Base class for contract symbols filtering universes. Used by OptionFilterUniverse and FutureFilterUniverse More...

Inheritance diagram for QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >:

Public Member Functions
virtual void	Refresh (IEnumerable< TData > allData, DateTime localTime)
	Refreshes this filter universe More...

T	StandardsOnly ()
	Sets universe of standard contracts (if any) as selection Contracts by default are standards; only needed to switch back if changed More...

T	IncludeWeeklys ()
	Includes universe of non-standard weeklys contracts (if any) into selection More...

T	WeeklysOnly ()
	Sets universe of weeklys contracts (if any) as selection More...

virtual T	FrontMonth ()
	Returns front month contract More...

virtual T	BackMonths ()
	Returns a list of back month contracts More...

T	BackMonth ()
	Returns first of back month contracts More...

virtual T	Expiration (TimeSpan minExpiry, TimeSpan maxExpiry)
	Applies filter selecting options contracts based on a range of expiration dates relative to the current day More...

T	Expiration (int minExpiryDays, int maxExpiryDays)
	Applies filter selecting contracts based on a range of expiration dates relative to the current day More...

T	Contracts (PyObject contracts)
	Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last. More...

T	Contracts (IEnumerable< Symbol > contracts)
	Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last. More...

T	Contracts (IEnumerable< TData > contracts)
	Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last. More...

T	Contracts (Func< IEnumerable< TData >, IEnumerable< Symbol >> contractSelector)
	Sets a function used to filter the set of available contract filters. The input to the 'contractSelector' function will be the already filtered list if any other filters have already been applied. More...

T	Contracts (Func< IEnumerable< TData >, IEnumerable< TData >> contractSelector)
	Sets a function used to filter the set of available contract filters. The input to the 'contractSelector' function will be the already filtered list if any other filters have already been applied. More...

T	OnlyApplyFilterAtMarketOpen ()
	Instructs the engine to only filter contracts on the first time step of each market day. More...

IEnumerator< TData >	GetEnumerator ()
	IEnumerable interface method implementation More...

Protected Member Functions
	ContractSecurityFilterUniverse ()
	Constructs ContractSecurityFilterUniverse More...

	ContractSecurityFilterUniverse (IEnumerable< TData > allData, DateTime localTime)
	Constructs ContractSecurityFilterUniverse More...

abstract bool	IsStandard (Symbol symbol)
	Function to determine if the given symbol is a standard contract More...

abstract TData	CreateDataInstance (Symbol symbol)
	Creates a new instance of the data type for the given symbol More...

virtual DateTime	AdjustExpirationReferenceDate (DateTime referenceDate)
	Adjust the reference date used for expiration filtering. By default it just returns the same date. More...

Properties
ContractExpirationType	Type = ContractExpirationType.Standard `[get, set]`
	Expiration Types allowed through the filter Standards only by default More...

DateTime	LocalTime `[get]`
	The local exchange current time More...

Detailed Description

Base class for contract symbols filtering universes. Used by OptionFilterUniverse and FutureFilterUniverse

Type Constraints

T	:	ContractSecurityFilterUniverse
T	:	T
T	:	TData
TData	:	IChainUniverseData

Definition at line 29 of file ContractSecurityFilterUniverse.cs.

Constructor & Destructor Documentation

◆ ContractSecurityFilterUniverse() [1/2]

QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.ContractSecurityFilterUniverse ( )

protected

Constructs ContractSecurityFilterUniverse

Definition at line 108 of file ContractSecurityFilterUniverse.cs.

◆ ContractSecurityFilterUniverse() [2/2]

QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.ContractSecurityFilterUniverse	(	IEnumerable< TData >	allData,
		DateTime	localTime
	)

protected

Constructs ContractSecurityFilterUniverse

Definition at line 115 of file ContractSecurityFilterUniverse.cs.

Member Function Documentation

◆ IsStandard()

abstract bool QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.IsStandard ( Symbol symbol )

protectedpure virtual

Function to determine if the given symbol is a standard contract

Returns: True if standard type

Implemented in QuantConnect.Securities.OptionFilterUniverse, and QuantConnect.Securities.FutureFilterUniverse.

◆ CreateDataInstance()

abstract TData QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.CreateDataInstance ( Symbol symbol )

protectedpure virtual

Creates a new instance of the data type for the given symbol

Returns: A data instance for the given symbol

Implemented in QuantConnect.Securities.OptionFilterUniverse, and QuantConnect.Securities.FutureFilterUniverse.

◆ Refresh()

virtual void QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.Refresh	(	IEnumerable< TData >	allData,
		DateTime	localTime
	)

virtual

Refreshes this filter universe

Parameters

allData	All data for contracts in the Universe
localTime	The local exchange current time

Definition at line 185 of file ContractSecurityFilterUniverse.cs.

◆ StandardsOnly()

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.StandardsOnly ( )

Sets universe of standard contracts (if any) as selection Contracts by default are standards; only needed to switch back if changed

Returns: Universe with filter applied

Definition at line 198 of file ContractSecurityFilterUniverse.cs.

◆ IncludeWeeklys()

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.IncludeWeeklys ( )

Includes universe of non-standard weeklys contracts (if any) into selection

Returns: Universe with filter applied

Definition at line 214 of file ContractSecurityFilterUniverse.cs.

◆ WeeklysOnly()

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.WeeklysOnly ( )

Sets universe of weeklys contracts (if any) as selection

Returns: Universe with filter applied

Definition at line 230 of file ContractSecurityFilterUniverse.cs.

◆ FrontMonth()

virtual T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.FrontMonth ( )

virtual

Returns front month contract

Returns: Universe with filter applied

Definition at line 240 of file ContractSecurityFilterUniverse.cs.

