QuantConnect.Algorithm.Framework.Selection.OptionUniverseSelectionModel Class Reference

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

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

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

Protected Member Functions
virtual OptionFilterUniverse	Filter (OptionFilterUniverse filter)
	Defines the option chain universe filter More...

Detailed Description

Provides an implementation of IUniverseSelectionModel that subscribes to option chains

Definition at line 27 of file OptionUniverseSelectionModel.cs.

Constructor & Destructor Documentation

OptionUniverseSelectionModel() [1/2]

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

Creates a new instance of OptionUniverseSelectionModel

Parameters

refreshInterval	Time interval between universe refreshes
optionChainSymbolSelector	Selects symbols from the provided option chain

Definition at line 45 of file OptionUniverseSelectionModel.cs.

OptionUniverseSelectionModel() [2/2]

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

Creates a new instance of OptionUniverseSelectionModel

Parameters

refreshInterval	Time interval between universe refreshes
optionChainSymbolSelector	Selects symbols from the provided option 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 OptionUniverseSelectionModel.cs.

Member Function Documentation

GetNextRefreshTimeUtc()

override DateTime QuantConnect.Algorithm.Framework.Selection.OptionUniverseSelectionModel.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.OptionUniverseSelectionModel.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 OptionUniverseSelectionModel.cs.

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Filter()

virtual OptionFilterUniverse QuantConnect.Algorithm.Framework.Selection.OptionUniverseSelectionModel.Filter ( OptionFilterUniverse  filter )

protectedvirtual

Defines the option chain universe filter

Definition at line 97 of file OptionUniverseSelectionModel.cs.

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

• Algorithm.Framework/Selection/OptionUniverseSelectionModel.cs