chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,228 @@
|
||||
/*
|
||||
* 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;
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
|
||||
namespace QuantConnect.Python
|
||||
{
|
||||
/// <summary>
|
||||
/// Dynamic data class for Python algorithms.
|
||||
/// Stores properties of python instances in DynamicData dictionary
|
||||
/// </summary>
|
||||
public class PythonData : DynamicData
|
||||
{
|
||||
private readonly string _pythonTypeName;
|
||||
private readonly dynamic _pythonReader;
|
||||
private readonly dynamic _pythonGetSource;
|
||||
private readonly dynamic _pythonData;
|
||||
private readonly dynamic _defaultResolution;
|
||||
private readonly dynamic _supportedResolutions;
|
||||
private readonly dynamic _isSparseData;
|
||||
private readonly dynamic _requiresMapping;
|
||||
private DateTime _endTime;
|
||||
|
||||
/// <summary>
|
||||
/// The end time of this data. Some data covers spans (trade bars)
|
||||
/// and as such we want to know the entire time span covered
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// This property is overriden to allow different values for Time and EndTime
|
||||
/// if they are set in the Reader. In the base implementation EndTime equals Time
|
||||
/// </remarks>
|
||||
public override DateTime EndTime
|
||||
{
|
||||
get
|
||||
{
|
||||
return _endTime == default ? Time : _endTime;
|
||||
}
|
||||
set
|
||||
{
|
||||
_endTime = value;
|
||||
if(Time == default)
|
||||
{
|
||||
// if Time hasn't been set let's set it, like BaseData does. If the user overrides it that's okay
|
||||
Time = value;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for initializing the PythonData class
|
||||
/// </summary>
|
||||
public PythonData()
|
||||
{
|
||||
//Empty constructor required for fast-reflection initialization
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Constructor for initializing the PythonData class with wrapped PyObject
|
||||
/// </summary>
|
||||
/// <param name="pythonData"></param>
|
||||
public PythonData(PyObject pythonData)
|
||||
{
|
||||
_pythonData = pythonData;
|
||||
using (Py.GIL())
|
||||
{
|
||||
// these methods rely on the Symbol so we can call them yet but we can get them
|
||||
_requiresMapping = pythonData.GetMethod("RequiresMapping");
|
||||
_isSparseData = pythonData.GetMethod("IsSparseData");
|
||||
_defaultResolution = pythonData.GetMethod("DefaultResolution");
|
||||
_supportedResolutions = pythonData.GetMethod("SupportedResolutions");
|
||||
_pythonReader = pythonData.GetMethod("Reader");
|
||||
_pythonGetSource = pythonData.GetMethod("GetSource");
|
||||
_pythonTypeName = pythonData.GetPythonType().GetAssemblyName().Name;
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Source Locator for algorithm written in Python.
|
||||
/// </summary>
|
||||
/// <param name="config">Subscription configuration object</param>
|
||||
/// <param name="date">Date of the data file we're looking for</param>
|
||||
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
|
||||
/// <returns>STRING API Url.</returns>
|
||||
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
|
||||
{
|
||||
using (Py.GIL())
|
||||
{
|
||||
var source = _pythonGetSource(config, date, isLiveMode);
|
||||
return (source as PyObject).GetAndDispose<SubscriptionDataSource>();
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Generic Reader Implementation for Python Custom Data.
|
||||
/// </summary>
|
||||
/// <param name="config">Subscription configuration</param>
|
||||
/// <param name="line">CSV line of data from the source</param>
|
||||
/// <param name="date">Date of the requested line</param>
|
||||
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
|
||||
/// <returns></returns>
|
||||
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
|
||||
{
|
||||
using (Py.GIL())
|
||||
{
|
||||
var data = _pythonReader(config, line, date, isLiveMode);
|
||||
var result = (data as PyObject).GetAndDispose<BaseData>();
|
||||
|
||||
(result as PythonData)?.SetProperty("__typename", _pythonTypeName);
|
||||
|
||||
return result;
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Indicates if there is support for mapping
|
||||
/// </summary>
|
||||
/// <returns>True indicates mapping should be used</returns>
|
||||
public override bool RequiresMapping()
|
||||
{
|
||||
if (_requiresMapping == null)
|
||||
{
|
||||
return base.RequiresMapping();
|
||||
}
|
||||
using (Py.GIL())
|
||||
{
|
||||
return _requiresMapping();
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Indicates that the data set is expected to be sparse
|
||||
/// </summary>
|
||||
/// <remarks>Relies on the <see cref="Symbol"/> property value</remarks>
|
||||
/// <returns>True if the data set represented by this type is expected to be sparse</returns>
|
||||
public override bool IsSparseData()
|
||||
{
|
||||
if (_isSparseData == null)
|
||||
{
|
||||
return base.IsSparseData();
|
||||
}
|
||||
using (Py.GIL())
|
||||
{
|
||||
return _isSparseData();
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the default resolution for this data and security type
|
||||
/// </summary>
|
||||
/// <remarks>This is a method and not a property so that python
|
||||
/// custom data types can override it</remarks>
|
||||
public override Resolution DefaultResolution()
|
||||
{
|
||||
if (_defaultResolution == null)
|
||||
{
|
||||
return base.DefaultResolution();
|
||||
}
|
||||
using (Py.GIL())
|
||||
{
|
||||
return _defaultResolution();
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the supported resolution for this data and security type
|
||||
/// </summary>
|
||||
/// <remarks>This is a method and not a property so that python
|
||||
/// custom data types can override it</remarks>
|
||||
public override List<Resolution> SupportedResolutions()
|
||||
{
|
||||
if (_supportedResolutions == null)
|
||||
{
|
||||
return base.SupportedResolutions();
|
||||
}
|
||||
using (Py.GIL())
|
||||
{
|
||||
return _supportedResolutions();
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Indexes into this PythonData, where index is key to the dynamic property
|
||||
/// </summary>
|
||||
/// <param name="index">the index</param>
|
||||
/// <returns>Dynamic property of a given index</returns>
|
||||
public object this[string index]
|
||||
{
|
||||
get
|
||||
{
|
||||
return GetProperty(index);
|
||||
}
|
||||
|
||||
set
|
||||
{
|
||||
SetProperty(index, value is double ? value.ConvertInvariant<decimal>() : value);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Helper method to determine if the current instance is of the provided type
|
||||
/// </summary>
|
||||
/// <param name="type">Target type to check against</param>
|
||||
/// <returns>True if this instance is of the provided type</returns>
|
||||
public bool IsOfType(Type type)
|
||||
{
|
||||
if (HasProperty("__typename"))
|
||||
{
|
||||
return (string)GetProperty("__typename") == type.FullName;
|
||||
}
|
||||
return GetType() == type;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user