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Represents futures symbols universe used in filtering. More...
Public Member Functions | |
| FutureFilterUniverse (IEnumerable< Symbol > allSymbols, DateTime localTime) | |
| Constructs FutureFilterUniverse More... | |
| FutureFilterUniverse | ExpirationCycle (int[] months) |
| Applies filter selecting futures contracts based on expiration cycles. See FutureExpirationCycles for details More... | |
 Public Member Functions inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse, Symbol > | |
| virtual void | Refresh (IEnumerable< TData > allData, DateTime localTime) |
| Refreshes this filter universe More... | |
| T | StandardsOnly () |
| Sets universe of standard contracts (if any) as selection Contracts by default are standards; only needed to switch back if changed More... | |
| T | IncludeWeeklys () |
| Includes universe of non-standard weeklys contracts (if any) into selection More... | |
| T | WeeklysOnly () |
| Sets universe of weeklys contracts (if any) as selection More... | |
| virtual T | FrontMonth () |
| Returns front month contract More... | |
| virtual T | BackMonths () |
| Returns a list of back month contracts More... | |
| T | BackMonth () |
| Returns first of back month contracts More... | |
| virtual T | Expiration (TimeSpan minExpiry, TimeSpan maxExpiry) |
| Applies filter selecting options contracts based on a range of expiration dates relative to the current day More... | |
| T | Expiration (int minExpiryDays, int maxExpiryDays) |
| Applies filter selecting contracts based on a range of expiration dates relative to the current day More... | |
| T | Contracts (PyObject contracts) |
| Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last. More... | |
| T | Contracts (IEnumerable< Symbol > contracts) |
| Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last. More... | |
| T | Contracts (IEnumerable< TData > contracts) |
| Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last. More... | |
| T | Contracts (Func< IEnumerable< TData >, IEnumerable< Symbol >> contractSelector) |
| Sets a function used to filter the set of available contract filters. The input to the 'contractSelector' function will be the already filtered list if any other filters have already been applied. More... | |
| T | Contracts (Func< IEnumerable< TData >, IEnumerable< TData >> contractSelector) |
| Sets a function used to filter the set of available contract filters. The input to the 'contractSelector' function will be the already filtered list if any other filters have already been applied. More... | |
| T | OnlyApplyFilterAtMarketOpen () |
| Instructs the engine to only filter contracts on the first time step of each market day. More... | |
| IEnumerator< TData > | GetEnumerator () |
| IEnumerable interface method implementation More... | |
Protected Member Functions | |
| override bool | IsStandard (Symbol symbol) |
| Determine if the given Future contract symbol is standard More... | |
| override Symbol | GetSymbol (Symbol data) |
| Gets the symbol from the data More... | |
| override Symbol | CreateDataInstance (Symbol symbol) |
| Creates a new instance of the data type for the given symbol More... | |
| Protected Member Functions inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse, Symbol > | |
| ContractSecurityFilterUniverse () | |
| Constructs ContractSecurityFilterUniverse More... | |
| ContractSecurityFilterUniverse (IEnumerable< TData > allData, DateTime localTime) | |
| Constructs ContractSecurityFilterUniverse More... | |
| abstract Symbol | GetSymbol (TData data) |
| Gets the symbol from the data More... | |
| virtual DateTime | AdjustExpirationReferenceDate (DateTime referenceDate) |
| Adjust the reference date used for expiration filtering. By default it just returns the same date. More... | |
Additional Inherited Members | |
| Properties inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse, Symbol > | |
| ContractExpirationType | Type [get, set] |
| Expiration Types allowed through the filter Standards only by default More... | |
| DateTime | LocalTime [get] |
| The local exchange current time More... | |
Represents futures symbols universe used in filtering.
Definition at line 28 of file FutureFilterUniverse.cs.
| QuantConnect.Securities.FutureFilterUniverse.FutureFilterUniverse | ( | IEnumerable< Symbol > | allSymbols, |
| DateTime | localTime | ||
| ) |
Constructs FutureFilterUniverse
Definition at line 33 of file FutureFilterUniverse.cs.
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protectedvirtual |
Determine if the given Future contract symbol is standard
Implements QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse, Symbol >.
Definition at line 42 of file FutureFilterUniverse.cs.
Gets the symbol from the data
Definition at line 51 of file FutureFilterUniverse.cs.
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protectedvirtual |
Creates a new instance of the data type for the given symbol
Implements QuantConnect.Securities.ContractSecurityFilterUniverse< FutureFilterUniverse, Symbol >.
Definition at line 60 of file FutureFilterUniverse.cs.
| FutureFilterUniverse QuantConnect.Securities.FutureFilterUniverse.ExpirationCycle | ( | int[] | months | ) |
Applies filter selecting futures contracts based on expiration cycles. See FutureExpirationCycles for details
| months | Months to select contracts from |
Definition at line 70 of file FutureFilterUniverse.cs.
1.8.17 
