Provides a base class for all universes to derive from. More...

Inheritance diagram for QuantConnect.Data.UniverseSelection.Universe:

Classes
class	Member
	Member of the Universe More...

class	SelectionEventArgs
	Event fired when the universe selection changes More...

class	UnchangedUniverse
	Provides a value to indicate that no changes should be made to the universe. This value is intended to be returned by reference via Universe.SelectSymbols More...

Public Member Functions
virtual bool	CanRemoveMember (DateTime utcTime, Security security)
	Determines whether or not the specified security can be removed from this universe. This is useful to prevent securities from being taken out of a universe before the algorithm has had enough time to make decisions on the security More...

IEnumerable< Symbol >	PerformSelection (DateTime utcTime, BaseDataCollection data)
	Performs universe selection using the data specified More...

abstract IEnumerable< Symbol >	SelectSymbols (DateTime utcTime, BaseDataCollection data)
	Performs universe selection using the data specified More...

virtual Security	CreateSecurity (Symbol symbol, IAlgorithm algorithm, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase)
	Creates and configures a security for the specified symbol More...

virtual IEnumerable< SubscriptionRequest >	GetSubscriptionRequests (Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc)
	Gets the subscription requests to be added for the specified security More...

virtual IEnumerable< SubscriptionRequest >	GetSubscriptionRequests (Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc, ISubscriptionDataConfigService subscriptionService)
	Gets the subscription requests to be added for the specified security More...

bool	ContainsMember (Symbol symbol)
	Determines whether or not the specified symbol is currently a member of this universe More...

virtual void	Dispose ()
	Marks this universe as disposed and ready to remove all child subscriptions More...

Public Attributes
SecurityType	SecurityType => Configuration.SecurityType
	Gets the security type of this universe More...

string	Market => Configuration.Market
	Gets the market of this universe More...

Symbol	Symbol => Configuration.Symbol
	Gets the symbol of this universe More...

Type	DataType => Configuration.Type
	Gets the data type of this universe More...

Static Public Attributes
static readonly UnchangedUniverse	Unchanged = UnchangedUniverse.Instance
	Gets a value indicating that no change to the universe should be made More...

Protected Member Functions
	Universe (SubscriptionDataConfig config)
	Initializes a new instance of the Universe class More...

void	OnSelectionChanged (HashSet< Symbol > selection=null)
	Event invocator for the SelectionChanged event More...

Properties
virtual ConcurrentDictionary< Symbol, Member >	Securities `[get]`
	Gets the internal security collection used to define membership in this universe More...

HashSet< Symbol >	Selected `[get, set]`
	The currently selected symbol set More...

virtual bool	Asynchronous `[get, set]`
	True if this universe filter can run async in the data stack More...

virtual bool	DisposeRequested `[get, protected set]`
	Flag indicating if disposal of this universe has been requested More...

virtual UniverseSettings	UniverseSettings `[get, set]`
	Gets the settings used for subscriptions added for this universe More...

virtual SubscriptionDataConfig	Configuration `[get]`
	Gets the configuration used to get universe data More...

Dictionary< Symbol, Security >	Members `[get]`
	Gets the current listing of members in this universe. Modifications to this dictionary do not change universe membership. More...

Events
EventHandler	SelectionChanged
	Event fired when the universe selection has changed More...

Detailed Description

Provides a base class for all universes to derive from.

Definition at line 30 of file Universe.cs.

Constructor & Destructor Documentation

◆ Universe()

QuantConnect.Data.UniverseSelection.Universe.Universe ( SubscriptionDataConfig config )

protected

Initializes a new instance of the Universe class

Parameters

config The configuration used to source data for this universe

Definition at line 146 of file Universe.cs.

Here is the caller graph for this function:

Member Function Documentation

◆ CanRemoveMember()

virtual bool QuantConnect.Data.UniverseSelection.Universe.CanRemoveMember	(	DateTime	utcTime,
		Security	security
	)

virtual

Determines whether or not the specified security can be removed from this universe. This is useful to prevent securities from being taken out of a universe before the algorithm has had enough time to make decisions on the security

Parameters

utcTime	The current utc time
security	The security to check if its ok to remove

Returns: True if we can remove the security, false otherwise

Reimplemented in QuantConnect.Data.UniverseSelection.UniverseDecorator.

Definition at line 163 of file Universe.cs.

