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Custom data universe selection market hours (#7270)
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- Custom data universe selection market hours. Adding regression test
  asserting the behavior. Updating existing tests due to market hours
  change, triggering selection always, even the 4th of July 2018
This commit is contained in:
Martin-Molinero
2023-05-24 13:50:43 -03:00
committed by GitHub
parent 6e7b69da44
commit 278401cfcf
4 changed files with 157 additions and 23 deletions
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Algorithm/QCAlgorithm.Python.cs
+1 -6
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@@ -491,12 +491,7 @@ namespace QuantConnect.Algorithm
[DocumentationAttribute(Universes)]
public Universe 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, baseDataType: dataType);
var config = new SubscriptionDataConfig(dataType, symbol, resolution, dataTimeZone, exchangeTimeZone, false, false, true, true, isFilteredSubscription: false);
var config = GetCustomUniverseConfiguration(dataType, name, resolution, market);
var selector = pySelector.ConvertToDelegate<Func<IEnumerable<IBaseData>, object>>();
return AddUniverse(new FuncUniverse(config, universeSettings, baseDatas =>