CustomUniverse.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/
 
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
 
namespace QuantConnect.Algorithm.Framework.Selection
{
    /// <summary>
    /// Defines a universe as a set of dynamically set symbols.
    /// </summary>
    public class CustomUniverse : UserDefinedUniverse
    {
        /// <summary>
        /// Creates a new instance of the <see cref="CustomUniverse"/>
        /// </summary>
        public CustomUniverse(SubscriptionDataConfig configuration,
            UniverseSettings universeSettings,
            TimeSpan interval,
            Func<DateTime, IEnumerable<string>> selector)
            : base(configuration, universeSettings, interval, selector)
        {
        }
 
        /// <summary>
        /// Gets the subscription requests to be added for the specified security
        /// </summary>
        /// <param name="security">The security to get subscriptions for</param>
        /// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
        /// <param name="maximumEndTimeUtc">The max end time</param>
        /// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
        /// <returns>All subscriptions required by this security</returns>
        public override IEnumerable<SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
            ISubscriptionDataConfigService subscriptionService)
        {
            // CustomUniverse will return any existing SDC for the symbol, else will create new, using universe settings.
            var existingSubscriptionDataConfigs = subscriptionService.GetSubscriptionDataConfigs(security.Symbol);
 
            if (existingSubscriptionDataConfigs.Any())
            {
                return existingSubscriptionDataConfigs.Select(
                    config => new SubscriptionRequest(isUniverseSubscription: false,
                        universe: this,
                        security: security,
                        configuration: config,
                        startTimeUtc: currentTimeUtc,
                        endTimeUtc: maximumEndTimeUtc));
            }
            return base.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService);
        }
    }
}