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QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel Class Reference

Provides a base class for defining equity coarse/fine fundamental selection models More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel:
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Public Member Functions

 FundamentalUniverseSelectionModel ()
 Initializes a new instance of the FundamentalUniverseSelectionModel class More...
 
 FundamentalUniverseSelectionModel (string market, UniverseSettings universeSettings)
 Initializes a new instance of the FundamentalUniverseSelectionModel class More...
 
 FundamentalUniverseSelectionModel (UniverseSettings universeSettings)
 Initializes a new instance of the FundamentalUniverseSelectionModel class More...
 
 FundamentalUniverseSelectionModel (string market, Func< IEnumerable< Fundamental >, IEnumerable< Symbol >> selector, UniverseSettings universeSettings=null)
 Initializes a new instance of the FundamentalUniverseSelectionModel class More...
 
 FundamentalUniverseSelectionModel (Func< IEnumerable< Fundamental >, IEnumerable< Symbol >> selector, UniverseSettings universeSettings=null)
 Initializes a new instance of the FundamentalUniverseSelectionModel class More...
 
 FundamentalUniverseSelectionModel (string market, PyObject selector, UniverseSettings universeSettings=null)
 Initializes a new instance of the FundamentalUniverseSelectionModel class More...
 
 FundamentalUniverseSelectionModel (PyObject selector, UniverseSettings universeSettings=null)
 Initializes a new instance of the FundamentalUniverseSelectionModel class More...
 
override IEnumerable< UniverseCreateUniverses (QCAlgorithm algorithm)
 Creates a new fundamental universe using this class's selection functions More...
 
virtual Universe CreateCoarseFundamentalUniverse (QCAlgorithm algorithm)
 Creates the coarse fundamental universe object. This is provided to allow more flexibility when creating coarse universe. More...
 
virtual IEnumerable< SymbolSelect (QCAlgorithm algorithm, IEnumerable< Fundamental > fundamental)
 Defines the fundamental selection function. More...
 
virtual IEnumerable< SymbolSelectCoarse (QCAlgorithm algorithm, IEnumerable< CoarseFundamental > coarse)
 Defines the coarse fundamental selection function. More...
 
virtual IEnumerable< SymbolSelectFine (QCAlgorithm algorithm, IEnumerable< FineFundamental > fine)
 Defines the fine fundamental selection function. More...
 
- Public Member Functions inherited from QuantConnect.Algorithm.Framework.Selection.UniverseSelectionModel
virtual DateTime GetNextRefreshTimeUtc ()
 Gets the next time the framework should invoke the CreateUniverses method to refresh the set of universes. More...
 

Static Public Member Functions

static IUniverseSelectionModel Coarse (Func< IEnumerable< CoarseFundamental >, IEnumerable< Symbol >> coarseSelector)
 Convenience method for creating a selection model that uses only coarse data More...
 
static IUniverseSelectionModel Fine (Func< IEnumerable< CoarseFundamental >, IEnumerable< Symbol >> coarseSelector, Func< IEnumerable< FineFundamental >, IEnumerable< Symbol >> fineSelector)
 Convenience method for creating a selection model that uses coarse and fine data More...
 
static IUniverseSelectionModel Fundamental (Func< IEnumerable< Fundamental >, IEnumerable< Symbol >> selector)
 Convenience method for creating a selection model that uses fundamental data More...
 

Protected Member Functions

 FundamentalUniverseSelectionModel (bool filterFineData)
 Initializes a new instance of the FundamentalUniverseSelectionModel class More...
 
 FundamentalUniverseSelectionModel (bool filterFineData, UniverseSettings universeSettings)
 Initializes a new instance of the FundamentalUniverseSelectionModel class More...
 

Detailed Description

Provides a base class for defining equity coarse/fine fundamental selection models

Definition at line 29 of file FundamentalUniverseSelectionModel.cs.

Constructor & Destructor Documentation

◆ FundamentalUniverseSelectionModel() [1/9]

QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.FundamentalUniverseSelectionModel ( )

Initializes a new instance of the FundamentalUniverseSelectionModel class

Definition at line 40 of file FundamentalUniverseSelectionModel.cs.

