Continuous contract universe selection that based on the requested mapping mode will select each symbol More...

Inheritance diagram for QuantConnect.Data.UniverseSelection.ContinuousContractUniverse:

Public Member Functions
	ContinuousContractUniverse (Security security, UniverseSettings universeSettings, bool liveMode, SubscriptionDataConfig universeConfig)
	Creates a new instance More...

override IEnumerable< Symbol >	SelectSymbols (DateTime utcTime, BaseDataCollection data)
	Performs universe selection based on the symbol mapping More...

override IEnumerable< SubscriptionRequest >	GetSubscriptionRequests (Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc, ISubscriptionDataConfigService subscriptionService)
	Gets the subscription requests to be added for the specified security More...

IEnumerable< DateTime >	GetTriggerTimes (DateTime startTimeUtc, DateTime endTimeUtc, MarketHoursDatabase marketHoursDatabase)
	Each tradeable day of the future we trigger a new selection. Allows use to select the current contract More...

Public Member Functions inherited from QuantConnect.Data.UniverseSelection.Universe
virtual bool	CanRemoveMember (DateTime utcTime, Security security)
	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 More...

IEnumerable< Symbol >	PerformSelection (DateTime utcTime, BaseDataCollection data)
	Performs universe selection using the data specified More...

virtual Security	CreateSecurity (Symbol symbol, IAlgorithm algorithm, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase)
	Creates and configures a security for the specified symbol More...

virtual IEnumerable< SubscriptionRequest >	GetSubscriptionRequests (Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc)
	Gets the subscription requests to be added for the specified security More...

bool	ContainsMember (Symbol symbol)
	Determines whether or not the specified symbol is currently a member of this universe More...

virtual void	Dispose ()
	Marks this universe as disposed and ready to remove all child subscriptions More...

Static Public Member Functions
static List< SubscriptionDataConfig >	AddConfigurations (ISubscriptionDataConfigService subscriptionService, UniverseSettings universeSettings, Symbol symbol)
	Helper method to add and get the required configurations associated with a continuous universe More...

static Symbol	CreateSymbol (Symbol symbol)
	Creates a continuous universe symbol More...

Public Attributes
override bool	Asynchronous => false
	True if this universe filter can run async in the data stack TODO: see IContinuousSecurity.Mapped More...

Public Attributes inherited from QuantConnect.Data.UniverseSelection.Universe
SecurityType	SecurityType => Configuration.SecurityType
	Gets the security type of this universe More...

string	Market => Configuration.Market
	Gets the market of this universe More...

Symbol	Symbol => Configuration.Symbol
	Gets the symbol of this universe More...

Type	DataType => Configuration.Type
	Gets the data type of this universe More...

Additional Inherited Members
Static Public Attributes inherited from QuantConnect.Data.UniverseSelection.Universe
static readonly UnchangedUniverse	Unchanged = UnchangedUniverse.Instance
	Gets a value indicating that no change to the universe should be made More...

Protected Member Functions inherited from QuantConnect.Data.UniverseSelection.Universe
	Universe (SubscriptionDataConfig config)
	Initializes a new instance of the Universe class More...

void	OnSelectionChanged (HashSet< Symbol > selection=null)
	Event invocator for the SelectionChanged event More...

Properties inherited from QuantConnect.Data.UniverseSelection.Universe
virtual ConcurrentDictionary< Symbol, Member >	Securities `[get]`
	Gets the internal security collection used to define membership in this universe More...

HashSet< Symbol >	Selected `[get, set]`
	The currently selected symbol set More...

virtual bool	Asynchronous `[get, set]`
	True if this universe filter can run async in the data stack More...

virtual bool	DisposeRequested `[get, protected set]`
	Flag indicating if disposal of this universe has been requested More...

virtual UniverseSettings	UniverseSettings `[get, set]`
	Gets the settings used for subscriptions added for this universe More...

virtual SubscriptionDataConfig	Configuration `[get]`
	Gets the configuration used to get universe data More...

Dictionary< Symbol, Security >	Members `[get]`
	Gets the current listing of members in this universe. Modifications to this dictionary do not change universe membership. More...

