/// <summary> /// Defines the future chain universe filter /// </summary> protected virtual FutureFilterUniverse Filter(FutureFilterUniverse filter) { // NOP return(filter); }
/// <summary> /// Defines the future chain universe filter /// </summary> protected override FutureFilterUniverse Filter(FutureFilterUniverse filter) { return(filter .FrontMonth() .OnlyApplyFilterAtMarketOpen()); }
/// <summary> /// Defines the future chain universe filter /// </summary> protected override FutureFilterUniverse Filter(FutureFilterUniverse filter) { return(filter.Contracts(FilterByOpenInterest(filter.ToDictionary(x => x, x => _marketHoursDatabase.GetEntry(x.ID.Market, x, x.ID.SecurityType).ExchangeHours)))); }