Martin-Molinero
de57cedc5a
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* Make continuous futures untradable - To match live trading behavior. Adjust continuous futures securities to be untradable * Set ContinuousFuture as non tradable - Set continuous futures as non tradable. Update regression algorithms - Fixes for symbol capacity calculation
108 lines
5.3 KiB
Python
108 lines
5.3 KiB
Python
# 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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from AlgorithmImports import *
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from clr import GetClrType as typeof
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from Selection.UniverseSelectionModel import UniverseSelectionModel
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class FutureUniverseSelectionModel(UniverseSelectionModel):
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'''Provides an implementation of IUniverseSelectionMode that subscribes to future chains'''
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def __init__(self,
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refreshInterval,
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futureChainSymbolSelector,
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universeSettings = None):
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'''Creates a new instance of FutureUniverseSelectionModel
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Args:
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refreshInterval: Time interval between universe refreshes</param>
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futureChainSymbolSelector: Selects symbols from the provided future chain
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universeSettings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed'''
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self.nextRefreshTimeUtc = datetime.min
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self.refreshInterval = refreshInterval
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self.futureChainSymbolSelector = futureChainSymbolSelector
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self.universeSettings = universeSettings
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def GetNextRefreshTimeUtc(self):
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'''Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.'''
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return self.nextRefreshTimeUtc
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def CreateUniverses(self, algorithm):
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'''Creates a new fundamental universe using this class's selection functions
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Args:
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algorithm: The algorithm instance to create universes for
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Returns:
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The universe defined by this model'''
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self.nextRefreshTimeUtc = algorithm.UtcTime + self.refreshInterval
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uniqueSymbols = set()
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for futureSymbol in self.futureChainSymbolSelector(algorithm.UtcTime):
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if futureSymbol.SecurityType != SecurityType.Future:
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raise ValueError("futureChainSymbolSelector must return future symbols.")
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# prevent creating duplicate future chains -- one per symbol
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if futureSymbol not in uniqueSymbols:
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uniqueSymbols.add(futureSymbol)
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yield self.CreateFutureChain(algorithm, futureSymbol)
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def CreateFutureChain(self, algorithm, symbol):
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'''Creates a FuturesChainUniverse for a given symbol
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Args:
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algorithm: The algorithm instance to create universes for
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symbol: Symbol of the future
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Returns:
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FuturesChainUniverse for the given symbol'''
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if symbol.SecurityType != SecurityType.Future:
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raise ValueError("CreateFutureChain requires an future symbol.")
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# rewrite non-canonical symbols to be canonical
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market = symbol.ID.Market
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if not symbol.IsCanonical():
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symbol = Symbol.Create(symbol.Value, SecurityType.Future, market, f"/{symbol.Value}")
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# resolve defaults if not specified
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settings = self.universeSettings if self.universeSettings is not None else algorithm.UniverseSettings
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# create canonical security object, but don't duplicate if it already exists
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securities = [s for s in algorithm.Securities if s.Key == symbol]
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if len(securities) == 0:
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futureChain = self.CreateFutureChainSecurity(algorithm, symbol, settings)
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else:
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futureChain = securities[0]
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# set the future chain contract filter function
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futureChain.SetFilter(self.Filter)
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return FuturesChainUniverse(futureChain, settings)
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def CreateFutureChainSecurity(self, algorithm, symbol, settings):
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'''Creates the canonical Future chain security for a given symbol
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Args:
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algorithm: The algorithm instance to create universes for
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symbol: Symbol of the future
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settings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
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Returns
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Future for the given symbol'''
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config = algorithm.SubscriptionManager.SubscriptionDataConfigService.Add(typeof(ZipEntryName),
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symbol,
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settings.Resolution,
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settings.FillForward,
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settings.ExtendedMarketHours,
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False)
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return algorithm.Securities.CreateSecurity(symbol, config, settings.Leverage, False)
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def Filter(self, filter):
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'''Defines the future chain universe filter'''
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# NOP
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return filter
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