/*
* 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
{
///
/// Provides a functional implementation of
///
/// The BaseData type to provide to the user defined universe filter
public class FuncUniverse : Universe
where T : BaseData
{
private readonly Func, IEnumerable> _universeSelector;
///
/// Initializes a new instance of the class
///
/// The configuration used to resolve the data for universe selection
/// The settings used for new subscriptions generated by this universe
/// Returns the symbols that should be included in the universe
public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, Func, IEnumerable> universeSelector)
: base(configuration)
{
_universeSelector = universeSelector;
_universeSelector ??= (dataPoints) => dataPoints.Select(x => x.Symbol);
UniverseSettings = universeSettings;
}
///
/// Initializes a new instance of the class for a filter function loaded from Python
///
/// The configuration used to resolve the data for universe selection
/// The settings used for new subscriptions generated by this universe
/// Function that returns the symbols that should be included in the universe
public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, PyObject universeSelector)
: this(configuration, universeSettings, universeSelector.ConvertPythonUniverseFilterFunction())
{
}
///
/// Performs an initial, coarse filter
///
/// The current utc time
/// The coarse fundamental data
/// The data that passes the filter
public override IEnumerable SelectSymbols(DateTime utcTime, BaseDataCollection data)
{
return _universeSelector(data.Data.Cast());
}
}
///
/// Provides a functional implementation of
///
public class FuncUniverse : FuncUniverse
{
///
/// Initializes a new instance of the class
///
/// The configuration used to resolve the data for universe selection
/// The settings used for new subscriptions generated by this universe
/// Returns the symbols that should be included in the universe
public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, Func, IEnumerable> universeSelector)
: base(configuration, universeSettings, universeSelector)
{
}
///
/// Initializes a new instance of the class
///
/// The configuration used to resolve the data for universe selection
/// The settings used for new subscriptions generated by this universe
/// Returns the symbols that should be included in the universe
public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, PyObject universeSelector)
: base(configuration, universeSettings, universeSelector)
{
}
}
}