wehub-resource-sync
98 lines
4.9 KiB
C#
98 lines
4.9 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 Python.Runtime;
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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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/// Provides a functional implementation of <see cref="Universe"/>
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/// </summary>
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/// <typeparam name="T">The BaseData type to provide to the user defined universe filter</typeparam>
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public class FuncUniverse<T> : Universe
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where T : BaseData
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{
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private readonly Func<IEnumerable<T>, IEnumerable<Symbol>> _universeSelector;
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/// <summary>
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/// Initializes a new instance of the <see cref="FuncUniverse{T}"/> class
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/// </summary>
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/// <param name="configuration">The configuration used to resolve the data for universe selection</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="universeSelector">Returns the symbols that should be included in the universe</param>
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public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, Func<IEnumerable<T>, IEnumerable<Symbol>> universeSelector)
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: base(configuration)
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{
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_universeSelector = universeSelector;
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_universeSelector ??= (dataPoints) => dataPoints.Select(x => x.Symbol);
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UniverseSettings = universeSettings;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FuncUniverse{T}"/> class for a filter function loaded from Python
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/// </summary>
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/// <param name="configuration">The configuration used to resolve the data for universe selection</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="universeSelector">Function that returns the symbols that should be included in the universe</param>
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public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, PyObject universeSelector)
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: this(configuration, universeSettings, universeSelector.ConvertPythonUniverseFilterFunction<T>())
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{
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}
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/// <summary>
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/// Performs an initial, coarse filter
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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 coarse fundamental data</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 _universeSelector(new CastingEnumerable<BaseData, T>(data.Data));
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}
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}
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/// <summary>
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/// Provides a functional implementation of <see cref="Universe"/>
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/// </summary>
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public class FuncUniverse : FuncUniverse<BaseData>
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="FuncUniverse"/> class
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/// </summary>
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/// <param name="configuration">The configuration used to resolve the data for universe selection</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="universeSelector">Returns the symbols that should be included in the universe</param>
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public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, Func<IEnumerable<BaseData>, IEnumerable<Symbol>> universeSelector)
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: base(configuration, universeSettings, universeSelector)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FuncUniverse"/> class
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/// </summary>
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/// <param name="configuration">The configuration used to resolve the data for universe selection</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="universeSelector">Returns the symbols that should be included in the universe</param>
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public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, PyObject universeSelector)
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: base(configuration, universeSettings, universeSelector)
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{
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}
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}
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}
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