/// <summary>
/// Initializes a new instance of the <see cref="UserDefinedUniverse"/> class
/// </summary>
/// <param name="configuration">The configuration used to resolve the data for universe selection</param>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="securityInitializer">Initializes securities when they're added to the universe</param>
/// <param name="interval">The interval at which selection should be performed</param>
/// <param name="symbols">The initial set of symbols in this universe</param>
public UserDefinedUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, ISecurityInitializer securityInitializer, TimeSpan interval, IEnumerable<Symbol> symbols)
: base(configuration, securityInitializer)
{
_interval = interval;
_symbols = symbols.ToHashSet();
_universeSettings = universeSettings;
_selector = time => _symbols;
}
/// <summary>
/// Creates a new coarse universe that contains the top count of stocks
/// by daily dollar volume
/// </summary>
/// <param name="count">The number of stock to select</param>
/// <param name="universeSettings">The settings for stocks added by this universe.
/// Defaults to <see cref="QCAlgorithm.UniverseSettings"/></param>
/// <returns>A new coarse universe for the top count of stocks by dollar volume</returns>
public Universe Top(int count, UniverseSettings universeSettings = null)
{
universeSettings = universeSettings ?? _algorithm.UniverseSettings;
var symbol = CoarseFundamental.CreateUniverseSymbol(Market.USA);
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, true);
return new FuncUniverse(config, universeSettings, selectionData => (
from c in selectionData.OfType<CoarseFundamental>()
orderby c.DollarVolume descending
select c.Symbol).Take(count)
);
}
/// <summary>
/// Creates a new coarse universe that contains the bottom count of stocks
/// by daily dollar volume
/// </summary>
/// <param name="count">The number of stock to select</param>
/// <param name="universeSettings">The settings for stocks added by this universe.
/// Defaults to <see cref="QCAlgorithm.UniverseSettings"/></param>
/// <returns>A new coarse universe for the bottom count of stocks by dollar volume</returns>
public Universe Bottom(int count, UniverseSettings universeSettings = null)
{
universeSettings = universeSettings ?? _algorithm.UniverseSettings;
var symbol = Symbol.Create("us-equity-dollar-volume-bottom-" + count, SecurityType.Equity, Market.USA);
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, true);
return new FuncUniverse(config, universeSettings, _algorithm.SecurityInitializer, selectionData => (
from c in selectionData.OfType<CoarseFundamental>()
orderby c.DollarVolume descending
select c.Symbol).Take(count)
);
}
/// <summary>
/// Initializes a new instance of the <see cref="UserDefinedUniverse"/> class
/// </summary>
/// <param name="configuration">The configuration used to resolve the data for universe selection</param>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="securityInitializer">Initializes securities when they're added to the universe</param>
/// <param name="interval">The interval at which selection should be performed</param>
/// <param name="selector">Universe selection function invoked for each time returned via GetTriggerTimes.
/// The function parameter is a DateTime in the time zone of configuration.ExchangeTimeZone</param>
public UserDefinedUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, ISecurityInitializer securityInitializer, TimeSpan interval, Func<DateTime,IEnumerable<string>> selector)
: base(configuration, securityInitializer)
{
_interval = interval;
_universeSettings = universeSettings;
_selector = time =>
{
var selectSymbolsResult = selector(time.ConvertFromUtc(Configuration.ExchangeTimeZone));
// if we received an unchaged then short circuit the symbol creation and return it directly
if (ReferenceEquals(selectSymbolsResult, Unchanged)) return Unchanged;
return selectSymbolsResult.Select(sym => Symbol.Create(sym, Configuration.SecurityType, Configuration.Market));
};
}
/// <summary>
/// Creates a new universe for the constituents of the ETF provided as <paramref name="symbol"/>
/// </summary>
/// <param name="symbol">The ETF to load constituents for</param>
/// <param name="universeSettings">Universe settings</param>
/// <param name="constituentsFilter">The filter function used to filter out ETF constituents from the universe</param>
public ETFConstituentsUniverse(Symbol symbol, UniverseSettings universeSettings, PyObject constituentsFilter = null)
: this(symbol, universeSettings, constituentsFilter.ConvertPythonUniverseFilterFunction <ETFConstituentData>())
{
}
/// <summary>
/// Creates a new universe for the constituents of the ETF provided as <paramref name="symbol"/>
/// </summary>
/// <param name="symbol">The ETF to load constituents for</param>
