/// <summary>
/// Creates the universes for this algorithm. Called once after <see cref="IAlgorithm.Initialize"/>
/// </summary>
/// <param name="algorithm">The algorithm instance to create universes for</param>
/// <returns>The universes to be used by the algorithm</returns>
public override IEnumerable <Universe> CreateUniverses(QCAlgorithm algorithm)
{
_nextRefreshTimeUtc = DateTime.MaxValue;
foreach (var optionSymbol in _currentSymbols)
{
yield return(algorithm.CreateOptionChain(optionSymbol, _optionFilter, _universeSettings));
}
}
/// <summary>
/// Creates the universes for this algorithm. Called once after <see cref="IAlgorithm.Initialize"/>
/// </summary>
/// <param name="algorithm">The algorithm instance to create universes for</param>
/// <returns>The universes to be used by the algorithm</returns>
public override IEnumerable <Universe> CreateUniverses(QCAlgorithm algorithm)
{
_nextRefreshTimeUtc = algorithm.UtcTime + _refreshInterval;
var uniqueUnderlyingSymbols = new HashSet <Symbol>();
foreach (var optionSymbol in _optionChainSymbolSelector(algorithm.UtcTime))
{
if (optionSymbol.SecurityType != SecurityType.Option)
{
throw new ArgumentException("optionChainSymbolSelector must return option symbols.");
}
// prevent creating duplicate option chains -- one per underlying
if (uniqueUnderlyingSymbols.Add(optionSymbol.Underlying))
{
yield return(algorithm.CreateOptionChain(optionSymbol, Filter, _universeSettings));
}
}
}
