/// <summary>
/// Creates a new universe and adds it to the algorithm
/// </summary>
/// <param name="dataType">The data type</param>
/// <param name="securityType">The security type the universe produces</param>
/// <param name="name">A unique name for this universe</param>
/// <param name="resolution">The epected resolution of the universe data</param>
/// <param name="market">The market for selected symbols</param>
/// <param name="universeSettings">The subscription settings to use for newly created subscriptions</param>
/// <param name="pySelector">Function delegate that performs selection on the universe data</param>
public void AddUniverse(Type dataType, SecurityType securityType, string name, Resolution resolution, string market, UniverseSettings universeSettings, PyObject pySelector)
{
var marketHoursDbEntry = _marketHoursDatabase.GetEntry(market, name, securityType);
var dataTimeZone = marketHoursDbEntry.DataTimeZone;
var exchangeTimeZone = marketHoursDbEntry.ExchangeHours.TimeZone;
var symbol = QuantConnect.Symbol.Create(name, securityType, market);
var config = new SubscriptionDataConfig(dataType, symbol, resolution, dataTimeZone, exchangeTimeZone, false, false, true, true, isFilteredSubscription: false);
var selector = PythonUtil.ToFunc <IEnumerable <IBaseData>, object[]>(pySelector);
AddUniverse(new FuncUniverse(config, universeSettings, SecurityInitializer, d => selector(d)
.Select(x => x is Symbol ? (Symbol)x : QuantConnect.Symbol.Create((string)x, securityType, market))));
}
/// <summary>
/// Sets the specified function as the benchmark, this function provides the value of
/// the benchmark at each date/time requested
/// </summary>
/// <param name="benchmark">The benchmark producing function</param>
public void SetBenchmark(PyObject benchmark)
{
using (Py.GIL())
{
var pyBenchmark = PythonUtil.ToFunc <DateTime, decimal>(benchmark);
if (pyBenchmark != null)
{
SetBenchmark(pyBenchmark);
return;
}
SetBenchmark((Symbol)benchmark.AsManagedObject(typeof(Symbol)));
}
}
/// <summary>
/// Creates a new universe and adds it to the algorithm. This is for coarse fundamental US Equity data and
/// will be executed on day changes in the NewYork time zone (<see cref="TimeZones.NewYork"/>
/// </summary>
/// <param name="pycoarse">Defines an initial coarse selection</param>
public void AddUniverse(PyObject pycoarse)
{
var coarse = PythonUtil.ToFunc <IEnumerable <CoarseFundamental>, object[]>(pycoarse);
if (coarse != null)
{
AddUniverse(c => coarse(c).Select(x => (Symbol)x));
return;
}
var type = (Type)pycoarse.GetPythonType().AsManagedObject(typeof(Type));
AddUniverse((dynamic)pycoarse.AsManagedObject(type));
}
/// <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)
{
var pyUniverseFunc = PythonUtil.ToFunc <FutureFilterUniverse, FutureFilterUniverse>(universeFunc);
SetFilter(pyUniverseFunc);
}
/// <summary>
/// Creates a new user defined universe that will fire on the requested resolution during market hours.
/// </summary>
/// <param name="securityType">The security type of the universe</param>
/// <param name="name">A unique name for this universe</param>
/// <param name="resolution">The resolution this universe should be triggered on</param>
/// <param name="market">The market of the universe</param>
/// <param name="universeSettings">The subscription settings used for securities added from this universe</param>
/// <param name="pySelector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
public void AddUniverse(SecurityType securityType, string name, Resolution resolution, string market, UniverseSettings universeSettings, PyObject pySelector)
{
var selector = PythonUtil.ToFunc <DateTime, object[]>(pySelector);
AddUniverse(securityType, name, resolution, market, universeSettings, d => selector(d).Select(x => (string)x));
}
/// <summary>
/// Creates a new universe and adds it to the algorithm. This can be used to return a list of string
/// symbols retrieved from anywhere and will loads those symbols under the US Equity market.
/// </summary>
/// <param name="name">A unique name for this universe</param>
/// <param name="pySelector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
public void AddUniverse(string name, PyObject pySelector)
{
var selector = PythonUtil.ToFunc <DateTime, object[]>(pySelector);
AddUniverse(name, d => selector(d).Select(x => (string)x));
}
/// <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)
{
var pyUniverseFunc = PythonUtil.ToFunc <OptionFilterUniverse, OptionFilterUniverse>(universeFunc);
SetFilter(pyUniverseFunc);
}
/// <summary>
/// Creates a new universe and adds it to the algorithm. This is for coarse fundamental US Equity data and
/// will be executed on day changes in the NewYork time zone (<see cref="TimeZones.NewYork"/>
/// </summary>
/// <param name="pycoarse">Defines an initial coarse selection</param>
public void AddUniverse(PyObject pycoarse)
{
var coarse = PythonUtil.ToFunc <IEnumerable <CoarseFundamental>, object[]>(pycoarse);
AddUniverse(c => coarse(c).Select(x => (Symbol)x));
}