wehub-resource-sync
73 lines
3.4 KiB
C#
73 lines
3.4 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 System.Threading;
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using Python.Runtime;
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namespace QuantConnect.Data.UniverseSelection
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{
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/// <summary>
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/// Creates a universe based on an ETF's holdings at a given date
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/// </summary>
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public class ETFConstituentsUniverseFactory : ConstituentsUniverse<ETFConstituentUniverse>
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{
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private static int _universeCount;
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private const string _etfConstituentsUniverseIdentifier = "qc-universe-etf-constituents";
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/// <summary>
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/// Creates a new universe for the constituents of the ETF provided as <paramref name="symbol"/>
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/// </summary>
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/// <param name="symbol">The ETF to load constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="constituentsFilter">The filter function used to filter out ETF constituents from the universe</param>
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public ETFConstituentsUniverseFactory(Symbol symbol, UniverseSettings universeSettings, Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> constituentsFilter = null)
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: base(CreateConstituentUniverseETFSymbol(symbol), universeSettings, constituentsFilter ?? (constituents => constituents.Select(c => c.Symbol)))
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{
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}
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/// <summary>
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/// Creates a new universe for the constituents of the ETF provided as <paramref name="symbol"/>
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/// </summary>
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/// <param name="symbol">The ETF to load constituents for</param>
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/// <param name="universeSettings">Universe settings</param>
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/// <param name="constituentsFilter">The filter function used to filter out ETF constituents from the universe</param>
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public ETFConstituentsUniverseFactory(Symbol symbol, UniverseSettings universeSettings, PyObject constituentsFilter)
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: this(symbol, universeSettings, constituentsFilter.ConvertPythonUniverseFilterFunction<ETFConstituentUniverse>())
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{
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}
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/// <summary>
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/// Creates a universe Symbol for constituent ETFs
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/// </summary>
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/// <param name="compositeSymbol">The Symbol of the ETF</param>
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/// <returns>Universe Symbol with ETF set as underlying</returns>
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private static Symbol CreateConstituentUniverseETFSymbol(Symbol compositeSymbol)
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{
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var universeTicker = $"{_etfConstituentsUniverseIdentifier}-{Interlocked.Increment(ref _universeCount):D10}-{Guid.NewGuid()}";
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return new Symbol(
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SecurityIdentifier.GenerateConstituentIdentifier(
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universeTicker,
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compositeSymbol.SecurityType,
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compositeSymbol.ID.Market),
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universeTicker,
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compositeSymbol);
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}
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}
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}
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