Events inherited from QuantConnect.Data.UniverseSelection.Universe
EventHandler	SelectionChanged
	Event fired when the universe selection has changed More...

Detailed Description

Continuous contract universe selection that based on the requested mapping mode will select each symbol

Definition at line 29 of file ContinuousContractUniverse.cs.

Constructor & Destructor Documentation

◆ ContinuousContractUniverse()

QuantConnect.Data.UniverseSelection.ContinuousContractUniverse.ContinuousContractUniverse	(	Security	security,
		UniverseSettings	universeSettings,
		bool	liveMode,
		SubscriptionDataConfig	universeConfig
	)

Creates a new instance

Definition at line 47 of file ContinuousContractUniverse.cs.

Member Function Documentation

◆ SelectSymbols()

override IEnumerable<Symbol> QuantConnect.Data.UniverseSelection.ContinuousContractUniverse.SelectSymbols	(	DateTime	utcTime,
		BaseDataCollection	data
	)

virtual

Performs universe selection based on the symbol mapping

Parameters

utcTime	The current utc time
data	Empty data

Returns: The symbols to use

Implements QuantConnect.Data.UniverseSelection.Universe.

Definition at line 64 of file ContinuousContractUniverse.cs.

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◆ GetSubscriptionRequests()

override IEnumerable<SubscriptionRequest> QuantConnect.Data.UniverseSelection.ContinuousContractUniverse.GetSubscriptionRequests	(	Security	security,
		DateTime	currentTimeUtc,
		DateTime	maximumEndTimeUtc,
		ISubscriptionDataConfigService	subscriptionService
	)

virtual

Gets the subscription requests to be added for the specified security

Parameters

security	The security to get subscriptions for
currentTimeUtc	The current time in utc. This is the frontier time of the algorithm
maximumEndTimeUtc	The max end time
subscriptionService	Instance which implements ISubscriptionDataConfigService interface

Returns: All subscriptions required by this security

Reimplemented from QuantConnect.Data.UniverseSelection.Universe.

Definition at line 100 of file ContinuousContractUniverse.cs.

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◆ GetTriggerTimes()

IEnumerable<DateTime> QuantConnect.Data.UniverseSelection.ContinuousContractUniverse.GetTriggerTimes	(	DateTime	startTimeUtc,
		DateTime	endTimeUtc,
		MarketHoursDatabase	marketHoursDatabase
	)

Each tradeable day of the future we trigger a new selection. Allows use to select the current contract

Implements QuantConnect.Data.UniverseSelection.ITimeTriggeredUniverse.

Definition at line 118 of file ContinuousContractUniverse.cs.

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◆ AddConfigurations()

static List<SubscriptionDataConfig> QuantConnect.Data.UniverseSelection.ContinuousContractUniverse.AddConfigurations	(	ISubscriptionDataConfigService	subscriptionService,
		UniverseSettings	universeSettings,
		Symbol	symbol
	)

static

Helper method to add and get the required configurations associated with a continuous universe

Definition at line 133 of file ContinuousContractUniverse.cs.

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◆ CreateSymbol()

static Symbol QuantConnect.Data.UniverseSelection.ContinuousContractUniverse.CreateSymbol ( Symbol symbol )

static

Creates a continuous universe symbol

Parameters

symbol The associated symbol

Returns: A symbol for a continuous universe of the specified symbol

Definition at line 158 of file ContinuousContractUniverse.cs.

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Member Data Documentation

◆ Asynchronous

override bool QuantConnect.Data.UniverseSelection.ContinuousContractUniverse.Asynchronous => false

True if this universe filter can run async in the data stack TODO: see IContinuousSecurity.Mapped

Definition at line 42 of file ContinuousContractUniverse.cs.

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

Common/Data/UniverseSelection/ContinuousContractUniverse.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ContinuousContractUniverse()

Member Function Documentation

◆ SelectSymbols()

◆ GetSubscriptionRequests()

◆ GetTriggerTimes()

◆ AddConfigurations()

◆ CreateSymbol()

Member Data Documentation

◆ Asynchronous