/*
* 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;
namespace QuantConnect.Data.UniverseSelection
{
///
/// ConstituentsUniverse allows to perform universe selection based on an
/// already preselected set of .
///
/// Using this class allows a performance improvement, since there is no
/// runtime logic computation required for selecting the
public class ConstituentsUniverse : FuncUniverse
where T : BaseData
{
///
/// Creates a new instance of the
///
/// The universe symbol
/// The universe settings to use
/// User-provided function to filter constituents universe with
public ConstituentsUniverse(
Symbol symbol,
UniverseSettings universeSettings,
Func, IEnumerable> constituentsFilter = null)
: this(new SubscriptionDataConfig(typeof(T),
symbol,
Resolution.Daily,
TimeZones.NewYork,
TimeZones.NewYork,
false,
false,
true,
true),
universeSettings,
constituentsFilter)
{
}
///
/// Creates a new instance of the
///
/// The universe symbol
/// The universe settings to use
/// User-provided function to filter constituents universe with
public ConstituentsUniverse(
Symbol symbol,
UniverseSettings universeSettings,
PyObject constituentsFilter = null)
: this(symbol, universeSettings, constituentsFilter.ConvertPythonUniverseFilterFunction())
{
}
///
/// Creates a new instance of the
///
/// The universe configuration to use
/// The universe settings to use
/// User-provided function to filter constituents universe with
public ConstituentsUniverse(
SubscriptionDataConfig subscriptionDataConfig,
UniverseSettings universeSettings,
Func, IEnumerable> constituentsFilter = null)
: base(subscriptionDataConfig,
universeSettings,
constituentsFilter ?? (constituents =>
{
var symbols = constituents.Select(baseData => baseData.Symbol).ToList();
// for performance, just compare to Symbol.None if we have 1 Symbol
if (symbols.Count == 1 && symbols[0] == Symbol.None)
{
// no symbol selected
return Enumerable.Empty();
}
return symbols;
}))
{
if (!subscriptionDataConfig.IsCustomData)
{
throw new InvalidOperationException($"{typeof(T).Name} {nameof(SubscriptionDataConfig)}" +
$" only supports custom data property set to 'true'");
}
}
///
/// Constituent universe for a Python function
///
/// The universe configuration to use
/// The universe settings to use
/// User-provided function to filter constituents universe with
public ConstituentsUniverse(
SubscriptionDataConfig subscriptionDataConfig,
UniverseSettings universeSettings,
PyObject constituentsFilter = null)
: this(subscriptionDataConfig, universeSettings, constituentsFilter.ConvertPythonUniverseFilterFunction())
{
}
}
///
/// ConstituentsUniverse allows to perform universe selection based on an
/// already preselected set of .
///
/// Using this class allows a performance improvement, since there is no
/// runtime logic computation required for selecting the
public class ConstituentsUniverse : ConstituentsUniverse
{
///
/// Creates a new instance of the
///
/// The universe symbol
/// The universe settings to use
/// The constituents filter function
public ConstituentsUniverse(Symbol symbol, UniverseSettings universeSettings, Func, IEnumerable> filterFunc)
: base(symbol, universeSettings, filterFunc)
{
}
///
/// Creates a new instance of the
///
/// The universe symbol
/// The universe settings to use
public ConstituentsUniverse(Symbol symbol, UniverseSettings universeSettings)
: base(symbol, universeSettings, (Func, IEnumerable>)null)
{
}
///
/// Creates a new instance of the
///
/// The universe symbol
/// The universe settings to use
/// The constituents filter function
public ConstituentsUniverse(Symbol symbol, UniverseSettings universeSettings, PyObject filterFunc)
: base(symbol, universeSettings, filterFunc)
{
}
}
}