wehub-resource-sync
78 lines
3.5 KiB
C#
78 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 System;
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using System.Linq;
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using System.Collections.Generic;
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using QuantConnect.Data.Fundamental;
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using QuantConnect.Util;
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namespace QuantConnect.Data.UniverseSelection
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{
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/// <summary>
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/// Defines a universe that reads fine us equity data
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/// </summary>
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public class FineFundamentalUniverse : Universe
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{
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private readonly Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> _selector;
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/// <summary>
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/// Initializes a new instance of the <see cref="FineFundamentalUniverse"/> class
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/// </summary>
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/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
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/// <param name="selector">Returns the symbols that should be included in the universe</param>
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public FineFundamentalUniverse(UniverseSettings universeSettings, Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> selector)
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: base(CreateConfiguration(FundamentalUniverseFactory.SymbolFactory.UniverseSymbol()))
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{
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UniverseSettings = universeSettings;
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_selector = selector;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FineFundamentalUniverse"/> class
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/// </summary>
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/// <param name="symbol">Defines the symbol to use for this universe</param>
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/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
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/// <param name="selector">Returns the symbols that should be included in the universe</param>
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public FineFundamentalUniverse(Symbol symbol, UniverseSettings universeSettings, Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> selector)
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: base(CreateConfiguration(symbol))
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{
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UniverseSettings = universeSettings;
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_selector = selector;
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}
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/// <summary>
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/// Performs universe selection using the data specified
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/// </summary>
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/// <param name="utcTime">The current utc time</param>
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/// <param name="data">The symbols to remain in the universe</param>
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/// <returns>The data that passes the filter</returns>
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public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
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{
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return _selector(new CastingEnumerable<BaseData, FineFundamental>(data.Data));
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}
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/// <summary>
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/// Creates a <see cref="FineFundamental"/> subscription configuration for the US-equity market
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/// </summary>
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/// <param name="symbol">The symbol used in the returned configuration</param>
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/// <returns>A fine fundamental subscription configuration with the specified symbol</returns>
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public static SubscriptionDataConfig CreateConfiguration(Symbol symbol)
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{
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return FundamentalUniverseFactory.CreateConfiguration(symbol);
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}
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}
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}
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