Martin-Molinero
aaba566954
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Order handling improvements - Execution model will only trigger market order if they are above the minimum order margin portfolio percetage value - SecurityCache.Reset is complete * Python Import fixes - Add regression test for ImmediateExecutionModel minimum order margin check
30 lines
1.4 KiB
Python
30 lines
1.4 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 AlgorithmImports import *
|
|
|
|
class UniverseSelectionModel:
|
|
'''Provides a base class for universe selection models.'''
|
|
|
|
def GetNextRefreshTimeUtc(self):
|
|
'''Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.'''
|
|
return datetime.max
|
|
|
|
def CreateUniverses(self, algorithm):
|
|
'''Creates the universes for this algorithm. Called once after <see cref="IAlgorithm.Initialize"/>
|
|
Args:
|
|
algorithm: The algorithm instance to create universes for</param>
|
|
Returns:
|
|
The universes to be used by the algorithm'''
|
|
raise NotImplementedError("Types deriving from 'UniverseSelectionModel' must implement the 'def CreateUniverses(QCAlgorithm) method.")
|