FundamentalUniverse

QuantConnect.Data.Fundamental.FundamentalUniverse

FundamentalUniverse()

FundamentalUniverse(
    time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract],
)

Bases: BaseDataCollection

Lean fundamentals universe data class

Creates a new instance

Parameters:

Name	Type	Description	Default
time	Optional[Union[datetime, date]]	The current time	None
symbol	Optional[Union[Symbol, str, BaseContract]]	The associated symbol	None

symbol

symbol: Symbol

Symbol representation for underlying Security

data_type

data_type: MarketDataType

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

time

time: datetime

Current time marker of this data packet.

end_time

end_time: datetime

Gets or sets the end time of this data

value

value: float

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

price

price: float

As this is a backtesting platform we'll provide an alias of value as price.

ALL_RESOLUTIONS

ALL_RESOLUTIONS: List[Resolution] = ...

A list of all Resolution

This codeEntityType is protected.

DAILY_RESOLUTION

DAILY_RESOLUTION: List[Resolution] = ...

A list of Resolution.DAILY

This codeEntityType is protected.

MINUTE_RESOLUTION

MINUTE_RESOLUTION: List[Resolution] = ...

A list of Resolution.MINUTE

This codeEntityType is protected.

HIGH_RESOLUTION

HIGH_RESOLUTION: List[Resolution] = ...

A list of high Resolution, including minute, second, and tick.

This codeEntityType is protected.

OPTION_RESOLUTIONS

OPTION_RESOLUTIONS: List[Resolution] = ...

A list of resolutions support by Options

This codeEntityType is protected.

is_fill_forward

is_fill_forward: bool

True if this is a fill forward piece of data

underlying

underlying: BaseData

The associated underlying price data if any

filtered_contracts

filtered_contracts: HashSet[Symbol]

Gets or sets the contracts selected by the universe

data

data: List[BaseData]

Gets the data list

usa

usa(
    selector: Any,
    universe_settings: UniverseSettings = None,
) -> FundamentalUniverseFactory

usa(
    selector: Callable[[List[Fundamental]], List[Symbol]],
    universe_settings: UniverseSettings = None,
) -> FundamentalUniverseFactory

usa(
    selector: Callable[[List[Fundamental]], Object],
    universe_settings: UniverseSettings = None,
) -> FundamentalUniverseFactory

Creates a new fundamental universe for the USA market

Parameters:

Name	Type	Description	Default
selector	Any | Callable[[List[Fundamental]], List[Symbol]] | Callable[[List[Fundamental]], Object]	The selector function	required
universe_settings	UniverseSettings	The universe settings to use, will default to algorithms if not provided	None

Returns:

Type	Description
FundamentalUniverseFactory	A configured new universe instance.

clone

clone() -> BaseData

Will clone the current instance

Returns:

Type	Description
BaseData	The cloned instance.

default_resolution

default_resolution() -> Resolution

Gets the default resolution for this data and security type

get_source

get_source(
    config: SubscriptionDataConfig,
    date: datetime,
    is_live_mode: bool,
) -> SubscriptionDataSource

Return the URL string source of the file. This will be converted to a stream

reader

reader(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
    is_live_mode: bool,
) -> BaseData

Will read a new instance from the given line

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	The associated requested configuration	required
line	str	The line to parse	required
date	datetime	The current time	required
is_live_mode	bool	True if live mode	required

Returns:

Type	Description
BaseData	A new instance or null.

universe_symbol

universe_symbol(market: str = None) -> Symbol

Creates the universe symbol for the target market

Returns:

Type	Description
Symbol	The universe symbol to use.

requires_mapping

requires_mapping() -> bool

Indicates if there is support for mapping

Returns:

Type	Description
bool	True indicates mapping should be used.

data_time_zone

data_time_zone() -> Any

Specifies the data time zone for this data type. This is useful for custom data types

Returns:

Type	Description
Any	The DateTimeZone of this data type.

deserialize_message

deserialize_message(serialized: str) -> Iterable[BaseData]

Deserialize the message from the data server

Parameters:

Name	Type	Description	Default
serialized	str	The data server's message	required

Returns:

Type	Description
Iterable[BaseData]	An enumerable of base data, if unsuccessful, returns an empty enumerable.

is_sparse_data

is_sparse_data() -> bool

Indicates that the data set is expected to be sparse

Returns:

Type	Description
bool	True if the data set represented by this type is expected to be sparse.

should_cache_to_security

should_cache_to_security() -> bool

Indicates whether this contains data that should be stored in the security cache

Returns:

Type	Description
bool	Whether this contains data that should be stored in the security cache.

supported_resolutions

supported_resolutions() -> List[Resolution]

Gets the supported resolution for this data and security type

to_string

to_string() -> str

Formats a string with the symbol and value.

Returns:

Type	Description
str	string - a string formatted as SPY: 167.753.

update

update(
    last_trade: float,
    bid_price: float,
    ask_price: float,
    volume: float,
    bid_size: float,
    ask_size: float,
) -> None

Update routine to build a bar/tick from a data update.

Parameters:

Name	Type	Description	Default
last_trade	float	The last trade price	required
bid_price	float	Current bid price	required
ask_price	float	Current asking price	required
volume	float	Volume of this trade	required
bid_size	float	The size of the current bid, if available	required
ask_size	float	The size of the current ask, if available	required

update_ask

update_ask(ask_price: float, ask_size: float) -> None

Updates this base data with the new quote ask information

Parameters:

Name	Type	Description	Default
ask_price	float	The current ask price	required
ask_size	float	The current ask size	required

update_bid

update_bid(bid_price: float, bid_size: float) -> None

Updates this base data with the new quote bid information

Parameters:

Name	Type	Description	Default
bid_price	float	The current bid price	required
bid_size	float	The current bid size	required

update_quote

update_quote(
    bid_price: float,
    bid_size: float,
    ask_price: float,
    ask_size: float,
) -> None

Updates this base data with new quote information

Parameters:

Name	Type	Description	Default
bid_price	float	The current bid price	required
bid_size	float	The current bid size	required
ask_price	float	The current ask price	required
ask_size	float	The current ask size	required

update_trade

update_trade(last_trade: float, trade_size: float) -> None

Updates this base data with a new trade

Parameters:

Name	Type	Description	Default
last_trade	float	The price of the last trade	required
trade_size	float	The quantity traded	required

__iter__

__iter__() -> Iterator[BaseData]

add

add(new_data_point: BaseData) -> None

Adds a new data point to this collection

Parameters:

Name	Type	Description	Default
new_data_point	BaseData	The new data point to add	required

add_range

add_range(new_data_points: List[BaseData]) -> None

Adds a new data points to this collection

Parameters:

Name	Type	Description	Default
new_data_points	List[BaseData]	The new data points to add	required

get_enumerator

get_enumerator() -> IEnumerator[BaseData]

Returns an IEnumerator for this enumerable Object. The enumerator provides a simple way to access all the contents of a collection.