Remove SecurityInitializer from Universe Selection (QuantConnect#5418)

* Attempt to remove SecurityInitializer from UniverseSelection stack entirely

* Fix broken Python Universe Selection model

* Remove mistake change (meant for another branch)

Algorithm.CSharp/CapmAlphaRankingFrameworkAlgorithm.cs

@@ -81,8 +81,7 @@ public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
                     algorithm.DateRules.MonthStart(benchmark.Symbol),
                     algorithm.TimeRules.AfterMarketOpen(benchmark.Symbol),
                     datetime => SelectPair(algorithm, datetime),
-                    algorithm.UniverseSettings,
-                    algorithm.SecurityInitializer);
+                    algorithm.UniverseSettings);
             }
 
             /// <summary>

Algorithm.CSharp/CoarseTiingoNewsUniverseSelectionAlgorithm.cs

@@ -40,7 +40,7 @@ public override void Initialize()
 
             UniverseSettings.FillForward = false;
 
-            AddUniverse(new CustomDataCoarseFundamentalUniverse(UniverseSettings, SecurityInitializer, CoarseSelectionFunction));
+            AddUniverse(new CustomDataCoarseFundamentalUniverse(UniverseSettings, CoarseSelectionFunction));
 
             _symbols = new List<Symbol>();
         }
@@ -93,8 +93,8 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
 
         private class CustomDataCoarseFundamentalUniverse : CoarseFundamentalUniverse
         {
-            public CustomDataCoarseFundamentalUniverse(UniverseSettings universeSettings, ISecurityInitializer securityInitializer, Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> selector)
-                : base(universeSettings, securityInitializer, selector)
+            public CustomDataCoarseFundamentalUniverse(UniverseSettings universeSettings, Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> selector)
+                : base(universeSettings, selector)
             { }
 
             public override IEnumerable<SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,

Algorithm.Framework/Selection/CoarseFundamentalUniverseSelectionModel.cs

@@ -32,13 +32,11 @@ public class CoarseFundamentalUniverseSelectionModel : FundamentalUniverseSelect
         /// </summary>
         /// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
         /// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
-        /// <param name="securityInitializer">Performs extra initialization (such as setting models) after we create a new security object</param>
         public CoarseFundamentalUniverseSelectionModel(
             Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> coarseSelector,
-            UniverseSettings universeSettings = null,
-            ISecurityInitializer securityInitializer = null
+            UniverseSettings universeSettings = null
             )
-            : base(false, universeSettings, securityInitializer)
+            : base(false, universeSettings)
         {
             _coarseSelector = coarseSelector;
         }
@@ -48,13 +46,11 @@ public CoarseFundamentalUniverseSelectionModel(
         /// </summary>
         /// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
         /// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
-        /// <param name="securityInitializer">Performs extra initialization (such as setting models) after we create a new security object</param>
         public CoarseFundamentalUniverseSelectionModel(
             PyObject coarseSelector,
-            UniverseSettings universeSettings = null,
-            ISecurityInitializer securityInitializer = null
+            UniverseSettings universeSettings = null
             )
-            : base(false, universeSettings, securityInitializer)
+            : base(false, universeSettings)
         {
             Func<IEnumerable<CoarseFundamental>, object> func;
             if (coarseSelector.TryConvertToDelegate(out func))

Algorithm.Framework/Selection/EmaCrossUniverseSelectionModel.cs

@@ -43,15 +43,13 @@ public class EmaCrossUniverseSelectionModel : FundamentalUniverseSelectionModel
         /// <param name="fastPeriod">Fast EMA period</param>
         /// <param name="slowPeriod">Slow EMA period</param>
         /// <param name="universeCount">Maximum number of members of this universe selection</param>
-        /// <param name="universeSettings">The settings used when adding symbols to the algorithm, specify null to use algorthm.UniverseSettings</param>
-        /// <param name="securityInitializer">Optional security initializer invoked when creating new securities, specify null to use algorithm.SecurityInitializer</param>
+        /// <param name="universeSettings">The settings used when adding symbols to the algorithm, specify null to use algorithm.UniverseSettings</param>
         public EmaCrossUniverseSelectionModel(
             int fastPeriod = 100,
             int slowPeriod = 300,
             int universeCount = 500,
-            UniverseSettings universeSettings = null,
-            ISecurityInitializer securityInitializer = null)
-            : base(false, universeSettings, securityInitializer)
+            UniverseSettings universeSettings = null)
+            : base(false, universeSettings)
         {
             _fastPeriod = fastPeriod;
             _slowPeriod = slowPeriod;

