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
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
def CreateOptionChainSecurity(self, algorithm, symbol, settings,
initializer):
'''Creates the canonical option chain security for a given symbol
Args:
algorithm: The algorithm instance to create universes for
symbol: Symbol of the option
settings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
initializer: Performs extra initialization (such as setting models) after we create a new security object
Returns
Option for the given symbol'''
market = symbol.ID.Market
underlying = symbol.Underlying
marketHoursEntry = MarketHoursDatabase.FromDataFolder().GetEntry(
market, underlying, SecurityType.Option)
symbolProperties = SymbolPropertiesDatabase.FromDataFolder(
).GetSymbolProperties(market, underlying, SecurityType.Option,
CashBook.AccountCurrency)
return SecurityManager.CreateSecurity(
typeof(ZipEntryName), algorithm.Portfolio,
algorithm.SubscriptionManager, marketHoursEntry.ExchangeHours,
marketHoursEntry.DataTimeZone, symbolProperties, initializer,
symbol, settings.Resolution, settings.FillForward,
settings.Leverage, settings.ExtendedMarketHours, False, False,
algorithm.LiveMode, False, False)
def CreateFutureChainSecurity(self, algorithm, symbol, settings):
'''Creates the canonical Future chain security for a given symbol
Args:
algorithm: The algorithm instance to create universes for
symbol: Symbol of the future
settings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
Returns
Future for the given symbol'''
config = algorithm.SubscriptionManager.SubscriptionDataConfigService.Add(
typeof(ZipEntryName), symbol, settings.Resolution,
settings.FillForward, settings.ExtendedMarketHours, False)
return algorithm.Securities.CreateSecurity(symbol, config,
settings.Leverage, False)
def CreateOptionChainSecurity(self, algorithm, symbol, settings, initializer):
algorithm.Log(f"OptionUniverseSelectionModel.CreateOptionChainSecurity({algorithm.UtcTime}, {symbol}): Creating Option Chain Security")
market = symbol.ID.Market
underlying = symbol.Underlying
marketHoursEntry = MarketHoursDatabase.FromDataFolder().GetEntry(market, underlying, SecurityType.Option)
symbolProperties = SymbolPropertiesDatabase.FromDataFolder().GetSymbolProperties(market, underlying, SecurityType.Option, CashBook.AccountCurrency)
return SecurityManager.CreateSecurity(typeof(ZipEntryName), algorithm.Portfolio,
algorithm.SubscriptionManager, marketHoursEntry.ExchangeHours, marketHoursEntry.DataTimeZone, symbolProperties,
initializer, symbol, settings.Resolution, settings.FillForward, settings.Leverage, settings.ExtendedMarketHours,
False, False, algorithm.LiveMode, False, False)
def CreateOptionChainSecurity(self, algorithm, symbol, settings,
initializer):
'''Creates the canonical option chain security for a given symbol
Args:
algorithm: The algorithm instance to create universes for
symbol: Symbol of the option
settings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
initializer: [Obsolete, will not be used] Performs extra initialization (such as setting models) after we create a new security object
Returns
Option for the given symbol'''
config = algorithm.SubscriptionManager.SubscriptionDataConfigService.Add(
typeof(ZipEntryName), symbol, settings.Resolution,
settings.FillForward, settings.ExtendedMarketHours, False)
return algorithm.Securities.CreateSecurity(symbol, config,
settings.Leverage, False)
def CreateFutureChainSecurity(self, algorithm, symbol, settings, initializer):
'''Creates the canonical Future chain security for a given symbol
Args:
algorithm: The algorithm instance to create universes for
symbol: Symbol of the future
settings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
initializer: [Obsolete, will not be used] Performs extra initialization (such as setting models) after we create a new security object
Returns
Future for the given symbol'''
config = algorithm.SubscriptionManager.SubscriptionDataConfigService.Add(typeof(ZipEntryName),
symbol,
settings.Resolution,
settings.FillForward,
settings.ExtendedMarketHours,
False)
return algorithm.Securities.CreateSecurity(symbol, config, settings.Leverage, False)
def CreateFutureChainSecurity(self, algorithm, symbol, settings, initializer):
'''Creates the canonical Future chain security for a given symbol
Args:
algorithm: The algorithm instance to create universes for
symbol: Symbol of the future
settings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
initializer: Performs extra initialization (such as setting models) after we create a new security object
Returns
Future for the given symbol'''
market = symbol.ID.Market
marketHoursEntry = MarketHoursDatabase.FromDataFolder().GetEntry(market, symbol, SecurityType.Future)
symbolProperties = SymbolPropertiesDatabase.FromDataFolder().GetSymbolProperties(market, symbol, SecurityType.Future, CashBook.AccountCurrency)
return SecurityManager.CreateSecurity(typeof(ZipEntryName), algorithm.Portfolio,
algorithm.SubscriptionManager, marketHoursEntry.ExchangeHours, marketHoursEntry.DataTimeZone, symbolProperties,
initializer, symbol, settings.Resolution, settings.FillForward, settings.Leverage, settings.ExtendedMarketHours,
False, False, algorithm.LiveMode, False, False)
def CreateOptionChainSecurity(self, algorithm, symbol, settings,
initializer):
algorithm.Log(
f"OptionUniverseSelectionModel.CreateOptionChainSecurity({algorithm.UtcTime}, {symbol}): Creating Option Chain Security"
)
market = symbol.ID.Market
underlying = symbol.Underlying
marketHoursEntry = MarketHoursDatabase.FromDataFolder().GetEntry(
market, underlying, SecurityType.Option)
symbolProperties = SymbolPropertiesDatabase.FromDataFolder(
).GetSymbolProperties(market, underlying, SecurityType.Option,
CashBook.AccountCurrency)
return SecurityManager.CreateSecurity(
typeof(ZipEntryName), algorithm.Portfolio,
algorithm.SubscriptionManager, marketHoursEntry.ExchangeHours,
marketHoursEntry.DataTimeZone, symbolProperties, initializer,
symbol, settings.Resolution, settings.FillForward,
settings.Leverage, settings.ExtendedMarketHours, False, False,
algorithm.LiveMode, False, False)