/*
* 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 QuantConnect.Data.Consolidators;
using QuantConnect.Indicators;
using System;
namespace QuantConnect.Python
{
///
/// Provides a base class for python consolidators, necessary to use event handler.
/// Inherits the built-in rolling window so custom Python consolidators can access their
/// consolidated history through the indexer, Current, Previous and Window members.
///
public class PythonConsolidator : WindowBase, IDataConsolidator
{
///
/// Gets the most recently consolidated piece of data. This will be null if this consolidator
/// has not produced any data yet.
///
public IBaseData Consolidated
{
get; set;
}
///
/// Gets a clone of the data being currently consolidated
///
public IBaseData WorkingData
{
get; set;
}
///
/// Gets the type consumed by this consolidator
///
public Type InputType
{
get; set;
}
///
/// Gets the type produced by this consolidator
///
public Type OutputType
{
get; set;
}
///
/// Event handler that fires when a new piece of data is produced
///
public event DataConsolidatedHandler DataConsolidated;
///
/// Function to invoke the event handler
///
/// Reference to the consolidator itself
/// The finished data from the consolidator
public void OnDataConsolidated(PyObject consolidator, IBaseData data)
{
// populate the rolling window before firing so a handler sees the new bar at index 0
if (data != null)
{
Current = data;
}
DataConsolidated?.Invoke(consolidator, data);
}
///
/// Resets the consolidator
///
public virtual void Reset()
{
Consolidated = null;
WorkingData = null;
ResetWindow();
}
///
/// Scans this consolidator to see if it should emit a bar due to time passing
///
/// The current time in the local time zone (same as )
public virtual void Scan(DateTime currentLocalTime)
{
}
///
/// Updates this consolidator with the specified data
///
/// The new data for the consolidator
public virtual void Update(IBaseData data)
{
}
public void Dispose()
{
}
}
}