Here is the caller graph for this function:

◆ PerformSelection()

IEnumerable<Symbol> QuantConnect.Data.UniverseSelection.Universe.PerformSelection	(	DateTime	utcTime,
		BaseDataCollection	data
	)

Performs universe selection using the data specified

Parameters

utcTime	The current utc time
data	The symbols to remain in the universe

Returns: The data that passes the filter

Definition at line 203 of file Universe.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ SelectSymbols()

abstract IEnumerable<Symbol> QuantConnect.Data.UniverseSelection.Universe.SelectSymbols	(	DateTime	utcTime,
		BaseDataCollection	data
	)

pure virtual

Performs universe selection using the data specified

Parameters

utcTime	The current utc time
data	The symbols to remain in the universe

Returns: The data that passes the filter

Here is the caller graph for this function:

◆ CreateSecurity()

virtual Security QuantConnect.Data.UniverseSelection.Universe.CreateSecurity	(	Symbol	symbol,
		IAlgorithm	algorithm,
		MarketHoursDatabase	marketHoursDatabase,
		SymbolPropertiesDatabase	symbolPropertiesDatabase
	)

virtual

Creates and configures a security for the specified symbol

Parameters

symbol	The symbol of the security to be created
algorithm	The algorithm instance
marketHoursDatabase	The market hours database
symbolPropertiesDatabase	The symbol properties database

Returns: The newly initialized security object

<obsolete>The CreateSecurity won't be called</obsolete>

Reimplemented in QuantConnect.Data.UniverseSelection.UniverseDecorator.

Definition at line 256 of file Universe.cs.

Here is the caller graph for this function:

◆ GetSubscriptionRequests() [1/2]

virtual IEnumerable<SubscriptionRequest> QuantConnect.Data.UniverseSelection.Universe.GetSubscriptionRequests	(	Security	security,
		DateTime	currentTimeUtc,
		DateTime	maximumEndTimeUtc
	)

virtual

Gets the subscription requests to be added for the specified security

Parameters

security	The security to get subscriptions for
currentTimeUtc	The current time in utc. This is the frontier time of the algorithm
maximumEndTimeUtc	The max end time

Returns: All subscriptions required by this security

Reimplemented in QuantConnect.Data.UniverseSelection.UniverseDecorator, and QuantConnect.Data.UniverseSelection.GetSubscriptionRequestsUniverseDecorator.

Definition at line 270 of file Universe.cs.

Here is the caller graph for this function:

◆ GetSubscriptionRequests() [2/2]

virtual IEnumerable<SubscriptionRequest> QuantConnect.Data.UniverseSelection.Universe.GetSubscriptionRequests	(	Security	security,
		DateTime	currentTimeUtc,
		DateTime	maximumEndTimeUtc,
		ISubscriptionDataConfigService	subscriptionService
	)

virtual

Gets the subscription requests to be added for the specified security

Parameters

security	The security to get subscriptions for
currentTimeUtc	The current time in utc. This is the frontier time of the algorithm
maximumEndTimeUtc	The max end time
subscriptionService	Instance which implements ISubscriptionDataConfigService interface

Returns: All subscriptions required by this security

Reimplemented in QuantConnect.Data.UniverseSelection.UserDefinedUniverse, QuantConnect.Data.UniverseSelection.OptionChainUniverse, QuantConnect.Data.UniverseSelection.UniversePythonWrapper, QuantConnect.Data.UniverseSelection.FuturesChainUniverse, QuantConnect.Data.UniverseSelection.ContinuousContractUniverse, QuantConnect.Data.UniverseSelection.UniverseDecorator, QuantConnect.Algorithm.Framework.Selection.ManualUniverse, and QuantConnect.Algorithm.Framework.Selection.CustomUniverse.

Definition at line 285 of file Universe.cs.

Here is the call graph for this function:

◆ ContainsMember()

bool QuantConnect.Data.UniverseSelection.Universe.ContainsMember ( Symbol symbol )

Determines whether or not the specified symbol is currently a member of this universe

Parameters

symbol The symbol whose membership is to be checked

Returns: True if the specified symbol is part of this universe, false otherwise

Definition at line 311 of file Universe.cs.

Here is the caller graph for this function:

◆ Dispose()

virtual void QuantConnect.Data.UniverseSelection.Universe.Dispose ( )

virtual

Marks this universe as disposed and ready to remove all child subscriptions

Definition at line 362 of file Universe.cs.

