/// <summary>
/// Sets the <see cref="ContractFilter"/> to a new universe selection function
/// </summary>
/// <param name="universeFunc">new universe selection function</param>
public void SetFilter(PyObject universeFunc)
{
ContractFilter = new FuncSecurityDerivativeFilter(universe =>
{
var optionUniverse = universe as OptionFilterUniverse;
using (Py.GIL())
{
PyObject result = (universeFunc as dynamic)(optionUniverse);
//Try to convert it to the possible outcomes and process it
//Must try filter first, if it is a filter and you try and convert it to
//list, TryConvert() with catch an exception. Later Python algo will break on
//this exception because we are using Py.GIL() and it will see the error set
OptionFilterUniverse filter;
List <Symbol> list;
if ((result).TryConvert(out filter))
{
optionUniverse = filter;
}
else if ((result).TryConvert(out list))
{
optionUniverse = optionUniverse.WhereContains(list);
}
else
{
throw new ArgumentException($"QCAlgorithm.SetFilter: result type {result.GetPythonType()} from " +
$"filter function is not a valid argument, please return either a OptionFilterUniverse or a list of symbols");
}
}
return(optionUniverse.ApplyTypesFilter());
});
}
/// <summary>
/// Sets the <see cref="ContractFilter"/> to a new universe selection function
/// </summary>
/// <param name="universeFunc">new universe selection function</param>
public void SetFilter(Func <OptionFilterUniverse, OptionFilterUniverse> universeFunc)
{
ContractFilter = new FuncSecurityDerivativeFilter(universe =>
{
var optionUniverse = universe as OptionFilterUniverse;
var result = universeFunc(optionUniverse);
return(result.ApplyOptionTypesFilter());
});
}
/// <summary>
/// Sets the <see cref="ContractFilter"/> to a new universe selection function
/// </summary>
/// <param name="universeFunc">new universe selection function</param>
public void SetFilter(Func <FutureFilterUniverse, FutureFilterUniverse> universeFunc)
{
Func <IDerivativeSecurityFilterUniverse, IDerivativeSecurityFilterUniverse> func = universe =>
{
var futureUniverse = universe as FutureFilterUniverse;
return(universeFunc(futureUniverse));
};
ContractFilter = new FuncSecurityDerivativeFilter(func);
}
/// <summary>
/// Sets the <see cref="ContractFilter"/> to a new universe selection function
/// </summary>
/// <param name="universeFunc">new universe selection function</param>
public void SetFilter(Func <FutureFilterUniverse, FutureFilterUniverse> universeFunc)
{
Func <IDerivativeSecurityFilterUniverse, IDerivativeSecurityFilterUniverse> func = universe =>
{
var futureUniverse = universe as FutureFilterUniverse;
var result = universeFunc(futureUniverse);
return(result.ApplyTypesFilter());
};
ContractFilter = new FuncSecurityDerivativeFilter(func);
}
/// <summary>
/// Sets the <see cref="ContractFilter"/> to a new instance of the <see cref="StrikeExpiryOptionFilter"/>
/// using the specified min and max strike and expiration range alues
/// </summary>
/// <param name="minStrike">The min strike rank relative to market price, for example, -1 would put
/// a lower bound of one strike under market price, where a +1 would put a lower bound of one strike
/// over market price</param>
/// <param name="maxStrike">The max strike rank relative to market place, for example, -1 would put
/// an upper bound of on strike under market price, where a +1 would be an upper bound of one strike
/// over market price</param>
/// <param name="minExpiry">The minimum time until expiry to include, for example, TimeSpan.FromDays(10)
/// would exclude contracts expiring in less than 10 days</param>
/// <param name="maxExpiry">The maxmium time until expiry to include, for example, TimeSpan.FromDays(10)
/// would exclude contracts expiring in more than 10 days</param>
public void SetFilter(int minStrike, int maxStrike, TimeSpan minExpiry, TimeSpan maxExpiry)
{
ContractFilter = new StrikeExpiryOptionFilter(minStrike, maxStrike, minExpiry, maxExpiry);
}
/// <summary>
/// Sets the <see cref="ContractFilter"/> to a new instance of the <see cref="StrikeExpiryOptionFilter"/>
/// using the specified min and max strike and expiration range alues
/// </summary>
/// <param name="minStrike">The min strike rank relative to market price, for example, -1 would put
/// a lower bound of one strike under market price, where a +1 would put a lower bound of one strike
/// over market price</param>
/// <param name="maxStrike">The max strike rank relative to market place, for example, -1 would put
/// an upper bound of on strike under market price, where a +1 would be an upper bound of one strike
/// over market price</param>
/// <param name="minExpiry">The minimum time until expiry to include, for example, TimeSpan.FromDays(10)
/// would exclude contracts expiring in less than 10 days</param>
/// <param name="maxExpiry">The maxmium time until expiry to include, for example, TimeSpan.FromDays(10)
/// would exclude contracts expiring in more than 10 days</param>
public void SetFilter(int minStrike, int maxStrike, TimeSpan minExpiry, TimeSpan maxExpiry)
{
ContractFilter = new StrikeExpiryOptionFilter(minStrike, maxStrike, minExpiry, maxExpiry);
}