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◆ FundamentalUniverseSelectionModel() [2/9]

QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.FundamentalUniverseSelectionModel ( string  market,
UniverseSettings  universeSettings 
)

Initializes a new instance of the FundamentalUniverseSelectionModel class

Parameters
marketThe target market
universeSettingsUniverse settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed

Definition at line 51 of file FundamentalUniverseSelectionModel.cs.

◆ FundamentalUniverseSelectionModel() [3/9]

QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.FundamentalUniverseSelectionModel ( UniverseSettings  universeSettings)

Initializes a new instance of the FundamentalUniverseSelectionModel class

Parameters
universeSettingsUniverse settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed

Definition at line 62 of file FundamentalUniverseSelectionModel.cs.

◆ FundamentalUniverseSelectionModel() [4/9]

QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.FundamentalUniverseSelectionModel ( string  market,
Func< IEnumerable< Fundamental >, IEnumerable< Symbol >>  selector,
UniverseSettings  universeSettings = null 
)

Initializes a new instance of the FundamentalUniverseSelectionModel class

Parameters
marketThe target market
selectorSelects symbols from the provided fundamental data set
universeSettingsUniverse settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed

Definition at line 73 of file FundamentalUniverseSelectionModel.cs.

◆ FundamentalUniverseSelectionModel() [5/9]

QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.FundamentalUniverseSelectionModel ( Func< IEnumerable< Fundamental >, IEnumerable< Symbol >>  selector,
UniverseSettings  universeSettings = null 
)

Initializes a new instance of the FundamentalUniverseSelectionModel class

Parameters
selectorSelects symbols from the provided fundamental data set
universeSettingsUniverse settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed

Definition at line 86 of file FundamentalUniverseSelectionModel.cs.

◆ FundamentalUniverseSelectionModel() [6/9]

QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.FundamentalUniverseSelectionModel ( string  market,
PyObject  selector,
UniverseSettings  universeSettings = null 
)

Initializes a new instance of the FundamentalUniverseSelectionModel class

Parameters
marketThe target market
selectorSelects symbols from the provided fundamental data set
universeSettingsUniverse settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed

Definition at line 97 of file FundamentalUniverseSelectionModel.cs.

◆ FundamentalUniverseSelectionModel() [7/9]

QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.FundamentalUniverseSelectionModel ( PyObject  selector,
UniverseSettings  universeSettings = null 
)

Initializes a new instance of the FundamentalUniverseSelectionModel class

Parameters
selectorSelects symbols from the provided fundamental data set
universeSettingsUniverse settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed

Definition at line 112 of file FundamentalUniverseSelectionModel.cs.

◆ FundamentalUniverseSelectionModel() [8/9]

QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.FundamentalUniverseSelectionModel ( bool  filterFineData)
protected

Initializes a new instance of the FundamentalUniverseSelectionModel class

Parameters
filterFineDataTrue to also filter using fine fundamental data, false to only filter on coarse data

Definition at line 122 of file FundamentalUniverseSelectionModel.cs.

◆ FundamentalUniverseSelectionModel() [9/9]

QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.FundamentalUniverseSelectionModel ( bool  filterFineData,
UniverseSettings  universeSettings 
)
protected

Initializes a new instance of the FundamentalUniverseSelectionModel class

Parameters
filterFineDataTrue to also filter using fine fundamental data, false to only filter on coarse data
universeSettingsThe settings used when adding symbols to the algorithm, specify null to use algorithm.UniverseSettings

Definition at line 133 of file FundamentalUniverseSelectionModel.cs.

Member Function Documentation

◆ CreateUniverses()

override IEnumerable<Universe> QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.CreateUniverses ( QCAlgorithm  algorithm)
virtual

Creates a new fundamental universe using this class's selection functions

Parameters
algorithmThe algorithm instance to create universes for
Returns
The universe defined by this model

Reimplemented from QuantConnect.Algorithm.Framework.Selection.UniverseSelectionModel.

Definition at line 145 of file FundamentalUniverseSelectionModel.cs.

