quantconnect--lean/Common/Data/UniverseSelection/ConstituentsUniverse.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using System.Collections.Generic;
using System.Linq;
using Python.Runtime;

namespace QuantConnect.Data.UniverseSelection
{
    /// <summary>
    /// ConstituentsUniverse allows to perform universe selection based on an
    /// already preselected set of <see cref="Symbol"/>.
    /// </summary>
    /// <remarks>Using this class allows a performance improvement, since there is no
    /// runtime logic computation required for selecting the <see cref="Symbol"/></remarks>
    public class ConstituentsUniverse<T> : FuncUniverse<T>
        where T : BaseData
    {
        /// <summary>
        /// Creates a new instance of the <see cref="ConstituentsUniverse"/>
        /// </summary>
        /// <param name="symbol">The universe symbol</param>
        /// <param name="universeSettings">The universe settings to use</param>
        /// <param name="constituentsFilter">User-provided function to filter constituents universe with</param>
        public ConstituentsUniverse(
            Symbol symbol, 
            UniverseSettings universeSettings, 
            Func<IEnumerable<T>, IEnumerable<Symbol>> constituentsFilter = null)
            : this(new SubscriptionDataConfig(typeof(T),
                    symbol,
                    Resolution.Daily,
                    TimeZones.NewYork,
                    TimeZones.NewYork,
                    false,
                    false,
                    true,
                    true),
                universeSettings,
                constituentsFilter)
        {
        }

        /// <summary>
        /// Creates a new instance of the <see cref="ConstituentsUniverse"/>
        /// </summary>
        /// <param name="symbol">The universe symbol</param>
        /// <param name="universeSettings">The universe settings to use</param>
        /// <param name="constituentsFilter">User-provided function to filter constituents universe with</param>
        public ConstituentsUniverse(
            Symbol symbol,
            UniverseSettings universeSettings,
            PyObject constituentsFilter = null)
            : this(symbol, universeSettings, constituentsFilter.ConvertPythonUniverseFilterFunction<T>())
        {
        }

        /// <summary>
        /// Creates a new instance of the <see cref="ConstituentsUniverse"/>
        /// </summary>
        /// <param name="subscriptionDataConfig">The universe configuration to use</param>
        /// <param name="universeSettings">The universe settings to use</param>
        /// <param name="constituentsFilter">User-provided function to filter constituents universe with</param>
        public ConstituentsUniverse(
            SubscriptionDataConfig subscriptionDataConfig, 
            UniverseSettings universeSettings,
            Func<IEnumerable<T>, IEnumerable<Symbol>> constituentsFilter = null)
            : base(subscriptionDataConfig,
                universeSettings,
                constituentsFilter ?? (constituents =>
                {
                    var symbols = constituents.Select(baseData => baseData.Symbol).ToList();
                    // for performance, just compare to Symbol.None if we have 1 Symbol
                    if (symbols.Count == 1 && symbols[0] == Symbol.None)
                    {
                        // no symbol selected
                        return Enumerable.Empty<Symbol>();
                    }

                    return symbols;
                }))
        {
            if (!subscriptionDataConfig.IsCustomData)
            {
                throw new InvalidOperationException($"{typeof(T).Name} {nameof(SubscriptionDataConfig)}" +
                    $" only supports custom data property set to 'true'");
            }
        }

        /// <summary>
        /// Constituent universe for a Python function
        /// </summary>
        /// <param name="subscriptionDataConfig">The universe configuration to use</param>
        /// <param name="universeSettings">The universe settings to use</param>
        /// <param name="constituentsFilter">User-provided function to filter constituents universe with</param>
        public ConstituentsUniverse(
            SubscriptionDataConfig subscriptionDataConfig,
            UniverseSettings universeSettings,
            PyObject constituentsFilter = null)
        : this(subscriptionDataConfig, universeSettings, constituentsFilter.ConvertPythonUniverseFilterFunction<T>())
        {
        }
    }

    /// <summary>
    /// ConstituentsUniverse allows to perform universe selection based on an
    /// already preselected set of <see cref="Symbol"/>.
    /// </summary>
    /// <remarks>Using this class allows a performance improvement, since there is no
    /// runtime logic computation required for selecting the <see cref="Symbol"/></remarks>
    public class ConstituentsUniverse : ConstituentsUniverse<ConstituentsUniverseData>
    {
        /// <summary>
        /// Creates a new instance of the <see cref="ConstituentsUniverse"/>
        /// </summary>
        /// <param name="symbol">The universe symbol</param>
        /// <param name="universeSettings">The universe settings to use</param>
        /// <param name="filterFunc">The constituents filter function</param>
        public ConstituentsUniverse(Symbol symbol, UniverseSettings universeSettings, Func<IEnumerable<ConstituentsUniverseData>, IEnumerable<Symbol>> filterFunc)
            : base(symbol, universeSettings, filterFunc)
        {
        }
        
        /// <summary>
        /// Creates a new instance of the <see cref="ConstituentsUniverse"/>
        /// </summary>
        /// <param name="symbol">The universe symbol</param>
        /// <param name="universeSettings">The universe settings to use</param>
        public ConstituentsUniverse(Symbol symbol, UniverseSettings universeSettings)
            : base(symbol, universeSettings, (Func<IEnumerable<ConstituentsUniverseData>, IEnumerable<Symbol>>)null)
        {
        } 
        
        /// <summary>
        /// Creates a new instance of the <see cref="ConstituentsUniverse"/>
        /// </summary>
        /// <param name="symbol">The universe symbol</param>
        /// <param name="universeSettings">The universe settings to use</param>
        /// <param name="filterFunc">The constituents filter function</param>
        public ConstituentsUniverse(Symbol symbol, UniverseSettings universeSettings, PyObject filterFunc)
            : base(symbol, universeSettings, filterFunc)
        {
        }
    }
}