Lean
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Represents futures symbols universe used in filtering. More...
Public Member Functions | |
FutureFilterUniverse (IEnumerable< Symbol > allSymbols, DateTime localTime) | |
Constructs FutureFilterUniverse More... | |
FutureFilterUniverse | ExpirationCycle (int[] months) |
Applies filter selecting futures contracts based on expiration cycles. See FutureExpirationCycles for details More... | |
Public Member Functions inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse > | |
virtual void | Refresh (IEnumerable< Symbol > allSymbols, 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 (Func< IEnumerable< Symbol >, 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 | OnlyApplyFilterAtMarketOpen () |
Instructs the engine to only filter contracts on the first time step of each market day. More... | |
IEnumerator< Symbol > | GetEnumerator () |
IEnumerable interface method implementation More... | |
Protected Member Functions | |
override bool | IsStandard (Symbol symbol) |
Determine if the given Future contract symbol is standard More... | |
Protected Member Functions inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse > | |
ContractSecurityFilterUniverse () | |
Constructs ContractSecurityFilterUniverse More... | |
ContractSecurityFilterUniverse (IEnumerable< Symbol > allSymbols, DateTime localTime) | |
Constructs ContractSecurityFilterUniverse More... | |
Additional Inherited Members | |
Protected Attributes inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse > | |
ContractExpirationType | Type |
Expiration Types allowed through the filter Standards only by default More... | |
Properties inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse > | |
DateTime | LocalTime [get] |
The local exchange current time More... | |
Represents futures symbols universe used in filtering.
Definition at line 29 of file FutureFilterUniverse.cs.
QuantConnect.Securities.FutureFilterUniverse.FutureFilterUniverse | ( | IEnumerable< Symbol > | allSymbols, |
DateTime | localTime | ||
) |
Constructs FutureFilterUniverse
Definition at line 34 of file FutureFilterUniverse.cs.
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protectedvirtual |
Determine if the given Future contract symbol is standard
Implements QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse >.
Definition at line 43 of file FutureFilterUniverse.cs.
FutureFilterUniverse QuantConnect.Securities.FutureFilterUniverse.ExpirationCycle | ( | int[] | months | ) |
Applies filter selecting futures contracts based on expiration cycles. See FutureExpirationCycles for details
months | Months to select contracts from |
Definition at line 53 of file FutureFilterUniverse.cs.