wehub-resource-sync
65 lines
3.1 KiB
Python
65 lines
3.1 KiB
Python
# 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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from AlgorithmImports import *
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from Selection.UniverseSelectionModel import UniverseSelectionModel
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class FutureUniverseSelectionModel(UniverseSelectionModel):
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'''Provides an implementation of IUniverseSelectionMode that subscribes to future chains'''
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def __init__(self,
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refreshInterval,
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futureChainSymbolSelector,
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universeSettings = None):
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'''Creates a new instance of FutureUniverseSelectionModel
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Args:
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refreshInterval: Time interval between universe refreshes</param>
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futureChainSymbolSelector: Selects symbols from the provided future chain
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universeSettings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed'''
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self.next_refresh_time_utc = datetime.min
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self.refresh_interval = refreshInterval
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self.future_chain_symbol_selector = futureChainSymbolSelector
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self.universe_settings = universeSettings
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def get_next_refresh_time_utc(self):
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'''Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.'''
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return self.next_refresh_time_utc
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def create_universes(self, algorithm: QCAlgorithm) -> list[Universe]:
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'''Creates a new fundamental universe using this class's selection functions
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Args:
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algorithm: The algorithm instance to create universes for
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Returns:
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The universe defined by this model'''
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self.next_refresh_time_utc = algorithm.utc_time + self.refresh_interval
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unique_symbols = set()
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for future_symbol in self.future_chain_symbol_selector(algorithm.utc_time):
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if future_symbol.SecurityType != SecurityType.FUTURE:
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raise ValueError("futureChainSymbolSelector must return future symbols.")
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# prevent creating duplicate future chains -- one per symbol
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if future_symbol not in unique_symbols:
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unique_symbols.add(future_symbol)
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selection = self.filter
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if hasattr(self, "Filter") and callable(self.Filter):
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selection = self.Filter
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for universe in Extensions.create_future_chain(algorithm, future_symbol, selection, self.universe_settings):
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yield universe
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def filter(self, filter):
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'''Defines the future chain universe filter'''
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# NOP
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return filter
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