Here is the caller graph for this function:

◆ OnSelectionChanged()

void QuantConnect.Data.UniverseSelection.Universe.OnSelectionChanged ( HashSet< Symbol > selection = null )

protected

Event invocator for the SelectionChanged event

Parameters

selection The current universe selection

Definition at line 371 of file Universe.cs.

Here is the caller graph for this function:

Member Data Documentation

◆ Unchanged

readonly UnchangedUniverse QuantConnect.Data.UniverseSelection.Universe.Unchanged = UnchangedUniverse.Instance

static

Gets a value indicating that no change to the universe should be made

Definition at line 41 of file Universe.cs.

◆ SecurityType

SecurityType QuantConnect.Data.UniverseSelection.Universe.SecurityType => Configuration.SecurityType

Gets the security type of this universe

Definition at line 91 of file Universe.cs.

◆ Market

string QuantConnect.Data.UniverseSelection.Universe.Market => Configuration.Market

Gets the market of this universe

Definition at line 96 of file Universe.cs.

◆ Symbol

Symbol QuantConnect.Data.UniverseSelection.Universe.Symbol => Configuration.Symbol

Gets the symbol of this universe

Definition at line 101 of file Universe.cs.

◆ DataType

Type QuantConnect.Data.UniverseSelection.Universe.DataType => Configuration.Type

Gets the data type of this universe

Definition at line 106 of file Universe.cs.

Property Documentation

◆ Securities

virtual ConcurrentDictionary<Symbol, Member> QuantConnect.Data.UniverseSelection.Universe.Securities

get

Gets the internal security collection used to define membership in this universe

Definition at line 49 of file Universe.cs.

◆ Selected

HashSet<Symbol> QuantConnect.Data.UniverseSelection.Universe.Selected

getset

The currently selected symbol set

This set might be different than Securities which might hold members that are no longer selected but have not been removed yet, this can be because they have some open position, orders, haven't completed the minimum time in universe

Definition at line 60 of file Universe.cs.

◆ Asynchronous

virtual bool QuantConnect.Data.UniverseSelection.Universe.Asynchronous

getset

True if this universe filter can run async in the data stack

Definition at line 68 of file Universe.cs.

◆ DisposeRequested

virtual bool QuantConnect.Data.UniverseSelection.Universe.DisposeRequested

getprotected set

Flag indicating if disposal of this universe has been requested

Definition at line 112 of file Universe.cs.

◆ UniverseSettings

virtual UniverseSettings QuantConnect.Data.UniverseSelection.Universe.UniverseSettings

getset

Gets the settings used for subscriptions added for this universe

Definition at line 121 of file Universe.cs.

◆ Configuration

virtual SubscriptionDataConfig QuantConnect.Data.UniverseSelection.Universe.Configuration

get

Gets the configuration used to get universe data

Definition at line 129 of file Universe.cs.

◆ Members

Dictionary<Symbol, Security> QuantConnect.Data.UniverseSelection.Universe.Members

get

Gets the current listing of members in this universe. Modifications to this dictionary do not change universe membership.

Definition at line 138 of file Universe.cs.

Event Documentation

◆ SelectionChanged

EventHandler QuantConnect.Data.UniverseSelection.Universe.SelectionChanged

Event fired when the universe selection has changed

Definition at line 86 of file Universe.cs.

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

Common/Data/UniverseSelection/Universe.cs

Classes

Public Member Functions

Public Attributes

Static Public Attributes

Protected Member Functions

Properties

Events

Detailed Description

Constructor & Destructor Documentation

◆ Universe()

Member Function Documentation

◆ CanRemoveMember()

◆ PerformSelection()

◆ SelectSymbols()

◆ CreateSecurity()

◆ GetSubscriptionRequests() [1/2]

◆ GetSubscriptionRequests() [2/2]

◆ ContainsMember()

◆ Dispose()

◆ OnSelectionChanged()

Member Data Documentation

◆ Unchanged

◆ SecurityType

◆ Market

◆ Symbol

◆ DataType

Property Documentation

◆ Securities

◆ Selected

◆ Asynchronous

◆ DisposeRequested

◆ UniverseSettings

◆ Configuration

◆ Members

Event Documentation

◆ SelectionChanged