QuantConnect.Algorithm.Selection.OptionChainedUniverseSelectionModel Class Reference

This universe selection model will chain to the security changes of a given Universe selection output and create a new OptionChainUniverse for each of them More...

Inheritance diagram for QuantConnect.Algorithm.Selection.OptionChainedUniverseSelectionModel:

Public Member Functions
override DateTime	GetNextRefreshTimeUtc ()
	Gets the next time the framework should invoke the CreateUniverses method to refresh the set of universes. More...
	OptionChainedUniverseSelectionModel (Universe universe, Func< OptionFilterUniverse, OptionFilterUniverse > optionFilter, UniverseSettings universeSettings=null)
	Creates a new instance of OptionChainedUniverseSelectionModel More...
	OptionChainedUniverseSelectionModel (Universe universe, PyObject optionFilter, UniverseSettings universeSettings=null)
	Creates a new instance of OptionChainedUniverseSelectionModel More...
override IEnumerable< Universe >	CreateUniverses (QCAlgorithm algorithm)
	Creates the universes for this algorithm. Called once after IAlgorithm.Initialize More...

Detailed Description

This universe selection model will chain to the security changes of a given Universe selection output and create a new OptionChainUniverse for each of them

Definition at line 32 of file OptionChainedUniverseSelectionModel.cs.

Constructor & Destructor Documentation

OptionChainedUniverseSelectionModel() [1/2]

QuantConnect.Algorithm.Selection.OptionChainedUniverseSelectionModel.OptionChainedUniverseSelectionModel	(	Universe	universe,
		Func< OptionFilterUniverse, OptionFilterUniverse >	optionFilter,
		UniverseSettings	universeSettings = null
	)

Creates a new instance of OptionChainedUniverseSelectionModel

Parameters

universe	The universe we want to chain to
optionFilter	The option filter universe to use
universeSettings	Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed

Definition at line 50 of file OptionChainedUniverseSelectionModel.cs.

Here is the call graph for this function:

OptionChainedUniverseSelectionModel() [2/2]

QuantConnect.Algorithm.Selection.OptionChainedUniverseSelectionModel.OptionChainedUniverseSelectionModel	(	Universe	universe,
		PyObject	optionFilter,
		UniverseSettings	universeSettings = null
	)

Creates a new instance of OptionChainedUniverseSelectionModel

Parameters

universe	The universe we want to chain to
optionFilter	The python option filter universe to use
universeSettings	Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed

Definition at line 85 of file OptionChainedUniverseSelectionModel.cs.

Member Function Documentation

GetNextRefreshTimeUtc()

override DateTime QuantConnect.Algorithm.Selection.OptionChainedUniverseSelectionModel.GetNextRefreshTimeUtc ( )

virtual

Gets the next time the framework should invoke the CreateUniverses method to refresh the set of universes.

Reimplemented from QuantConnect.Algorithm.Framework.Selection.UniverseSelectionModel.

CreateUniverses()

override IEnumerable<Universe> QuantConnect.Algorithm.Selection.OptionChainedUniverseSelectionModel.CreateUniverses ( QCAlgorithm  algorithm )

virtual

Creates the universes for this algorithm. Called once after IAlgorithm.Initialize

Parameters

algorithm

The algorithm instance to create universes for

Returns

The universes to be used by the algorithm

Reimplemented from QuantConnect.Algorithm.Framework.Selection.UniverseSelectionModel.

Definition at line 96 of file OptionChainedUniverseSelectionModel.cs.

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

• Algorithm/Selection/OptionChainedUniverseSelectionModel.cs