QuantConnect.Algorithm.Framework.Selection.FutureUniverseSelectionModel Class Reference

Provides an implementation of IUniverseSelectionModel that subscribes to future chains More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Selection.FutureUniverseSelectionModel:

Public Member Functions
override DateTime	GetNextRefreshTimeUtc ()
	Gets the next time the framework should invoke the CreateUniverses method to refresh the set of universes. More...
	FutureUniverseSelectionModel (TimeSpan refreshInterval, Func< DateTime, IEnumerable< Symbol >> futureChainSymbolSelector)
	Creates a new instance of FutureUniverseSelectionModel More...
	FutureUniverseSelectionModel (TimeSpan refreshInterval, Func< DateTime, IEnumerable< Symbol >> futureChainSymbolSelector, UniverseSettings universeSettings)
	Creates a new instance of FutureUniverseSelectionModel More...
override IEnumerable< Universe >	CreateUniverses (QCAlgorithm algorithm)
	Creates the universes for this algorithm. Called once after IAlgorithm.Initialize More...

Protected Member Functions
virtual FutureFilterUniverse	Filter (FutureFilterUniverse filter)
	Defines the future chain universe filter More...

Detailed Description

Provides an implementation of IUniverseSelectionModel that subscribes to future chains

Definition at line 27 of file FutureUniverseSelectionModel.cs.

Constructor & Destructor Documentation

FutureUniverseSelectionModel() [1/2]

QuantConnect.Algorithm.Framework.Selection.FutureUniverseSelectionModel.FutureUniverseSelectionModel	(	TimeSpan	refreshInterval,
		Func< DateTime, IEnumerable< Symbol >>	futureChainSymbolSelector
	)

Creates a new instance of FutureUniverseSelectionModel

Parameters

refreshInterval	Time interval between universe refreshes
futureChainSymbolSelector	Selects symbols from the provided future chain

Definition at line 45 of file FutureUniverseSelectionModel.cs.

FutureUniverseSelectionModel() [2/2]

QuantConnect.Algorithm.Framework.Selection.FutureUniverseSelectionModel.FutureUniverseSelectionModel	(	TimeSpan	refreshInterval,
		Func< DateTime, IEnumerable< Symbol >>	futureChainSymbolSelector,
		UniverseSettings	universeSettings
	)

Creates a new instance of FutureUniverseSelectionModel

Parameters

refreshInterval	Time interval between universe refreshes
futureChainSymbolSelector	Selects symbols from the provided future chain
universeSettings	Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed

Definition at line 56 of file FutureUniverseSelectionModel.cs.

Member Function Documentation

GetNextRefreshTimeUtc()

override DateTime QuantConnect.Algorithm.Framework.Selection.FutureUniverseSelectionModel.GetNextRefreshTimeUtc ( )

virtual

Gets the next time the framework should invoke the CreateUniverses method to refresh the set of universes.

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

CreateUniverses()

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

virtual

Creates the universes for this algorithm. Called once after IAlgorithm.Initialize

Parameters

algorithm

The algorithm instance to create universes for

Returns

The universes to be used by the algorithm

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

Definition at line 74 of file FutureUniverseSelectionModel.cs.

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Filter()

virtual FutureFilterUniverse QuantConnect.Algorithm.Framework.Selection.FutureUniverseSelectionModel.Filter ( FutureFilterUniverse  filter )

protectedvirtual

Defines the future chain universe filter

Reimplemented in QuantConnect.Algorithm.Framework.Selection.OpenInterestFutureUniverseSelectionModel.

Definition at line 100 of file FutureUniverseSelectionModel.cs.

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

• Algorithm.Framework/Selection/FutureUniverseSelectionModel.cs