Algorithm.Framework/Selection/EmaCrossUniverseSelectionModel.py

@@ -29,16 +29,14 @@ def __init__(self,
                  fastPeriod = 100,
                  slowPeriod = 300,
                  universeCount = 500,
-                 universeSettings = None,
-                 securityInitializer = None):
+                 universeSettings = None):
         '''Initializes a new instance of the EmaCrossUniverseSelectionModel class
         Args:
             fastPeriod: Fast EMA period
             slowPeriod: Slow EMA period
             universeCount: Maximum number of members of this universe selection
-            universeSettings: The settings used when adding symbols to the algorithm, specify null to use algorthm.UniverseSettings
-            securityInitializer: Optional security initializer invoked when creating new securities, specify null to use algorithm.SecurityInitializer'''
-        super().__init__(False, universeSettings, securityInitializer)
+            universeSettings: The settings used when adding symbols to the algorithm, specify null to use algorthm.UniverseSettings'''
+        super().__init__(False, universeSettings)
         self.fastPeriod = fastPeriod
         self.slowPeriod = slowPeriod
         self.universeCount = universeCount

Algorithm.Framework/Selection/FineFundamentalUniverseSelectionModel.cs

@@ -36,14 +36,11 @@ public class FineFundamentalUniverseSelectionModel : FundamentalUniverseSelectio
         /// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
         /// <param name="fineSelector">Selects symbols from the provided fine data set (this set has already been filtered according to the coarse selection)</param>
         /// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
-        /// <param name="securityInitializer">Performs extra initialization (such as setting models) after we create a new security object</param>
         public FineFundamentalUniverseSelectionModel(
             Func<IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> coarseSelector,
             Func<IEnumerable<FineFundamental>, IEnumerable<Symbol>> fineSelector,
-            UniverseSettings universeSettings = null,
-            ISecurityInitializer securityInitializer = null
-            )
-            : base(true, universeSettings, securityInitializer)
+            UniverseSettings universeSettings = null)
+            : base(true, universeSettings)
         {
             _coarseSelector = coarseSelector;
             _fineSelector = fineSelector;
@@ -55,14 +52,12 @@ public FineFundamentalUniverseSelectionModel(
         /// <param name="coarseSelector">Selects symbols from the provided coarse data set</param>
         /// <param name="fineSelector">Selects symbols from the provided fine data set (this set has already been filtered according to the coarse selection)</param>
         /// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
-        /// <param name="securityInitializer">Performs extra initialization (such as setting models) after we create a new security object</param>
         public FineFundamentalUniverseSelectionModel(
             PyObject coarseSelector,
             PyObject fineSelector,
-            UniverseSettings universeSettings = null,
-            ISecurityInitializer securityInitializer = null
+            UniverseSettings universeSettings = null
             )
-            : base(true, universeSettings, securityInitializer)
+            : base(true, universeSettings)
         {
             Func<IEnumerable<FineFundamental>, object> fineFunc;
             Func<IEnumerable<CoarseFundamental>, object> coarseFunc;

Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.cs

@@ -29,28 +29,25 @@ public abstract class FundamentalUniverseSelectionModel : UniverseSelectionModel
     {
         private readonly bool _filterFineData;
         private readonly UniverseSettings _universeSettings;
-        private readonly ISecurityInitializer _securityInitializer;
 
         /// <summary>
         /// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
         /// </summary>
         /// <param name="filterFineData">True to also filter using fine fundamental data, false to only filter on coarse data</param>
         protected FundamentalUniverseSelectionModel(bool filterFineData)
-            : this(filterFineData, null, null)
+            : this(filterFineData, null)
         {
         }
 
