wehub-resource-sync
67 lines
3.3 KiB
Python
67 lines
3.3 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
from clr import GetClrType as typeof
|
|
|
|
from Selection.UniverseSelectionModel import UniverseSelectionModel
|
|
from itertools import groupby
|
|
|
|
class ManualUniverseSelectionModel(UniverseSelectionModel):
|
|
'''Provides an implementation of IUniverseSelectionModel that simply subscribes to the specified set of symbols'''
|
|
|
|
def __init__(self, symbols = list(), universe_settings = None):
|
|
self.marketHours = MarketHoursDatabase.from_data_folder()
|
|
self.symbols = symbols
|
|
self.universe_settings = universe_settings
|
|
|
|
for symbol in symbols:
|
|
SymbolCache.set(symbol.Value, symbol)
|
|
|
|
def create_universes(self, algorithm: QCAlgorithm) -> list[Universe]:
|
|
'''Creates the universes for this algorithm. Called once after IAlgorithm.Initialize
|
|
Args:
|
|
algorithm: The algorithm instance to create universes for</param>
|
|
Returns:
|
|
The universes to be used by the algorithm'''
|
|
universe_settings = self.universe_settings \
|
|
if self.universe_settings is not None else algorithm.universe_settings
|
|
|
|
resolution = universe_settings.resolution
|
|
type = typeof(Tick) if resolution == Resolution.TICK else typeof(TradeBar)
|
|
|
|
universes = list()
|
|
|
|
# universe per security type/market
|
|
self.symbols = sorted(self.symbols, key=lambda s: (s.id.market, s.security_type))
|
|
for key, grp in groupby(self.symbols, lambda s: (s.id.market, s.security_type)):
|
|
|
|
market = key[0]
|
|
security_type = key[1]
|
|
universe_symbol = Symbol.create(f"manual-universe-selection-model-{security_type}-{market}", security_type, market)
|
|
|
|
if security_type == SecurityType.BASE:
|
|
# add an entry for this custom universe symbol -- we don't really know the time zone for sure,
|
|
# but we set it to TimeZones.NewYork in AddData, also, since this is a manual universe, the time
|
|
# zone doesn't actually matter since this universe specifically doesn't do anything with data.
|
|
symbol_string = MarketHoursDatabase.get_database_symbol_key(universe_symbol)
|
|
always_open = SecurityExchangeHours.always_open(TimeZones.NEW_YORK)
|
|
entry = self.marketHours.set_entry(market, symbol_string, security_type, always_open, TimeZones.NEW_YORK)
|
|
else:
|
|
entry = self.marketHours.get_entry(market, None, security_type)
|
|
|
|
config = SubscriptionDataConfig(type, universe_symbol, resolution, entry.data_time_zone, entry.exchange_hours.time_zone, False, False, True)
|
|
universes.append( ManualUniverse(config, universe_settings, list(grp)))
|
|
|
|
return universes
|