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...

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...

SecurityType	SecurityType `[get]`
	Gets the security type of this universe More...

string	Market `[get]`
	Gets the market of this universe More...

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

abstract UniverseSettings	UniverseSettings `[get]`
	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 113 of file Universe.cs.

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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 130 of file Universe.cs.

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◆ 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 177 of file Universe.cs.

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◆ 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

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◆ 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 224 of file Universe.cs.

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◆ 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 238 of file Universe.cs.

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◆ 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.ContinuousContractUniverse, QuantConnect.Data.UniverseSelection.FuturesChainUniverse, QuantConnect.Data.UniverseSelection.UniverseDecorator, QuantConnect.Algorithm.Framework.Selection.ManualUniverse, and QuantConnect.Algorithm.Framework.Selection.CustomUniverse.

Definition at line 253 of file Universe.cs.

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◆ 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 279 of file Universe.cs.

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◆ Dispose()

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

virtual

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

Definition at line 330 of file Universe.cs.

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◆ 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 339 of file Universe.cs.

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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.

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.

◆ SecurityType

SecurityType QuantConnect.Data.UniverseSelection.Universe.SecurityType

get

Gets the security type of this universe

Definition at line 63 of file Universe.cs.

◆ Market

string QuantConnect.Data.UniverseSelection.Universe.Market

get

Gets the market of this universe

Definition at line 71 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 79 of file Universe.cs.

◆ UniverseSettings

abstract UniverseSettings QuantConnect.Data.UniverseSelection.Universe.UniverseSettings

get

Gets the settings used for subscriptions added for this universe

Definition at line 88 of file Universe.cs.

◆ Configuration

virtual SubscriptionDataConfig QuantConnect.Data.UniverseSelection.Universe.Configuration

get

Gets the configuration used to get universe data

Definition at line 96 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 105 of file Universe.cs.

Event Documentation

◆ SelectionChanged

EventHandler QuantConnect.Data.UniverseSelection.Universe.SelectionChanged

Event fired when the universe selection has changed

Definition at line 57 of file Universe.cs.

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

Common/Data/UniverseSelection/Universe.cs

Classes

Public Member Functions

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

Property Documentation

◆ Securities

◆ SecurityType

◆ Market

◆ DisposeRequested

◆ UniverseSettings

◆ Configuration

◆ Members

Event Documentation

◆ SelectionChanged