/* * 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 QuantConnect.Data; using QuantConnect.Data.UniverseSelection; using QuantConnect.Interfaces; using QuantConnect.Securities; namespace QuantConnect.Algorithm.Framework.Selection { /// /// Defines a universe as a set of dynamically set symbols. /// public class CustomUniverse : UserDefinedUniverse { /// /// Creates a new instance of the /// public CustomUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, TimeSpan interval, Func> selector) : base(configuration, universeSettings, interval, selector) { } /// /// Gets the subscription requests to be added for the specified security /// /// The security to get subscriptions for /// The current time in utc. This is the frontier time of the algorithm /// The max end time /// Instance which implements interface /// All subscriptions required by this security public override IEnumerable GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc, ISubscriptionDataConfigService subscriptionService) { // CustomUniverse will return any existing SDC for the symbol, else will create new, using universe settings. var existingSubscriptionDataConfigs = subscriptionService.GetSubscriptionDataConfigs(security.Symbol); if (existingSubscriptionDataConfigs.Any()) { return existingSubscriptionDataConfigs.Select( config => new SubscriptionRequest(isUniverseSubscription: false, universe: this, security: security, configuration: config, startTimeUtc: currentTimeUtc, endTimeUtc: maximumEndTimeUtc)); } return base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService); } } }