Defines a universe for a single futures chain More...

Inheritance diagram for QuantConnect.Data.UniverseSelection.FuturesChainUniverse:

Public Member Functions
	FuturesChainUniverse (Future future, UniverseSettings universeSettings)
	Initializes a new instance of the FuturesChainUniverse class More...

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

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...

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

Future	Future `[get]`
	The canonical future chain security More...

override UniverseSettings	UniverseSettings `[set]`
	Gets the settings used for subscriptons added for this universe 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...

Additional Inherited Members
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...

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...

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

Detailed Description

Defines a universe for a single futures chain

Definition at line 29 of file FuturesChainUniverse.cs.

Constructor & Destructor Documentation

◆ FuturesChainUniverse()

QuantConnect.Data.UniverseSelection.FuturesChainUniverse.FuturesChainUniverse	(	Future	future,
		UniverseSettings	universeSettings
	)

Initializes a new instance of the FuturesChainUniverse class

Parameters

future	The canonical future chain security
universeSettings	The universe settings to be used for new subscriptions

Definition at line 53 of file FuturesChainUniverse.cs.

Member Function Documentation

◆ SelectSymbols()

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

virtual

Performs universe selection using the data specified

Parameters

utcTime	The current utc time
data	The symbols to remain in the universe

Returns: The data that passes the filter

Implements QuantConnect.Data.UniverseSelection.Universe.

Definition at line 87 of file FuturesChainUniverse.cs.

Here is the call graph for this function:

◆ GetSubscriptionRequests()

override IEnumerable<SubscriptionRequest> QuantConnect.Data.UniverseSelection.FuturesChainUniverse.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 112 of file FuturesChainUniverse.cs.

Property Documentation

◆ Asynchronous

override bool QuantConnect.Data.UniverseSelection.FuturesChainUniverse.Asynchronous

get

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

Definition at line 37 of file FuturesChainUniverse.cs.

◆ Future

Future QuantConnect.Data.UniverseSelection.FuturesChainUniverse.Future

get

The canonical future chain security

Definition at line 64 of file FuturesChainUniverse.cs.

◆ UniverseSettings

override UniverseSettings QuantConnect.Data.UniverseSelection.FuturesChainUniverse.UniverseSettings

set

Gets the settings used for subscriptons added for this universe

Definition at line 70 of file FuturesChainUniverse.cs.

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

Common/Data/UniverseSelection/FuturesChainUniverse.cs

Public Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FuturesChainUniverse()

Member Function Documentation

◆ SelectSymbols()

◆ GetSubscriptionRequests()

Property Documentation

◆ Asynchronous

◆ Future

◆ UniverseSettings