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◆ CreateCoarseFundamentalUniverse()

virtual Universe QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.CreateCoarseFundamentalUniverse ( QCAlgorithm  algorithm)
virtual

Creates the coarse fundamental universe object. This is provided to allow more flexibility when creating coarse universe.

Parameters
algorithmThe algorithm instance
Returns
The coarse fundamental universe

Definition at line 176 of file FundamentalUniverseSelectionModel.cs.

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◆ Select()

virtual IEnumerable<Symbol> QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.Select ( QCAlgorithm  algorithm,
IEnumerable< Fundamental fundamental 
)
virtual

Defines the fundamental selection function.

Parameters
algorithmThe algorithm instance
fundamentalThe fundamental data used to perform filtering
Returns
An enumerable of symbols passing the filter

Definition at line 199 of file FundamentalUniverseSelectionModel.cs.

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◆ SelectCoarse()

virtual IEnumerable<Symbol> QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.SelectCoarse ( QCAlgorithm  algorithm,
IEnumerable< CoarseFundamental coarse 
)
virtual

Defines the coarse fundamental selection function.

Parameters
algorithmThe algorithm instance
coarseThe coarse fundamental data used to perform filtering
Returns
An enumerable of symbols passing the filter

Reimplemented in QuantConnect.Algorithm.Framework.Selection.FineFundamentalUniverseSelectionModel, QuantConnect.Algorithm.Framework.Selection.EmaCrossUniverseSelectionModel, QuantConnect.Algorithm.Framework.Selection.CoarseFundamentalUniverseSelectionModel, and QuantConnect.Algorithm.Framework.Selection.QC500UniverseSelectionModel.

Definition at line 215 of file FundamentalUniverseSelectionModel.cs.

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◆ SelectFine()

virtual IEnumerable<Symbol> QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.SelectFine ( QCAlgorithm  algorithm,
IEnumerable< FineFundamental fine 
)
virtual

Defines the fine fundamental selection function.

Parameters
algorithmThe algorithm instance
fineThe fine fundamental data used to perform filtering
Returns
An enumerable of symbols passing the filter

Reimplemented in QuantConnect.Algorithm.Framework.Selection.QC500UniverseSelectionModel, and QuantConnect.Algorithm.Framework.Selection.FineFundamentalUniverseSelectionModel.

Definition at line 227 of file FundamentalUniverseSelectionModel.cs.

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◆ Coarse()

static IUniverseSelectionModel QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.Coarse ( Func< IEnumerable< CoarseFundamental >, IEnumerable< Symbol >>  coarseSelector)
static

Convenience method for creating a selection model that uses only coarse data

Parameters
coarseSelectorSelects symbols from the provided coarse data set
Returns
A new universe selection model that will select US equities according to the selection function specified

Definition at line 239 of file FundamentalUniverseSelectionModel.cs.

◆ Fine()

static IUniverseSelectionModel QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.Fine ( Func< IEnumerable< CoarseFundamental >, IEnumerable< Symbol >>  coarseSelector,
Func< IEnumerable< FineFundamental >, IEnumerable< Symbol >>  fineSelector 
)
static

Convenience method for creating a selection model that uses coarse and fine data

Parameters
coarseSelectorSelects symbols from the provided coarse data set
fineSelectorSelects symbols from the provided fine data set (this set has already been filtered according to the coarse selection)
Returns
A new universe selection model that will select US equities according to the selection functions specified

Definition at line 251 of file FundamentalUniverseSelectionModel.cs.

◆ Fundamental()

static IUniverseSelectionModel QuantConnect.Algorithm.Framework.Selection.FundamentalUniverseSelectionModel.Fundamental ( Func< IEnumerable< Fundamental >, IEnumerable< Symbol >>  selector)
static

Convenience method for creating a selection model that uses fundamental data

Parameters
selectorSelects symbols from the provided fundamental data set
Returns
A new universe selection model that will select US equities according to the selection functions specified

Definition at line 261 of file FundamentalUniverseSelectionModel.cs.

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The documentation for this class was generated from the following file: