Deprecate ContractSecurityFilterUniverse.OnlyApplyFilterAtMarketOpen

QuantConnect · Dec 11, 2023 · de8dce1 · de8dce1
1 parent 4a51b3e
commit de8dce1
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Showing 3 changed files with 13 additions and 133 deletions.
diff --git a/Algorithm.CSharp/CryptoFutureLeverageRegressionAlgorithm.cs b/Algorithm.CSharp/CryptoFutureLeverageRegressionAlgorithm.cs
diff --git a/Common/Securities/ContractSecurityFilterUniverse.cs b/Common/Securities/ContractSecurityFilterUniverse.cs
@@ -316,6 +316,8 @@ public T Contracts(Func<IEnumerable<Symbol>, IEnumerable<Symbol>> contractSelect
         /// Instructs the engine to only filter contracts on the first time step of each market day.
         /// </summary>
         /// <returns>Universe with filter applied</returns>
+        /// <remarks>Deprecated since filters are non-dynamic by default now. See <see cref="Dynamic"/></remarks>
+        [Obsolete("Deprecated as of 2023-12-11. Filters are non-dynamic by default, which means they will only bee applied daily")]
         public T OnlyApplyFilterAtMarketOpen()
         {
             _onlyApplyOnMarketOpen = true;

diff --git a/Common/Securities/Future/Future.cs b/Common/Securities/Future/Future.cs
@@ -223,9 +223,10 @@ public override void SetLocalTimeKeeper(LocalTimeKeeper localTimeKeeper)
         /// would exclude contracts expiring in less than 10 days</param>
         /// <param name="maxExpiry">The maximum time until expiry to include, for example, TimeSpan.FromDays(10)
         /// would exclude contracts expiring in more than 10 days</param>
-        public void SetFilter(TimeSpan minExpiry, TimeSpan maxExpiry)
+        /// <param name="dynamic">Whether to mark the filter as dynamic for regular reapplying</param>
+        public void SetFilter(TimeSpan minExpiry, TimeSpan maxExpiry, bool dynamic = false)
         {
-            SetFilterImp(universe => universe.Expiration(minExpiry, maxExpiry));
+            SetFilterImp(universe => universe.Expiration(minExpiry, maxExpiry), dynamic);
         }
 
         /// <summary>
@@ -236,9 +237,10 @@ public void SetFilter(TimeSpan minExpiry, TimeSpan maxExpiry)
         /// would exclude contracts expiring in less than 10 days</param>
         /// <param name="maxExpiryDays">The maximum time, expressed in days, until expiry to include, for example, 10
         /// would exclude contracts expiring in more than 10 days</param>
-        public void SetFilter(int minExpiryDays, int maxExpiryDays)
+        /// <param name="dynamic">Whether to mark the filter as dynamic for regular reapplying</param>
+        public void SetFilter(int minExpiryDays, int maxExpiryDays, bool dynamic = false)
         {
-            SetFilterImp(universe => universe.Expiration(minExpiryDays, maxExpiryDays));
+            SetFilterImp(universe => universe.Expiration(minExpiryDays, maxExpiryDays), dynamic);
         }
 
         /// <summary>
@@ -261,12 +263,16 @@ public void SetFilter(PyObject universeFunc)
             SetFilter(pyUniverseFunc);
         }
 
-        private void SetFilterImp(Func<FutureFilterUniverse, FutureFilterUniverse> universeFunc)
+        private void SetFilterImp(Func<FutureFilterUniverse, FutureFilterUniverse> universeFunc, bool dynamic = false)
         {
             Func<IDerivativeSecurityFilterUniverse, IDerivativeSecurityFilterUniverse> func = universe =>
             {
                 var futureUniverse = universe as FutureFilterUniverse;
                 var result = universeFunc(futureUniverse);
+                if (dynamic)
+                {
+                    result.Dynamic();
+                }
                 return result.ApplyTypesFilter();
             };
             ContractFilter = new FuncSecurityDerivativeFilter(func);