Martin Molinero
1983f36792
- We will now check if python selection method returned `Universe.Unchanged` - Removing `ToList()` call on fine and coarse data before sending it to the python algorithm - Adding regression algorithms
72 lines
3.5 KiB
C#
72 lines
3.5 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using Python.Runtime;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Portfolio selection model that uses coarse selectors. For US equities only.
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/// </summary>
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public class CoarseFundamentalUniverseSelectionModel : FundamentalUniverseSelectionModel
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{
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private readonly Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> _coarseSelector;
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/// <summary>
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/// Initializes a new instance of the <see cref="CoarseFundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
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/// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
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/// <param name="securityInitializer">Performs extra initialization (such as setting models) after we create a new security object</param>
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public CoarseFundamentalUniverseSelectionModel(
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Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> coarseSelector,
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UniverseSettings universeSettings = null,
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ISecurityInitializer securityInitializer = null
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)
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: base(false, universeSettings, securityInitializer)
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{
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_coarseSelector = coarseSelector;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="CoarseFundamentalUniverseSelectionModel"/> class
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/// </summary>
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/// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
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/// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
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/// <param name="securityInitializer">Performs extra initialization (such as setting models) after we create a new security object</param>
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public CoarseFundamentalUniverseSelectionModel(
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PyObject coarseSelector,
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UniverseSettings universeSettings = null,
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ISecurityInitializer securityInitializer = null
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)
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: base(false, universeSettings, securityInitializer)
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{
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Func<IEnumerable<CoarseFundamental>, object> func;
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if (coarseSelector.TryConvertToDelegate(out func))
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{
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_coarseSelector = func.ConvertToUniverseSelectionSymbolDelegate();
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}
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}
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/// <inheritdoc />
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public override IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)
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{
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return _coarseSelector(coarse);
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}
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}
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} |