/*
* 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 Python.Runtime;
using System.Collections.Generic;
using QuantConnect.Data.UniverseSelection;
namespace QuantConnect.Algorithm.Framework.Selection
{
///
/// Universe selection model that selects the constituents of an ETF.
///
public class ETFConstituentsUniverseSelectionModel : UniverseSelectionModel
{
private readonly Symbol _etfSymbol;
private readonly UniverseSettings _universeSettings;
private readonly Func, IEnumerable> _universeFilterFunc;
private Universe _universe;
///
/// Initializes a new instance of the class
///
/// Symbol of the ETF to get constituents for
/// Universe settings
/// Function to filter universe results
public ETFConstituentsUniverseSelectionModel(
Symbol etfSymbol,
UniverseSettings universeSettings,
Func, IEnumerable> universeFilterFunc)
{
_etfSymbol = etfSymbol;
_universeSettings = universeSettings;
_universeFilterFunc = universeFilterFunc;
}
///
/// Initializes a new instance of the class
///
/// Symbol of the ETF to get constituents for
/// Function to filter universe results
public ETFConstituentsUniverseSelectionModel(
Symbol etfSymbol,
Func, IEnumerable> universeFilterFunc)
: this(etfSymbol, null, universeFilterFunc)
{ }
///
/// Initializes a new instance of the class
///
/// Symbol of the ETF to get constituents for
/// Universe settings
/// Function to filter universe results
public ETFConstituentsUniverseSelectionModel(
Symbol etfSymbol,
UniverseSettings universeSettings = null,
PyObject universeFilterFunc = null) :
this(etfSymbol, universeSettings, universeFilterFunc.ConvertPythonUniverseFilterFunction())
{ }
///
/// Initializes a new instance of the class
///
/// The string ETF ticker symbol
/// Universe settings
/// Function to filter universe results
public ETFConstituentsUniverseSelectionModel(
string etfTicker,
UniverseSettings universeSettings,
Func, IEnumerable> universeFilterFunc)
{
_etfSymbol = SymbolCache.TryGetSymbol(etfTicker, out var symbol)
&& symbol.SecurityType == SecurityType.Equity
? symbol : Symbol.Create(etfTicker, SecurityType.Equity, Market.USA);
_universeSettings = universeSettings;
_universeFilterFunc = universeFilterFunc;
}
///
/// Initializes a new instance of the class
///
/// The string ETF ticker symbol
/// Function to filter universe results
public ETFConstituentsUniverseSelectionModel(
string etfTicker,
Func, IEnumerable> universeFilterFunc)
: this(etfTicker, null, universeFilterFunc)
{ }
///
/// Initializes a new instance of the class
///
/// The string ETF ticker symbol
/// Universe settings
/// Function to filter universe results
public ETFConstituentsUniverseSelectionModel(
string etfTicker,
UniverseSettings universeSettings = null,
PyObject universeFilterFunc = null) :
this(etfTicker, universeSettings, universeFilterFunc.ConvertPythonUniverseFilterFunction())
{ }
///
/// Creates a new ETF constituents universe using this class's selection function
///
/// The algorithm instance to create universes for
/// The universe defined by this model
public override IEnumerable CreateUniverses(QCAlgorithm algorithm)
{
_universe ??= algorithm?.Universe.ETF(_etfSymbol, _universeSettings, _universeFilterFunc);
return new[] { _universe };
}
}
}