/// <param name="universeSettings">Universe settings</param>
/// <param name="constituentsFilter">The filter function used to filter out ETF constituents from the universe</param>
public ETFConstituentsUniverse(Symbol symbol, UniverseSettings universeSettings, Func <IEnumerable <ETFConstituentData>, IEnumerable <Symbol> > constituentsFilter = null)
: base(CreateConstituentUniverseETFSymbol(symbol), universeSettings, constituentsFilter ?? (constituents => constituents.Select(c => c.Symbol)))
{
}
/// <summary>
/// Initializes a new instance of the <see cref="ScheduledUniverse"/> class
/// </summary>
/// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
/// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
/// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
/// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
/// <param name="securityInitializer">Security initializer for new securities created via this universe, null will default to algorithm's security initializer</param>
public ScheduledUniverse(IDateRule dateRule, ITimeRule timeRule, PyObject selector, UniverseSettings settings = null, ISecurityInitializer securityInitializer = null)
: this(TimeZones.NewYork, dateRule, timeRule, selector, settings, securityInitializer)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="CoarseFundamentalUniverse"/> class
/// </summary>
/// <param name="symbol">Defines the symbol to use for this universe</param>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="securityInitializer">Initializes securities when they're added to the universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public CoarseFundamentalUniverse(Symbol symbol, UniverseSettings universeSettings, ISecurityInitializer securityInitializer, Func <IEnumerable <CoarseFundamental>, IEnumerable <Symbol> > selector)
: base(CreateConfiguration(symbol), securityInitializer)
{
_universeSettings = universeSettings;
_selector = selector;
}
/// <summary>
/// Initializes a new instance of the <see cref="FuncUniverse{T}"/> class for a filter function loaded from Python
/// </summary>
/// <param name="configuration">The configuration used to resolve the data for universe selection</param>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="universeSelector">Function that returns the symbols that should be included in the universe</param>
public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, PyObject universeSelector)
: this(configuration, universeSettings, ConvertPythonUniverseFilterFunction(universeSelector))
{
}
/// <summary>
/// Initializes a new instance of the <see cref="OptionChainUniverse"/> class
/// </summary>
/// <param name="option">The canonical option chain security</param>
/// <param name="universeSettings">The universe settings to be used for new subscriptions</param>
/// <param name="securityInitializer">The security initializer to use on newly created securities</param>
public OptionChainUniverse(Option option, UniverseSettings universeSettings, ISecurityInitializer securityInitializer = null)
: base(option.SubscriptionDataConfig, securityInitializer)
{
_option = option;
_universeSettings = universeSettings;
}
/// <summary>
/// Initializes a new instance of the <see cref="ScheduledUniverse"/> class
/// </summary>
/// <param name="timeZone">The time zone the date/time rules are in</param>
/// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
/// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
/// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
/// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
public ScheduledUniverse(DateTimeZone timeZone, IDateRule dateRule, ITimeRule timeRule, Func <DateTime, IEnumerable <Symbol> > selector, UniverseSettings settings = null)
: base(CreateConfiguration(timeZone, dateRule, timeRule))
{
_dateRule = dateRule;
_timeRule = timeRule;
_selector = selector;
UniverseSettings = settings;
}
/// <summary>
/// Initializes a new instance of the <see cref="FineFundamentalUniverse"/> class
/// </summary>
/// <param name="symbol">Defines the symbol to use for this universe</param>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="securityInitializer">Initializes securities when they're added to the universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public FineFundamentalUniverse(Symbol symbol, UniverseSettings universeSettings, ISecurityInitializer securityInitializer, Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> selector)
: base(CreateConfiguration(symbol), securityInitializer)
{
_universeSettings = universeSettings;
_selector = selector;
}
/// <summary>
/// Initializes a new instance of the <see cref="FineFundamentalUniverse"/> class
