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.Data.UniverseSelection;
+using QuantConnect.Python;
+using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Portfolio;
+
+namespace QuantConnect.Algorithm.Framework.Risk
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IRiskManagementModel"/> that wraps a <see cref="PyObject"/> object
+    /// </summary>
+    public class RiskManagementModelPythonWrapper : RiskManagementModel
+    {
+        private readonly BasePythonWrapper<IRiskManagementModel> _model;
+
+        /// <summary>
+        /// Constructor for initialising the <see cref="IRiskManagementModel"/> class with wrapped <see cref="PyObject"/> object
+        /// </summary>
+        /// <param name="model">Model defining how risk is managed</param>
+        public RiskManagementModelPythonWrapper(PyObject model)
+        {
+            _model = new BasePythonWrapper<IRiskManagementModel>(model);
+        }
+
+        /// <summary>
+        /// Manages the algorithm's risk at each time step
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="targets">The current portfolio targets to be assessed for risk</param>
+        public override IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets)
+        {
+            return _model.InvokeMethodAndEnumerate<IPortfolioTarget>(nameof(ManageRisk), algorithm, targets);
+        }
+
+        /// <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)
+        {
+            _model.InvokeMethod(nameof(OnSecuritiesChanged), algorithm, changes).Dispose();
+        }
+    }
+}