GetSubscriptionRequestsUniverseDecorator

QuantConnect.Data.UniverseSelection.GetSubscriptionRequestsUniverseDecorator

GetSubscriptionRequestsUniverseDecorator(
    universe: Universe,
    get_requests: Callable[
        [Security, datetime, datetime],
        List[SubscriptionRequest],
    ],
)

Bases: UniverseDecorator

Provides a universe decoration that replaces the implementation of get_subscription_requests

Initializes a new instance of the GetSubscriptionRequestsUniverseDecorator class

Parameters:

Name	Type	Description	Default
universe	Universe	The universe to be decorated	required
get_requests	Callable[[Security, datetime, datetime], List[SubscriptionRequest]]		required

UNCHANGED

UNCHANGED: UnchangedUniverse = ...

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

securities

securities: ConcurrentDictionary[Symbol, Member]

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

selected

selected: HashSet[Symbol]

The currently selected symbol set

asynchronous

asynchronous: bool

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

selection_changed

selection_changed: _EventContainer[
    Callable[[Object, EventArgs], Any], Any
]

Event fired when the universe selection has changed

security_type

security_type: SecurityType

Gets the security type of this universe

market

market: str

Gets the market of this universe

symbol

symbol: Symbol

Gets the symbol of this universe

data_type

data_type: Type

Gets the data type of this universe

dispose_requested

dispose_requested: bool

Flag indicating if disposal of this universe has been requested

universe_settings

universe_settings: UniverseSettings

Gets the settings used for subscriptions added for this universe

configuration

configuration: SubscriptionDataConfig

Gets the configuration used to get universe data

members

members: Dictionary[Symbol, Security]

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

universe

universe: Universe

The decorated universe instance

This codeEntityType is protected.

UnchangedUniverse

Bases: Object, Iterable[str]

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.select_symbols

INSTANCE

INSTANCE: UnchangedUniverse = ...

Read-only instance of the UnchangedUniverse value

__iter__

__iter__() -> Iterator[Symbol]

Member

Member(
    added: Union[datetime, date],
    security: Security,
    is_internal: bool,
)

Bases: Object

Member of the Universe

Initialize a new member for the universe

Parameters:

Name	Type	Description	Default
added	Union[datetime, date]	DateTime added	required
security	Security	Security to add	required
is_internal	bool	True if internal member	required

added

added: datetime

DateTime when added

security

security: Security

The security that was added

is_internal

is_internal: bool

True if the security was added as internal by this universe

SelectionEventArgs

SelectionEventArgs(current_selection: HashSet[Symbol])

Bases: EventArgs

Event fired when the universe selection changes

Creates a new instance

current_selection

current_selection: HashSet[Symbol]

The current universe selection

get_subscription_requests

get_subscription_requests(
    security: Security,
    current_time_utc: Union[datetime, date],
    maximum_end_time_utc: Union[datetime, date],
) -> Iterable[SubscriptionRequest]

Gets the subscription requests to be added for the specified security

Parameters:

Name	Type	Description	Default
security	Security	The security to get subscriptions for	required
current_time_utc	Union[datetime, date]	The current time in utc. This is the frontier time of the algorithm	required
maximum_end_time_utc	Union[datetime, date]	The max end time	required

Returns:

Type	Description
Iterable[SubscriptionRequest]	All subscriptions required by this security.

get_subscription_requests_delegate

get_subscription_requests_delegate(
    security: Security,
    current_time_utc: Union[datetime, date],
    maximum_end_time_utc: Union[datetime, date],
) -> Iterable[SubscriptionRequest]

Delegate type for the get_subscription_requests method

Parameters:

Name	Type	Description	Default
security	Security	The security to get subscription requests for	required
current_time_utc	Union[datetime, date]	The current utc frontier time	required
maximum_end_time_utc	Union[datetime, date]		required

Returns:

Type	Description
Iterable[SubscriptionRequest]	The subscription requests for the security to be given to the data feed.

can_remove_member

can_remove_member(
    utc_time: Union[datetime, date], security: Security
) -> bool

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:

Name	Type	Description	Default
utc_time	Union[datetime, date]	The current utc time	required
security	Security	The security to check if its ok to remove	required

Returns:

Type	Description
bool	True if we can remove the security, false otherwise.

contains_member

contains_member(
    symbol: Union[Symbol, str, BaseContract],
) -> bool

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

Parameters:

Name	Type	Description	Default
symbol	Union[Symbol, str, BaseContract]	The symbol whose membership is to be checked	required

Returns:

Type	Description
bool	True if the specified symbol is part of this universe, false otherwise.

create_security

create_security(
    symbol: Union[Symbol, str, BaseContract],
    algorithm: IAlgorithm,
    market_hours_database: MarketHoursDatabase,
    symbol_properties_database: SymbolPropertiesDatabase,
) -> Security

Creates and configures a security for the specified symbol

CreateSecurity is obsolete and will not be called. The system will create the required Securities based on selected symbols

Parameters:

Name	Type	Description	Default
symbol	Union[Symbol, str, BaseContract]	The symbol of the security to be created	required
algorithm	IAlgorithm	The algorithm instance	required
market_hours_database	MarketHoursDatabase	The market hours database	required
symbol_properties_database	SymbolPropertiesDatabase	The symbol properties database	required

Returns:

Type	Description
Security	The newly initialized security object.

dispose

dispose() -> None

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

on_selection_changed

on_selection_changed(
    selection: HashSet[Symbol] = None,
) -> None

Event invocator for the selection_changed event

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
selection	HashSet[Symbol]	The current universe selection	None

perform_selection

perform_selection(
    utc_time: Union[datetime, date],
    data: BaseDataCollection,
) -> Iterable[Symbol]

Performs universe selection using the data specified

Parameters:

Name	Type	Description	Default
utc_time	Union[datetime, date]	The current utc time	required
data	BaseDataCollection	The symbols to remain in the universe	required

Returns:

Type	Description
Iterable[Symbol]	The data that passes the filter.

select_symbols

select_symbols(
    utc_time: Union[datetime, date],
    data: BaseDataCollection,
) -> Iterable[Symbol]

Performs universe selection using the data specified

Parameters:

Name	Type	Description	Default
utc_time	Union[datetime, date]	The current utc time	required
data	BaseDataCollection	The symbols to remain in the universe	required

Returns:

Type	Description
Iterable[Symbol]	The data that passes the filter.