◆ BackMonths()

virtual T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.BackMonths ( )

virtual

Returns a list of back month contracts

Returns: Universe with filter applied

Definition at line 255 of file ContractSecurityFilterUniverse.cs.

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◆ BackMonth()

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.BackMonth ( )

Returns first of back month contracts

Returns: Universe with filter applied

Definition at line 270 of file ContractSecurityFilterUniverse.cs.

◆ AdjustExpirationReferenceDate()

virtual DateTime QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.AdjustExpirationReferenceDate ( DateTime referenceDate )

protectedvirtual

Adjust the reference date used for expiration filtering. By default it just returns the same date.

Parameters

referenceDate The reference date to be adjusted

Returns: The adjusted date

Reimplemented in QuantConnect.Securities.OptionFilterUniverse.

Definition at line 280 of file ContractSecurityFilterUniverse.cs.

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◆ Expiration() [1/2]

virtual T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.Expiration	(	TimeSpan	minExpiry,
		TimeSpan	maxExpiry
	)

virtual

Applies filter selecting options contracts based on a range of expiration dates relative to the current day

Parameters

minExpiry	The minimum time until expiry to include, for example, TimeSpan.FromDays(10) would exclude contracts expiring in less than 10 days
maxExpiry	The maximum time until expiry to include, for example, TimeSpan.FromDays(10) would exclude contracts expiring in more than 10 days

Returns: Universe with filter applied

Definition at line 293 of file ContractSecurityFilterUniverse.cs.

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◆ Expiration() [2/2]

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.Expiration	(	int	minExpiryDays,
		int	maxExpiryDays
	)

Applies filter selecting contracts based on a range of expiration dates relative to the current day

Parameters

minExpiryDays	The minimum time, expressed in days, until expiry to include, for example, 10 would exclude contracts expiring in less than 10 days
maxExpiryDays	The maximum time, expressed in days, until expiry to include, for example, 10 would exclude contracts expiring in more than 10 days

Returns: Universe with filter applied

Definition at line 322 of file ContractSecurityFilterUniverse.cs.

◆ Contracts() [1/5]

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.Contracts ( PyObject contracts )

Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last.

Parameters

contracts The option contract symbol objects to select

Returns: Universe with filter applied

Definition at line 333 of file ContractSecurityFilterUniverse.cs.

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◆ Contracts() [2/5]

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.Contracts ( IEnumerable< Symbol > contracts )

Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last.

Parameters

contracts The option contract symbol objects to select

Returns: Universe with filter applied

Definition at line 351 of file ContractSecurityFilterUniverse.cs.

◆ Contracts() [3/5]

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.Contracts ( IEnumerable< TData > contracts )

Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last.

Parameters

contracts The option contract symbol objects to select

Returns: Universe with filter applied

Definition at line 363 of file ContractSecurityFilterUniverse.cs.

◆ Contracts() [4/5]

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.Contracts ( Func< IEnumerable< TData >, IEnumerable< Symbol >> contractSelector )

Sets a function used to filter the set of available contract filters. The input to the 'contractSelector' function will be the already filtered list if any other filters have already been applied.

Parameters

contractSelector The option contract symbol objects to select

Returns: Universe with filter applied

Definition at line 375 of file ContractSecurityFilterUniverse.cs.

◆ Contracts() [5/5]

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.Contracts ( Func< IEnumerable< TData >, IEnumerable< TData >> contractSelector )

Sets a function used to filter the set of available contract filters. The input to the 'contractSelector' function will be the already filtered list if any other filters have already been applied.

Parameters

contractSelector The option contract symbol objects to select

Returns: Universe with filter applied

Definition at line 388 of file ContractSecurityFilterUniverse.cs.

◆ OnlyApplyFilterAtMarketOpen()

T QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.OnlyApplyFilterAtMarketOpen ( )

Instructs the engine to only filter contracts on the first time step of each market day.

Returns: Universe with filter applied

Deprecated since filters are always non-dynamic now

Definition at line 401 of file ContractSecurityFilterUniverse.cs.

◆ GetEnumerator()

IEnumerator<TData> QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.GetEnumerator ( )

IEnumerable interface method implementation

Returns: IEnumerator of Symbols in Universe

Definition at line 410 of file ContractSecurityFilterUniverse.cs.

Property Documentation

◆ Type

ContractExpirationType QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.Type = ContractExpirationType.Standard

getsetprotected

Expiration Types allowed through the filter Standards only by default

Definition at line 58 of file ContractSecurityFilterUniverse.cs.

◆ LocalTime

DateTime QuantConnect.Securities.ContractSecurityFilterUniverse< T, TData >.LocalTime

get

The local exchange current time

Definition at line 63 of file ContractSecurityFilterUniverse.cs.

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

Common/Securities/ContractSecurityFilterUniverse.cs

Public Member Functions

Protected Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ ContractSecurityFilterUniverse() [1/2]

◆ ContractSecurityFilterUniverse() [2/2]

Member Function Documentation

◆ IsStandard()

◆ CreateDataInstance()

◆ Refresh()

◆ StandardsOnly()

◆ IncludeWeeklys()

◆ WeeklysOnly()

◆ FrontMonth()

◆ BackMonths()

◆ BackMonth()

◆ AdjustExpirationReferenceDate()

◆ Expiration() [1/2]

◆ Expiration() [2/2]

◆ Contracts() [1/5]

◆ Contracts() [2/5]

◆ Contracts() [3/5]

◆ Contracts() [4/5]

◆ Contracts() [5/5]

◆ OnlyApplyFilterAtMarketOpen()

◆ GetEnumerator()

Property Documentation

◆ Type

◆ LocalTime