/// </summary>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="securityInitializer">Initializes securities when they're added to the universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public FineFundamentalUniverse(UniverseSettings universeSettings, ISecurityInitializer securityInitializer, Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> selector)
: base(CreateConfiguration(FineFundamental.CreateUniverseSymbol(QuantConnect.Market.USA)), securityInitializer)
{
_universeSettings = universeSettings;
_selector = selector;
}
/// <summary>
/// Initializes a new instance of the <see cref="FineFundamentalUniverse"/> class
/// </summary>
/// <param name="symbol">Defines the symbol to use for this universe</param>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public FineFundamentalUniverse(Symbol symbol, UniverseSettings universeSettings, Func <IEnumerable <FineFundamental>, IEnumerable <Symbol> > selector)
: base(CreateConfiguration(symbol))
{
_universeSettings = universeSettings;
_selector = selector;
}
/// <summary>
/// Initializes a new instance of the <see cref="FineFundamentalUniverse"/> class
/// </summary>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public FineFundamentalUniverse(UniverseSettings universeSettings, Func <IEnumerable <FineFundamental>, IEnumerable <Symbol> > selector)
: base(CreateConfiguration(FineFundamental.CreateUniverseSymbol(QuantConnect.Market.USA)))
{
_universeSettings = universeSettings;
_selector = selector;
}
/// <summary>
/// Initializes a new instance of the <see cref="ScheduledUniverse"/> class
/// </summary>
/// <param name="timeZone">The time zone the date/time rules are in</param>
/// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
/// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
/// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
/// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
/// <param name="securityInitializer">Security initializer for new securities created via this universe, null will default to algorithm's security initializer</param>
public ScheduledUniverse(DateTimeZone timeZone, IDateRule dateRule, ITimeRule timeRule, PyObject selector, UniverseSettings settings = null, ISecurityInitializer securityInitializer = null)
: base(CreateConfiguration(timeZone, dateRule, timeRule))
{
Func <DateTime, Symbol[]> func;
selector.TryConvertToDelegate(out func);
_dateRule = dateRule;
_timeRule = timeRule;
_selector = func;
UniverseSettings = settings;
}
/// <summary>
/// Creates a new coarse universe that contains stocks in the specified
/// dollar volume percentile
/// </summary>
/// <param name="percentile">The desired dollar volume percentile (0 to 100 inclusive)</param>
/// <param name="universeSettings">The settings for stocks added by this universe.
/// Defaults to <see cref="QCAlgorithm.UniverseSettings"/></param>
/// <returns>A new coarse universe for the bottom count of stocks by dollar volume</returns>
public Universe Percentile(double percentile, UniverseSettings universeSettings = null)
{
universeSettings = universeSettings ?? _algorithm.UniverseSettings;
var symbol = Symbol.Create("us-equity-dollar-volume-percentile-" + percentile, SecurityType.Equity, Market.USA);
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, true);
return new FuncUniverse(config, universeSettings, _algorithm.SecurityInitializer, selectionData =>
{
var list = selectionData as IReadOnlyList<CoarseFundamental> ?? selectionData.OfType<CoarseFundamental>().ToList();
// using quantiles since the Percentile implementation requires integers, so scale into quantile space
var lowerBound = (decimal)list.Select(x => (double)x.DollarVolume).Quantile(percentile / 100d);
return from c in list
where c.DollarVolume >= lowerBound
orderby c.DollarVolume descending
select c.Symbol;
});
}
/// <summary>
/// Initializes a new instance of the <see cref="ScheduledUniverse"/> class
/// </summary>
/// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
/// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
/// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
/// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
public ScheduledUniverse(IDateRule dateRule, ITimeRule timeRule, Func <DateTime, IEnumerable <Symbol> > selector, UniverseSettings settings = null)
: this(TimeZones.NewYork, dateRule, timeRule, selector, settings)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="FuncUniverse{T}"/> class
/// </summary>
/// <param name="configuration">The configuration used to resolve the data for universe selection</param>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="universeSelector">Returns the symbols that should be included in the universe</param>
public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, Func <IEnumerable <T>, IEnumerable <Symbol> > universeSelector)
: base(configuration)
{
_universeSelector = universeSelector;
_universeSettings = universeSettings;
}
/// <summary>
/// Initializes a new instance of the <see cref="ScheduledUniverse"/> class
