wehub-resource-sync
85 lines
4.1 KiB
C#
85 lines
4.1 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 System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Defines a universe as a set of manually set symbols. This differs from <see cref="UserDefinedUniverse"/>
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/// in that these securities were not added via AddSecurity.
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/// </summary>
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/// <remarks>Incompatible with multiple <see cref="Universe"/> selecting the same <see cref="Symbol"/>.
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/// with different <see cref="SubscriptionDataConfig"/>. More information <see cref="GetSubscriptionRequests"/></remarks>
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public class ManualUniverse : UserDefinedUniverse
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{
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/// <summary>
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/// Creates a new instance of the <see cref="ManualUniverse"/>
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/// </summary>
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public ManualUniverse(SubscriptionDataConfig configuration,
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UniverseSettings universeSettings,
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IEnumerable<Symbol> symbols)
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: base(configuration, universeSettings, Time.MaxTimeSpan, symbols)
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{
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}
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/// <summary>
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/// Creates a new instance of the <see cref="ManualUniverse"/>
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/// </summary>
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public ManualUniverse(SubscriptionDataConfig configuration,
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UniverseSettings universeSettings,
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Symbol[] symbols)
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: base(configuration, universeSettings, Time.MaxTimeSpan, symbols)
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{
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}
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/// <summary>
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/// Gets the subscription requests to be added for the specified security
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/// </summary>
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/// <param name="security">The security to get subscriptions for</param>
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/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
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/// <param name="maximumEndTimeUtc">The max end time</param>
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/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
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/// <returns>All subscriptions required by this security</returns>
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public override IEnumerable<SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
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ISubscriptionDataConfigService subscriptionService)
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{
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// ManualUniverse will return any existing SDC for the symbol, else will create new, using universe settings.
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// This is for maintaining existing behavior and preventing breaking changes: Specifically motivated
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// by usages of Algorithm.Securities.Keys as constructor parameter of the ManualUniverseSelectionModel.
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// Symbols at Algorithm.Securities.Keys added by Addxxx() calls will already be added by the UserDefinedUniverse.
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var existingSubscriptionDataConfigs = subscriptionService.GetSubscriptionDataConfigs(security.Symbol);
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if (existingSubscriptionDataConfigs.Any())
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{
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return existingSubscriptionDataConfigs.Select(
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config => new SubscriptionRequest(isUniverseSubscription: false,
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universe: this,
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security: security,
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configuration: config,
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startTimeUtc: currentTimeUtc,
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endTimeUtc: maximumEndTimeUtc));
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}
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return base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService);
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}
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}
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} |