         /// <summary>
         /// Initializes a new instance of the <see cref="FundamentalUniverseSelectionModel"/> class
         /// </summary>
         /// <param name="filterFineData">True to also filter using fine fundamental data, false to only filter on coarse data</param>
-        /// <param name="universeSettings">The settings used when adding symbols to the algorithm, specify null to use algorthm.UniverseSettings</param>
-        /// <param name="securityInitializer">Optional security initializer invoked when creating new securities, specify null to use algorithm.SecurityInitializer</param>
-        protected FundamentalUniverseSelectionModel(bool filterFineData, UniverseSettings universeSettings, ISecurityInitializer securityInitializer)
+        /// <param name="universeSettings">The settings used when adding symbols to the algorithm, specify null to use algorithm.UniverseSettings</param>
+        protected FundamentalUniverseSelectionModel(bool filterFineData, UniverseSettings universeSettings)
         {
             _filterFineData = filterFineData;
             _universeSettings = universeSettings;
-            _securityInitializer = securityInitializer;
         }
 
         /// <summary>
@@ -77,8 +74,7 @@ public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
         public virtual Universe CreateCoarseFundamentalUniverse(QCAlgorithm algorithm)
         {
             var universeSettings = _universeSettings ?? algorithm.UniverseSettings;
-            var securityInitializer = _securityInitializer ?? algorithm.SecurityInitializer;
-            return new CoarseFundamentalUniverse(universeSettings, securityInitializer, coarse =>
+            return new CoarseFundamentalUniverse(universeSettings, coarse =>
             {
                 // if we're using fine fundamental selection than exclude symbols without fine data
                 if (_filterFineData)

Algorithm.Framework/Selection/FundamentalUniverseSelectionModel.py

@@ -23,16 +23,13 @@ class FundamentalUniverseSelectionModel:
 
     def __init__(self,
                  filterFineData,
-                 universeSettings = None, 
-                 securityInitializer = None):
+                 universeSettings = None):
         '''Initializes a new instance of the FundamentalUniverseSelectionModel class
         Args:
             filterFineData: True to also filter using fine fundamental data, false to only filter on coarse data
-            universeSettings: The settings used when adding symbols to the algorithm, specify null to use algorthm.UniverseSettings
-            securityInitializer: Optional security initializer invoked when creating new securities, specify null to use algorithm.SecurityInitializer'''
+            universeSettings: The settings used when adding symbols to the algorithm, specify null to use algorthm.UniverseSettings'''
         self.filterFineData = filterFineData
         self.universeSettings = universeSettings
-        self.securityInitializer = securityInitializer
 
 
     def CreateUniverses(self, algorithm):
@@ -55,8 +52,7 @@ def CreateCoarseFundamentalUniverse(self, algorithm):
         Returns:
             The coarse fundamental universe'''
         universeSettings = algorithm.UniverseSettings if self.universeSettings is None else self.universeSettings
-        securityInitializer = algorithm.SecurityInitializer if self.securityInitializer is None else self.securityInitializer
-        return CoarseFundamentalUniverse(universeSettings, securityInitializer, lambda coarse: self.FilteredSelectCoarse(algorithm, coarse))
+        return CoarseFundamentalUniverse(universeSettings, lambda coarse: self.FilteredSelectCoarse(algorithm, coarse))
 
 
     def FilteredSelectCoarse(self, algorithm, coarse):

Algorithm.Framework/Selection/FutureUniverseSelectionModel.cs

@@ -50,25 +50,6 @@ public FutureUniverseSelectionModel(TimeSpan refreshInterval, Func<DateTime, IEn
         {
         }
 
-        /// <summary>
-        /// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
-        /// </summary>
-        /// <param name="refreshInterval">Time interval between universe refreshes</param>
-        /// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</param>
-        /// <param name="universeSettings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
-        /// <param name="securityInitializer">Performs extra initialization (such as setting models) after we create a new security object</param>
-        [Obsolete("This constructor is obsolete because SecurityInitializer is obsolete and will not be used.")]
-        public FutureUniverseSelectionModel(
-            TimeSpan refreshInterval,
-            Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector,
-            UniverseSettings universeSettings,
-            ISecurityInitializer securityInitializer
-            )
-            : this(refreshInterval, futureChainSymbolSelector, universeSettings)
-        {
-
-        }
-
         /// <summary>
         /// Creates a new instance of <see cref="FutureUniverseSelectionModel"/>
         /// </summary>
@@ -113,24 +94,6 @@ public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
             }
         }
 