/// </summary>
/// <param name="timeZone">The time zone the date/time rules are in</param>
/// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
/// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
/// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
/// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
public ScheduledUniverse(DateTimeZone timeZone, IDateRule dateRule, ITimeRule timeRule, PyObject selector, UniverseSettings settings = null)
: base(CreateConfiguration(timeZone, dateRule, timeRule))
{
Func <DateTime, object> func;
selector.TryConvertToDelegate(out func);
_dateRule = dateRule;
_timeRule = timeRule;
_selector = func.ConvertToUniverseSelectionSymbolDelegate();
UniverseSettings = settings;
}
/// <summary>
/// Initializes a new instance of the <see cref="CoarseFundamentalUniverse"/> class
/// </summary>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="securityInitializer">Initializes securities when they're added to the universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public CoarseFundamentalUniverse(UniverseSettings universeSettings, ISecurityInitializer securityInitializer, Func <IEnumerable <CoarseFundamental>, IEnumerable <Symbol> > selector)
: base(CreateConfiguration(CoarseFundamental.CreateUniverseSymbol(QuantConnect.Market.USA)), securityInitializer)
{
_universeSettings = universeSettings;
_selector = selector;
}
/// <summary>
/// Initializes a new instance of the <see cref="ScheduledUniverse"/> class
/// </summary>
/// <param name="dateRule">Date rule defines what days the universe selection function will be invoked</param>
/// <param name="timeRule">Time rule defines what times on each day selected by date rule the universe selection function will be invoked</param>
/// <param name="selector">Selector function accepting the date time firing time and returning the universe selected symbols</param>
/// <param name="settings">Universe settings for subscriptions added via this universe, null will default to algorithm's universe settings</param>
public ScheduledUniverse(IDateRule dateRule, ITimeRule timeRule, PyObject selector, UniverseSettings settings = null)
: this(TimeZones.NewYork, dateRule, timeRule, selector, settings)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="OptionChainUniverse"/> class
/// </summary>
/// <param name="option">The canonical option chain security</param>
/// <param name="universeSettings">The universe settings to be used for new subscriptions</param>
/// <param name="securityInitializer">The security initializer to use on newly created securities</param>
public OptionChainUniverse(Option option, UniverseSettings universeSettings, ISecurityInitializer securityInitializer = null)
: base(option.SubscriptionDataConfig, securityInitializer)
{
_option = option;
_universeSettings = universeSettings;
}
/// <summary>
/// Initializes a new instance of the <see cref="CoarseFundamentalUniverse"/> class
/// </summary>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="securityInitializer">Initializes securities when they're added to the universe</param>
/// <param name="selector">Returns the symbols that should be included in the universe</param>
public CoarseFundamentalUniverse(UniverseSettings universeSettings, ISecurityInitializer securityInitializer, PyObject selector)
: this(CoarseFundamental.CreateUniverseSymbol(QuantConnect.Market.USA), universeSettings, securityInitializer, selector)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="FuncUniverse"/> class
/// </summary>
/// <param name="configuration">The configuration used to resolve the data for universe selection</param>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="universeSelector">Returns the symbols that should be included in the universe</param>
public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, Func<IEnumerable<BaseData>, IEnumerable<Symbol>> universeSelector)
: base(configuration)
{
_universeSelector = universeSelector;
_universeSettings = universeSettings;
}
/// <summary>
/// Initializes a new instance of the <see cref="FuncUniverse"/> class
/// </summary>
/// <param name="configuration">The configuration used to resolve the data for universe selection</param>
/// <param name="universeSettings">The settings used for new subscriptions generated by this universe</param>
/// <param name="securityInitializer">Initializes securities when they're added to the universe</param>
/// <param name="universeSelector">Returns the symbols that should be included in the universe</param>
public FuncUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings, ISecurityInitializer securityInitializer, Func <IEnumerable <BaseData>, IEnumerable <Symbol> > universeSelector)
: base(configuration, securityInitializer)
{
_universeSelector = universeSelector;
_universeSettings = universeSettings;
}
