wehub-resource-sync
95 lines
3.4 KiB
C#
95 lines
3.4 KiB
C#
/*
|
|
* 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 QuantConnect.Securities;
|
|
using QuantConnect.Securities.Future;
|
|
using QuantConnect.Util;
|
|
|
|
namespace QuantConnect.Data.UniverseSelection
|
|
{
|
|
/// <summary>
|
|
/// Defines a universe for a single futures chain
|
|
/// </summary>
|
|
public class FuturesChainUniverse : Universe
|
|
{
|
|
/// <summary>
|
|
/// True if this universe filter can run async in the data stack
|
|
/// </summary>
|
|
public override bool Asynchronous
|
|
{
|
|
get
|
|
{
|
|
if (UniverseSettings.Asynchronous.HasValue)
|
|
{
|
|
return UniverseSettings.Asynchronous.Value;
|
|
}
|
|
return Future.ContractFilter.Asynchronous;
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="FuturesChainUniverse"/> class
|
|
/// </summary>
|
|
/// <param name="future">The canonical future chain security</param>
|
|
/// <param name="universeSettings">The universe settings to be used for new subscriptions</param>
|
|
public FuturesChainUniverse(Future future,
|
|
UniverseSettings universeSettings)
|
|
: base(future.SubscriptionDataConfig)
|
|
{
|
|
Future = future;
|
|
UniverseSettings = universeSettings;
|
|
}
|
|
|
|
/// <summary>
|
|
/// The canonical future chain security
|
|
/// </summary>
|
|
public Future Future { get; }
|
|
|
|
/// <summary>
|
|
/// Gets the settings used for subscriptons added for this universe
|
|
/// </summary>
|
|
public override UniverseSettings UniverseSettings
|
|
{
|
|
set
|
|
{
|
|
if (value != null)
|
|
{
|
|
// make sure data mode is raw
|
|
base.UniverseSettings = new UniverseSettings(value) { DataNormalizationMode = DataNormalizationMode.Raw };
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Performs universe selection using the data specified
|
|
/// </summary>
|
|
/// <param name="utcTime">The current utc time</param>
|
|
/// <param name="data">The symbols to remain in the universe</param>
|
|
/// <returns>The data that passes the filter</returns>
|
|
public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
|
|
{
|
|
var localEndTime = utcTime.ConvertFromUtc(Future.Exchange.TimeZone);
|
|
var availableContracts = new CastingEnumerable<BaseData, FutureUniverse>(data.Data);
|
|
var results = Future.ContractFilter.Filter(new FutureFilterUniverse(availableContracts, localEndTime));
|
|
|
|
return results.Select(x => x.Symbol);
|
|
}
|
|
}
|
|
}
|