AlexCatarino
79 lines
4.0 KiB
Python
79 lines
4.0 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from clr import GetClrType as typeof
|
|
from clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Common")
|
|
AddReference("QuantConnect.Algorithm.Framework")
|
|
|
|
from QuantConnect import Extensions, Resolution, SecurityType, Symbol, SymbolCache
|
|
from QuantConnect.Data import SubscriptionDataConfig
|
|
from QuantConnect.Data.Market import Tick, TradeBar
|
|
from QuantConnect.Securities import MarketHoursDatabase
|
|
from QuantConnect.Algorithm.Framework.Selection import ManualUniverse
|
|
from Selection.UniverseSelectionModel import UniverseSelectionModel
|
|
from itertools import groupby
|
|
|
|
class ManualUniverseSelectionModel(UniverseSelectionModel):
|
|
'''Provides an implementation of IUniverseSelectionModel that simply subscribes to the specified set of symbols'''
|
|
|
|
def __init__(self, symbols = list(), universeSettings = None, securityInitializer = None):
|
|
self.MarketHours = MarketHoursDatabase.FromDataFolder()
|
|
self.symbols = symbols
|
|
self.universeSettings = universeSettings
|
|
self.securityInitializer = securityInitializer
|
|
|
|
for symbol in symbols:
|
|
SymbolCache.Set(symbol.Value, symbol)
|
|
|
|
def CreateUniverses(self, algorithm):
|
|
'''Creates the universes for this algorithm. Called once after IAlgorithm.Initialize
|
|
Args:
|
|
algorithm: The algorithm instance to create universes for</param>
|
|
Returns:
|
|
The universes to be used by the algorithm'''
|
|
universeSettings = self.universeSettings \
|
|
if self.universeSettings is not None else algorithm.UniverseSettings
|
|
|
|
securityInitializer = self.securityInitializer \
|
|
if self.securityInitializer is not None else algorithm.SecurityInitializer
|
|
|
|
resolution = universeSettings.Resolution
|
|
type = typeof(Tick) if resolution == Resolution.Tick else typeof(TradeBar);
|
|
|
|
universes = list()
|
|
|
|
# universe per security type/market
|
|
self.symbols = sorted(self.symbols, key=lambda s: (s.ID.Market, s.SecurityType))
|
|
for key, grp in groupby(self.symbols, lambda s: (s.ID.Market, s.SecurityType)):
|
|
|
|
market = key[0]
|
|
securityType = key[1]
|
|
securityTypeString = Extensions.GetEnumString(securityType, SecurityType)
|
|
universeSymbol = Symbol.Create(f"manual-universe-selection-model-{securityTypeString}-{market}", securityType, market)
|
|
|
|
if securityType == SecurityType.Base:
|
|
# add an entry for this custom universe symbol -- we don't really know the time zone for sure,
|
|
# but we set it to TimeZones.NewYork in AddData, also, since this is a manual universe, the time
|
|
# zone doesn't actually matter since this universe specifically doesn't do anything with data.
|
|
symbolString = MarketHoursDatabase.GetDatabaseSymbolKey(universeSymbol)
|
|
alwaysOpen = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork)
|
|
entry = self.MarketHours.SetEntry(market, symbolString, securityType, alwaysOpen, TimeZones.NewYork)
|
|
else:
|
|
entry = self.MarketHours.GetEntry(market, None, securityType)
|
|
|
|
config = SubscriptionDataConfig(type, universeSymbol, resolution, entry.DataTimeZone, entry.ExchangeHours.TimeZone, False, False, True)
|
|
universes.append( ManualUniverse(config, universeSettings, list(grp)))
|
|
|
|
return universes |