/*
* 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 QuantConnect.Data.UniverseSelection;
using System;
using System.Collections.Generic;
using System.Linq;
using Python.Runtime;
namespace QuantConnect.Algorithm.Framework.Selection
{
///
/// Inception Date Universe that accepts a Dictionary of DateTime keyed by String that represent
/// the Inception date for each ticker
///
public class InceptionDateUniverseSelectionModel : CustomUniverseSelectionModel
{
private readonly Queue> _queue;
private readonly List _symbols;
///
/// Initializes a new instance of the class
///
/// A unique name for this universe
/// Dictionary of DateTime keyed by String that represent the Inception date for each ticker
public InceptionDateUniverseSelectionModel(string name, Dictionary tickersByDate) :
base(name, (Func>) null)
{
_queue = new Queue>(tickersByDate);
_symbols = new List();
}
///
/// Initializes a new instance of the class
///
/// A unique name for this universe
/// Dictionary of DateTime keyed by String that represent the Inception date for each ticker
public InceptionDateUniverseSelectionModel(string name, PyObject tickersByDate) :
this(name, tickersByDate.ConvertToDictionary())
{
}
///
/// Returns all tickers that are trading at current algorithm Time
///
public override IEnumerable Select(QCAlgorithm algorithm, DateTime date)
{
// Move Symbols that are trading from the queue to a list
var added = new List();
while (_queue.TryPeek(out var keyValuePair) && keyValuePair.Value <= date)
{
added.Add(_queue.Dequeue().Key);
}
// If no pending for addition found, return Universe Unchanged
// Otherwise adds to list of current tickers and return it
if (added.Count == 0)
{
return Universe.Unchanged;
}
_symbols.AddRange(added);
return _symbols;
}
}
}