSettings: Universe settings
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universeFilterFunc: Function to filter universe results'''
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if type(etf_symbol) is str:
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symbol = SymbolCache.try_get_symbol(etf_symbol, None)
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if symbol[0] and symbol[1].security_type == SecurityType.EQUITY:
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self.etf_symbol = symbol[1]
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else:
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self.etf_symbol = Symbol.create(etf_symbol, SecurityType.EQUITY, Market.USA)
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else:
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self.etf_symbol = etf_symbol
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self.universe_settings = universe_settings
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self.universe_filter_function = universe_filter_func
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self.universe = None
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def create_universes(self, algorithm: QCAlgorithm) -> list[Universe]:
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'''Creates a new ETF constituents universe using this class's selection function
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Args:
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algorithm: The algorithm instance to create universes for
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Returns:
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The universe defined by this model'''
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if self.universe is None:
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self.universe = algorithm.universe.etf(self.etf_symbol, self.universe_settings, self.universe_filter_function)
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return [self.universe]
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