chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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 Python.Runtime;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Orders;
+using QuantConnect.Python;
+using System;
+
+namespace QuantConnect.Algorithm.Framework.Execution
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IExecutionModel"/> that wraps a <see cref="PyObject"/> object
+    /// </summary>
+    public class ExecutionModelPythonWrapper : ExecutionModel
+    {
+        private readonly bool _onOrderEventsDefined;
+
+        /// <summary>
+        /// Constructor for initialising the <see cref="IExecutionModel"/> class with wrapped <see cref="PyObject"/> object
+        /// </summary>
+        /// <param name="model">Model defining how to execute trades to reach a portfolio target</param>
+        public ExecutionModelPythonWrapper(PyObject model)
+        {
+            SetPythonInstance(model, false);
+            foreach (var attributeName in new[] { "Execute", "OnSecuritiesChanged" })
+            {
+                if (!HasAttr(attributeName))
+                {
+                    throw new NotImplementedException($"IExecutionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
+                }
+            }
+
+            _onOrderEventsDefined = HasAttr("OnOrderEvent");
+
+            var methodName = nameof(SetPythonInstance);
+            if (HasAttr(methodName))
+            {
+                InvokeMethod(methodName, model);
+            }
+        }
+
+        /// <summary>
+        /// Submit orders for the specified portfolio targets.
+        /// This model is free to delay or spread out these orders as it sees fit
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="targets">The portfolio targets to be ordered</param>
+        public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
+        {
+            InvokeMethod(nameof(Execute), algorithm, targets).Dispose();
+        }
+
+        /// <summary>
+        /// Event fired each time the we add/remove securities from the data feed
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
+        /// <param name="changes">The security additions and removals from the algorithm</param>
+        public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
+        {
+            InvokeMethod(nameof(OnSecuritiesChanged), algorithm, changes).Dispose();
+        }
+
+        /// <summary>
+        /// New order event handler
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="orderEvent">Order event to process</param>
+        public override void OnOrderEvent(QCAlgorithm algorithm, OrderEvent orderEvent)
+        {
+            if (_onOrderEventsDefined)
+            {
+                InvokeMethod(nameof(OnOrderEvent), algorithm, orderEvent).Dispose();
+            }
+        }
+    }
+}