/* * 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 Python.Runtime; using System.Collections.Generic; using QuantConnect.Data.Fundamental; namespace QuantConnect.Data.UniverseSelection { /// /// Provides a universe that can be filtered with a selection function /// public class FineFundamentalFilteredUniverse : SelectSymbolsUniverseDecorator { /// /// The universe that will be used for fine universe selection /// public FineFundamentalUniverse FineFundamentalUniverse { get; private set; } /// /// Initializes a new instance of the class /// /// The universe to be filtered /// The fine selection function public FineFundamentalFilteredUniverse(Universe universe, Func, IEnumerable> fineSelector) : base(universe, universe.SelectSymbols) { if (universe is CoarseFundamentalUniverse && universe.UniverseSettings.Asynchronous.HasValue && universe.UniverseSettings.Asynchronous.Value) { throw new ArgumentException("Asynchronous universe setting is not supported for coarse & fine selections, please use the new Fundamental single pass selection"); } FineFundamentalUniverse = new FineFundamentalUniverse(universe.UniverseSettings, fineSelector); FineFundamentalUniverse.SelectionChanged += (sender, args) => OnSelectionChanged(((SelectionEventArgs) args).CurrentSelection); } /// /// Initializes a new instance of the class /// /// The universe to be filtered /// The fine selection function public FineFundamentalFilteredUniverse(Universe universe, PyObject fineSelector) : base(universe, universe.SelectSymbols) { var func = fineSelector.ConvertToDelegate, object>>(); FineFundamentalUniverse = new FineFundamentalUniverse(universe.UniverseSettings, func.ConvertToUniverseSelectionSymbolDelegate()); FineFundamentalUniverse.SelectionChanged += (sender, args) => OnSelectionChanged(((SelectionEventArgs)args).CurrentSelection); } } }