/*
* 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 System.Collections.Generic;
using System.Linq;
using Python.Runtime;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Util;
namespace QuantConnect.Algorithm.Framework.Selection
{
///
/// Provides an implementation of that combines multiple universe
/// selection models into a single model.
///
public class CompositeUniverseSelectionModel : UniverseSelectionModel
{
private readonly List _universeSelectionModels = new List();
private bool _alreadyCalledCreateUniverses;
///
/// Initializes a new instance of the class
///
/// The individual universe selection models defining this composite model
public CompositeUniverseSelectionModel(params IUniverseSelectionModel[] universeSelectionModels)
{
if (universeSelectionModels.IsNullOrEmpty())
{
throw new ArgumentException("Must specify at least 1 universe selection model for the CompositeUniverseSelectionModel");
}
_universeSelectionModels.AddRange(universeSelectionModels);
}
///
/// Initializes a new instance of the class
///
/// The individual universe selection models defining this composite model
public CompositeUniverseSelectionModel(params PyObject[] universeSelectionModels)
{
if (universeSelectionModels.IsNullOrEmpty())
{
throw new ArgumentException("Must specify at least 1 universe selection model for the CompositeUniverseSelectionModel");
}
foreach (var pyUniverseSelectionModel in universeSelectionModels)
{
AddUniverseSelection(pyUniverseSelectionModel);
}
}
///
/// Initializes a new instance of the class
///
/// The individual universe selection model defining this composite model
public CompositeUniverseSelectionModel(PyObject universeSelectionModel)
: this(new[] { universeSelectionModel })
{
}
///
/// Adds a new
///
/// The universe selection model to add
public void AddUniverseSelection(IUniverseSelectionModel universeSelectionModel)
{
_universeSelectionModels.Add(universeSelectionModel);
}
///
/// Adds a new
///
/// The universe selection model to add
public void AddUniverseSelection(PyObject pyUniverseSelectionModel)
{
IUniverseSelectionModel selectionModel;
if (!pyUniverseSelectionModel.TryConvert(out selectionModel))
{
selectionModel = new UniverseSelectionModelPythonWrapper(pyUniverseSelectionModel);
}
_universeSelectionModels.Add(selectionModel);
}
///
/// Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.
///
public override DateTime GetNextRefreshTimeUtc()
{
return _universeSelectionModels.Min(model => model.GetNextRefreshTimeUtc());
}
///
/// Creates the universes for this algorithm.
///
/// The algorithm instance to create universes for
/// The universes to be used by the algorithm
public override IEnumerable CreateUniverses(QCAlgorithm algorithm)
{
foreach (var universeSelectionModel in _universeSelectionModels)
{
var selectionRefreshTime = universeSelectionModel.GetNextRefreshTimeUtc();
var refreshTime = algorithm.UtcTime >= selectionRefreshTime;
if (!_alreadyCalledCreateUniverses // first initial call
|| refreshTime
|| selectionRefreshTime == DateTime.MaxValue)
{
foreach (var universe in universeSelectionModel.CreateUniverses(algorithm))
{
yield return universe;
}
}
}
_alreadyCalledCreateUniverses = true;
}
}
}