wehub-resource-sync
108 lines
4.7 KiB
C#
108 lines
4.7 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 QuantConnect.Data;
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using System.Collections.Generic;
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using System.Collections.Specialized;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.Selection
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{
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/// <summary>
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/// This universe will hold single option contracts and their underlying, managing removals and additions
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/// </summary>
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public class OptionContractUniverse : UserDefinedUniverse
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{
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private readonly HashSet<Symbol> _symbols;
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/// <summary>
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/// Creates a new empty instance
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/// </summary>
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/// <param name="configuration">The universe configuration to use</param>
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/// <param name="universeSettings">The universe settings to use</param>
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public OptionContractUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings)
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: base(AdjustUniverseConfiguration(configuration), universeSettings, Time.EndOfTimeTimeSpan,
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// Argument isn't used since we override 'SelectSymbols'
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Enumerable.Empty<Symbol>())
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{
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_symbols = new HashSet<Symbol>();
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}
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/// <summary>
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/// Returns the symbols defined by the user for this universe
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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 _symbols;
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}
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/// <summary>
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/// Event invocator for the <see cref="UserDefinedUniverse.CollectionChanged"/> event
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/// </summary>
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/// <param name="e">The notify collection changed event arguments</param>
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protected override void OnCollectionChanged(NotifyCollectionChangedEventArgs e)
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{
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if (e.Action == NotifyCollectionChangedAction.Remove)
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{
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var removedSymbol = (Symbol)e.OldItems[0];
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_symbols.Remove(removedSymbol);
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// the option has been removed! This can happen when the user manually removed the option contract we remove the underlying
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// but only if there isn't any other option selected using the same underlying!
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if (removedSymbol.SecurityType.IsOption()
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&& !_symbols.Any(symbol => symbol.SecurityType.IsOption() && symbol.Underlying == removedSymbol.Underlying))
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{
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Remove(removedSymbol.Underlying);
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}
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}
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else if (e.Action == NotifyCollectionChangedAction.Add)
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{
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// QCAlgorithm.AddOptionContract will add both underlying and option contract
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_symbols.Add((Symbol)e.NewItems[0]);
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}
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base.OnCollectionChanged(e);
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}
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/// <summary>
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/// Creates a user defined universe symbol
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/// </summary>
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/// <param name="market">The market</param>
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/// <param name="securityType">The underlying option security type</param>
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/// <returns>A symbol for user defined universe of the specified security type and market</returns>
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public static Symbol CreateSymbol(string market, SecurityType securityType)
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{
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var ticker = $"qc-universe-optioncontract-{securityType.SecurityTypeToLower()}-{market.ToLowerInvariant()}";
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var underlying = Symbol.Create(ticker, securityType, market);
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var sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlying.ID, market, 0, 0, 0);
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return new Symbol(sid, ticker);
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}
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/// <summary>
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/// Make sure the configuration of the universe is what we want
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/// </summary>
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private static SubscriptionDataConfig AdjustUniverseConfiguration(SubscriptionDataConfig input)
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{
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return new SubscriptionDataConfig(input, fillForward: false);
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}
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}
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}
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