wehub-resource-sync
96 lines
4.5 KiB
C#
96 lines
4.5 KiB
C#
/*
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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.Collections.Generic;
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using Python.Runtime;
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using QuantConnect.Data.Fundamental;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Portfolio selection model that uses coarse/fine selectors. For US equities only.
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/// </summary>
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public class FineFundamentalUniverseSelectionModel : FundamentalUniverseSelectionModel
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{
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private readonly Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> _coarseSelector;
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private readonly Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> _fineSelector;
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/// <summary>
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/// Initializes a new instance of the <see cref="FineFundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
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/// <param name="fineSelector">Selects symbols from the provided fine data set (this set has already been filtered according to the coarse selection)</param>
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/// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
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public FineFundamentalUniverseSelectionModel(
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Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> coarseSelector,
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Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> fineSelector,
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UniverseSettings universeSettings = null)
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: base(true, universeSettings)
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{
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_coarseSelector = coarseSelector;
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_fineSelector = fineSelector;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FineFundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
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/// <param name="fineSelector">Selects symbols from the provided fine data set (this set has already been filtered according to the coarse selection)</param>
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/// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
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public FineFundamentalUniverseSelectionModel(
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PyObject coarseSelector,
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PyObject fineSelector,
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UniverseSettings universeSettings = null
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)
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: base(true, universeSettings)
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{
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Func<IEnumerable<FineFundamental>, object> fineFunc;
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Func<IEnumerable<CoarseFundamental>, object> coarseFunc;
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if (fineSelector.TrySafeAs(out fineFunc) &&
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coarseSelector.TrySafeAs(out coarseFunc))
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{
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_fineSelector = fineFunc.ConvertToUniverseSelectionSymbolDelegate();
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_coarseSelector = coarseFunc.ConvertToUniverseSelectionSymbolDelegate();
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}
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}
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/// <inheritdoc />
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public override IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(SelectCoarse), out IEnumerable<Symbol> result, algorithm, coarse))
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{
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return result;
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}
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return _coarseSelector(coarse);
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}
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/// <inheritdoc />
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public override IEnumerable<Symbol> SelectFine(QCAlgorithm algorithm, IEnumerable<FineFundamental> fine)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(SelectFine), out IEnumerable<Symbol> result, algorithm, fine))
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{
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return result;
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}
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return _fineSelector(fine);
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}
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}
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}
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