wehub-resource-sync
84 lines
3.5 KiB
C#
84 lines
3.5 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 QuantConnect.Data.UniverseSelection;
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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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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Inception Date Universe that accepts a Dictionary of DateTime keyed by String that represent
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/// the Inception date for each ticker
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/// </summary>
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public class InceptionDateUniverseSelectionModel : CustomUniverseSelectionModel
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{
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private readonly Queue<KeyValuePair<string, DateTime>> _queue;
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private readonly List<string> _symbols;
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/// <summary>
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/// Initializes a new instance of the <see cref="InceptionDateUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="name">A unique name for this universe</param>
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/// <param name="tickersByDate">Dictionary of DateTime keyed by String that represent the Inception date for each ticker</param>
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public InceptionDateUniverseSelectionModel(string name, Dictionary<string, DateTime> tickersByDate) :
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base(name, (Func<DateTime, IEnumerable<string>>)null)
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{
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_queue = new Queue<KeyValuePair<string, DateTime>>(tickersByDate);
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_symbols = new List<string>();
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="InceptionDateUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="name">A unique name for this universe</param>
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/// <param name="tickersByDate">Dictionary of DateTime keyed by String that represent the Inception date for each ticker</param>
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public InceptionDateUniverseSelectionModel(string name, PyObject tickersByDate) :
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this(name, tickersByDate.ConvertToDictionary<string, DateTime>())
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{
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}
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/// <summary>
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/// Returns all tickers that are trading at current algorithm Time
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/// </summary>
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public override IEnumerable<string> Select(QCAlgorithm algorithm, DateTime date)
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{
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// Check if this method was overridden in Python
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if (TryInvokePythonOverride(nameof(Select), out IEnumerable<string> result, algorithm, date))
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{
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return result;
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}
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// Move Symbols that are trading from the queue to a list
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var added = new List<string>();
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while (_queue.TryPeek(out var keyValuePair) && keyValuePair.Value <= date)
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{
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added.Add(_queue.Dequeue().Key);
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}
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// If no pending for addition found, return Universe Unchanged
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// Otherwise adds to list of current tickers and return it
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if (added.Count == 0)
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{
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return Universe.Unchanged;
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}
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_symbols.AddRange(added);
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return _symbols;
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}
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}
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}
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