FutureFilterUniverse

QuantConnect.Securities.FutureFilterUniverse

FutureFilterUniverse(
    all_data: List[FutureUniverse],
    local_time: Union[datetime, date],
)

Bases: ContractSecurityFilterUniverse[QuantConnect_Securities_FutureFilterUniverse, FutureUniverse]

Represents futures symbols universe used in filtering.

Constructs FutureFilterUniverse

type

type: ContractExpirationType

Expiration Types allowed through the filter Standards only by default

This codeEntityType is protected.

local_time

local_time: datetime

The local exchange current time

ContractExpirationType

Bases: IntEnum

Defines listed contract types with Flags attribute

This codeEntityType is protected.

STANDARD

STANDARD = 1

Standard contracts

WEEKLY

WEEKLY = 2

Non standard weekly contracts

create_data_instance

create_data_instance(
    symbol: Union[Symbol, str, BaseContract],
) -> FutureUniverse

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

This codeEntityType is protected.

Returns:

Type	Description
`FutureUniverse`	A data instance for the given symbol, which is just the symbol itself.

expiration_cycle

expiration_cycle(months: List[int]) -> FutureFilterUniverse

Applies filter selecting futures contracts based on expiration cycles. See FutureExpirationCycles for details

Parameters:

Name	Type	Description	Default
`months`	`List[int]`	Months to select contracts from	required

Returns:

Type	Description
`FutureFilterUniverse`	Universe with filter applied.

is_standard

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

Determine if the given Future contract symbol is standard

This codeEntityType is protected.

Returns:

Type	Description
`bool`	True if contract is standard.

contracts

contracts(
    contracts: Any,
) -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

contracts(
    contracts: List[Symbol],
) -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

contracts(
    contracts: List[
        QuantConnect_Securities_ContractSecurityFilterUniverse_TData
    ],
) -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

contracts(
    contract_selector: Callable[
        [
            List[
                QuantConnect_Securities_ContractSecurityFilterUniverse_TData
            ]
        ],
        List[Symbol],
    ],
) -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

contracts(
    contract_selector: Callable[
        [
            List[
                QuantConnect_Securities_ContractSecurityFilterUniverse_TData
            ]
        ],
        List[
            QuantConnect_Securities_ContractSecurityFilterUniverse_TData
        ],
    ],
) -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

Signature descriptions:

Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last.
Sets a function used to filter the set of available contract filters. The input to the 'contract_selector' function will be the already filtered list if any other filters have already been applied.

Parameters:

Name	Type	Description	Default
`contracts`	`Optional[Any \| List[Symbol] \| List[QuantConnect_Securities_ContractSecurityFilterUniverse_TData]]`	The option contract symbol objects to select	`None`
`contract_selector`	`Optional[Callable[[List[QuantConnect_Securities_ContractSecurityFilterUniverse_TData]], List[Symbol]] \| Callable[[List[QuantConnect_Securities_ContractSecurityFilterUniverse_TData]], List[QuantConnect_Securities_ContractSecurityFilterUniverse_TData]]]`	The option contract symbol objects to select	`None`

Returns:

Type	Description
`QuantConnect_Securities_ContractSecurityFilterUniverse_T`	Universe with filter applied.

expiration

expiration(
    min_expiry: timedelta, max_expiry: timedelta
) -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

expiration(
    min_expiry_days: int, max_expiry_days: int
) -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

Signature descriptions:

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

Parameters:

Name	Type	Description	Default
`min_expiry`	`Optional[timedelta]`	The minimum time until expiry to include, for example, TimeSpan.FromDays(10)	`None`
`max_expiry`	`Optional[timedelta]`	The maximum time until expiry to include, for example, TimeSpan.FromDays(10)	`None`
`min_expiry_days`	`Optional[int]`	The minimum time, expressed in days, until expiry to include, for example, 10	`None`
`max_expiry_days`	`Optional[int]`	The maximum time, expressed in days, until expiry to include, for example, 10	`None`

Returns:

Type	Description
`QuantConnect_Securities_ContractSecurityFilterUniverse_T`	Universe with filter applied.

iter

__iter__() -> (
    Iterator[
        QuantConnect_Securities_ContractSecurityFilterUniverse_TData
    ]
)

adjust_expiration_reference_date

adjust_expiration_reference_date(
    reference_date: Union[datetime, date],
) -> datetime

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

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
`reference_date`	`Union[datetime, date]`	The reference date to be adjusted	required

Returns:

Type	Description
`datetime`	The adjusted date.

back_month

back_month() -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

Returns first of back month contracts

Returns:

Type	Description
`QuantConnect_Securities_ContractSecurityFilterUniverse_T`	Universe with filter applied.

back_months

back_months() -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

Returns a list of back month contracts

Returns:

Type	Description
`QuantConnect_Securities_ContractSecurityFilterUniverse_T`	Universe with filter applied.

front_month

front_month() -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

Returns front month contract

Returns:

Type	Description
`QuantConnect_Securities_ContractSecurityFilterUniverse_T`	Universe with filter applied.

get_enumerator

get_enumerator() -> (
    IEnumerator[
        QuantConnect_Securities_ContractSecurityFilterUniverse_TData
    ]
)

IEnumerable interface method implementation

Returns:

Type	Description
`IEnumerator[QuantConnect_Securities_ContractSecurityFilterUniverse_TData]`	IEnumerator of Symbols in Universe.

include_weeklys

include_weeklys() -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

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

Returns:

Type	Description
`QuantConnect_Securities_ContractSecurityFilterUniverse_T`	Universe with filter applied.

only_apply_filter_at_market_open

only_apply_filter_at_market_open() -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

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

Deprecated as of 2023-12-13. Filters are always non-dynamic as of now, which means they will only bee applied daily.

Returns:

Type	Description
`QuantConnect_Securities_ContractSecurityFilterUniverse_T`	Universe with filter applied.

refresh

refresh(
    all_data: List[
        QuantConnect_Securities_ContractSecurityFilterUniverse_TData
    ],
    local_time: Union[datetime, date],
) -> None

Refreshes this filter universe

Parameters:

Name	Type	Description	Default
`all_data`	`List[QuantConnect_Securities_ContractSecurityFilterUniverse_TData]`	All data for contracts in the Universe	required
`local_time`	`Union[datetime, date]`	The local exchange current time	required

standards_only

standards_only() -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

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

Returns:

Type	Description
`QuantConnect_Securities_ContractSecurityFilterUniverse_T`	Universe with filter applied.

weeklys_only

weeklys_only() -> (
    QuantConnect_Securities_ContractSecurityFilterUniverse_T
)

Sets universe of weeklys contracts (if any) as selection

Returns:

Type	Description
`QuantConnect_Securities_ContractSecurityFilterUniverse_T`	Universe with filter applied.