/*
* 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);
}
}
}