/*

* 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.Linq;

using QuantConnect.Data;

using System.Collections.Generic;

using System.Collections.Specialized;

using QuantConnect.Data.UniverseSelection;

namespace QuantConnect.Algorithm.Selection

{

/// <summary>

/// This universe will hold single option contracts and their underlying, managing removals and additions

/// </summary>

public class OptionContractUniverse : UserDefinedUniverse

{

private readonly HashSet<Symbol> _symbols;

/// <summary>

/// Creates a new empty instance

/// </summary>

/// <param name="configuration">The universe configuration to use</param>

/// <param name="universeSettings">The universe settings to use</param>

public OptionContractUniverse(SubscriptionDataConfig configuration, UniverseSettings universeSettings)

: base(configuration, universeSettings, Time.EndOfTimeTimeSpan,

// Argument isn't used since we override 'SelectSymbols'

Enumerable.Empty<Symbol>())

{

_symbols = new HashSet<Symbol>();

}

/// <summary>

/// Returns the symbols defined by the user for this universe

/// </summary>

/// <param name="utcTime">The current utc time</param>

/// <param name="data">The symbols to remain in the universe</param>

/// <returns>The data that passes the filter</returns>

public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)

{

return _symbols;

}

/// <summary>

/// Event invocator for the <see cref="UserDefinedUniverse.CollectionChanged"/> event

/// </summary>

/// <param name="args">The notify collection changed event arguments</param>

protected override void OnCollectionChanged(NotifyCollectionChangedEventArgs args)

{

if (args.Action == NotifyCollectionChangedAction.Remove)

{

var removedSymbol = (Symbol)args.OldItems[0];

_symbols.Remove(removedSymbol);

// the option has been removed! This can happen when the user manually removed the option contract we remove the underlying

if (removedSymbol.SecurityType == SecurityType.Option || removedSymbol.SecurityType == SecurityType.FutureOption)

{

Remove(removedSymbol.Underlying);

}

}

else if (args.Action == NotifyCollectionChangedAction.Add)

{

// QCAlgorithm.AddOptionContract will add both underlying and option contract

_symbols.Add((Symbol)args.NewItems[0]);

}

base.OnCollectionChanged(args);

}

/// <summary>

/// Creates a user defined universe symbol

/// </summary>

/// <param name="market">The market</param>

/// <param name="securityType">The underlying option security type</param>

/// <returns>A symbol for user defined universe of the specified security type and market</returns>

public static Symbol CreateSymbol(string market, SecurityType securityType)

{

var ticker = $"qc-universe-optioncontract-{securityType.SecurityTypeToLower()}-{market.ToLowerInvariant()}";

var underlying = Symbol.Create(ticker, securityType, market);

var sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlying.ID, market, 0, 0, 0);

return new Symbol(sid, ticker);

}

}

}