-        /// <summary>
-        /// Creates the canonical <see cref="Future"/> chain security for a given symbol
-        /// </summary>
-        /// <param name="algorithm">The algorithm instance to create universes for</param>
-        /// <param name="symbol">Symbol of the future</param>
-        /// <param name="settings">Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed</param>
-        /// <param name="initializer">Performs extra initialization (such as setting models) after we create a new security object</param>
-        /// <returns><see cref="Future"/> for the given symbol</returns>
-        [Obsolete("This method is obsolete because SecurityInitializer is obsolete and will not be used.")]
-        protected virtual Future CreateFutureChainSecurity(QCAlgorithm algorithm, Symbol symbol, UniverseSettings settings, ISecurityInitializer initializer)
-        {
-            return CreateFutureChainSecurity(
-                algorithm.SubscriptionManager.SubscriptionDataConfigService,
-                symbol,
-                settings,
-                algorithm.Securities);
-        }
-
         /// <summary>
         /// Creates the canonical <see cref="Future"/> chain security for a given symbol
         /// </summary>

Algorithm.Framework/Selection/FutureUniverseSelectionModel.py

@@ -29,20 +29,17 @@ class FutureUniverseSelectionModel(UniverseSelectionModel):
     def __init__(self,
                  refreshInterval,
                  futureChainSymbolSelector,
-                 universeSettings = None,
-                 securityInitializer = None):
+                 universeSettings = None):
         '''Creates a new instance of FutureUniverseSelectionModel
         Args:
             refreshInterval: Time interval between universe refreshes</param>
             futureChainSymbolSelector: Selects symbols from the provided future chain
-            universeSettings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
-            securityInitializer: [Obsolete, will not be used] Performs extra initialization (such as setting models) after we create a new security object'''
+            universeSettings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed'''
         self.nextRefreshTimeUtc = datetime.min
 
         self.refreshInterval = refreshInterval
         self.futureChainSymbolSelector = futureChainSymbolSelector
         self.universeSettings = universeSettings
-        self.securityInitializer = securityInitializer
 
     def GetNextRefreshTimeUtc(self):
         '''Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.'''
@@ -83,11 +80,10 @@ def CreateFutureChain(self, algorithm, symbol):
 
         # resolve defaults if not specified
         settings = self.universeSettings if self.universeSettings is not None else algorithm.UniverseSettings
-        initializer = self.securityInitializer if self.securityInitializer is not None else algorithm.SecurityInitializer
         # create canonical security object, but don't duplicate if it already exists
         securities = [s for s in algorithm.Securities if s.Key == symbol]
         if len(securities) == 0:
-            futureChain = self.CreateFutureChainSecurity(algorithm, symbol, settings, initializer)
+            futureChain = self.CreateFutureChainSecurity(algorithm, symbol, settings)
         else:
             futureChain = securities[0]
 
@@ -97,15 +93,14 @@ def CreateFutureChain(self, algorithm, symbol):
         # force future chain security to not be directly tradable AFTER it's configured to ensure it's not overwritten
         futureChain.IsTradable = False
 
-        return FuturesChainUniverse(futureChain, settings, algorithm.SubscriptionManager, initializer)
+        return FuturesChainUniverse(futureChain, settings)
 
-    def CreateFutureChainSecurity(self, algorithm, symbol, settings, initializer):
+    def CreateFutureChainSecurity(self, algorithm, symbol, settings):
         '''Creates the canonical Future chain security for a given symbol
         Args:
             algorithm: The algorithm instance to create universes for
             symbol: Symbol of the future
             settings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
-            initializer: [Obsolete, will not be used] Performs extra initialization (such as setting models) after we create a new security object
         Returns
             Future for the given symbol'''
         config = algorithm.SubscriptionManager.SubscriptionDataConfigService.Add(typeof(ZipEntryName),