QuantConnect.Algorithm.Framework.Selection.OpenInterestFutureUniverseSelectionModel Class Reference

Selects contracts in a futures universe, sorted by open interest. This allows the selection to identifiy current active contract. More...

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

Public Member Functions
	OpenInterestFutureUniverseSelectionModel (IAlgorithm algorithm, Func< DateTime, IEnumerable< Symbol >> futureChainSymbolSelector, int? chainContractsLookupLimit=6, int? resultsLimit=1)
	Creates a new instance of OpenInterestFutureUniverseSelectionModel More...
	OpenInterestFutureUniverseSelectionModel (IAlgorithm algorithm, PyObject futureChainSymbolSelector, int? chainContractsLookupLimit=6, int? resultsLimit=1)
	Creates a new instance of OpenInterestFutureUniverseSelectionModel More...
IEnumerable< Symbol >	FilterByOpenInterest (IReadOnlyDictionary< Symbol, MarketHoursDatabase.Entry > contracts)
	Filters a set of contracts based on open interest. More...
Public Member Functions inherited from QuantConnect.Algorithm.Framework.Selection.FutureUniverseSelectionModel
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
override FutureFilterUniverse	Filter (FutureFilterUniverse filter)
	Defines the future chain universe filter More...

Detailed Description

Selects contracts in a futures universe, sorted by open interest. This allows the selection to identifiy current active contract.

Definition at line 32 of file OpenInterestFutureUniverseSelectionModel.cs.

Constructor & Destructor Documentation

OpenInterestFutureUniverseSelectionModel() [1/2]

QuantConnect.Algorithm.Framework.Selection.OpenInterestFutureUniverseSelectionModel.OpenInterestFutureUniverseSelectionModel	(	IAlgorithm	algorithm,
		Func< DateTime, IEnumerable< Symbol >>	futureChainSymbolSelector,
		int?	chainContractsLookupLimit = 6,
		int?	resultsLimit = 1
	)

Creates a new instance of OpenInterestFutureUniverseSelectionModel

Parameters

algorithm	Algorithm
futureChainSymbolSelector	Selects symbols from the provided future chain
chainContractsLookupLimit	Limit on how many contracts to query for open interest
resultsLimit	Limit on how many contracts will be part of the universe

Definition at line 46 of file OpenInterestFutureUniverseSelectionModel.cs.

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OpenInterestFutureUniverseSelectionModel() [2/2]

QuantConnect.Algorithm.Framework.Selection.OpenInterestFutureUniverseSelectionModel.OpenInterestFutureUniverseSelectionModel	(	IAlgorithm	algorithm,
		PyObject	futureChainSymbolSelector,
		int?	chainContractsLookupLimit = 6,
		int?	resultsLimit = 1
	)

Creates a new instance of OpenInterestFutureUniverseSelectionModel

Parameters

algorithm	Algorithm
futureChainSymbolSelector	Selects symbols from the provided future chain
chainContractsLookupLimit	Limit on how many contracts to query for open interest
resultsLimit	Limit on how many contracts will be part of the universe

Definition at line 67 of file OpenInterestFutureUniverseSelectionModel.cs.

Member Function Documentation

Filter()

override FutureFilterUniverse QuantConnect.Algorithm.Framework.Selection.OpenInterestFutureUniverseSelectionModel.Filter ( FutureFilterUniverse  filter )

protectedvirtual

Defines the future chain universe filter

Reimplemented from QuantConnect.Algorithm.Framework.Selection.FutureUniverseSelectionModel.

Definition at line 75 of file OpenInterestFutureUniverseSelectionModel.cs.

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FilterByOpenInterest()

IEnumerable<Symbol> QuantConnect.Algorithm.Framework.Selection.OpenInterestFutureUniverseSelectionModel.FilterByOpenInterest

(

IReadOnlyDictionary< Symbol, MarketHoursDatabase.Entry >

contracts

)

Filters a set of contracts based on open interest.

Parameters

contracts

Contracts to filter

Returns

Filtered set

Definition at line 85 of file OpenInterestFutureUniverseSelectionModel.cs.

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

• Algorithm.Framework/Selection/OpenInterestFutureUniverseSelectionModel.cs