wehub-resource-sync
83 lines
3.3 KiB
C#
83 lines
3.3 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using Python.Runtime;
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using QuantConnect.Data.UniverseSelection;
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using System;
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using System.Collections.Generic;
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using QuantConnect.Interfaces;
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using QuantConnect.Python;
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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Provides an implementation of <see cref="IUniverseSelectionModel"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class UniverseSelectionModelPythonWrapper : UniverseSelectionModel
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{
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private readonly bool _modelHasGetNextRefreshTime;
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/// <summary>
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/// Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.
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/// </summary>
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public override DateTime GetNextRefreshTimeUtc()
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{
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if (!_modelHasGetNextRefreshTime)
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{
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return DateTime.MaxValue;
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}
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return InvokeMethod<DateTime>(nameof(GetNextRefreshTimeUtc));
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}
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/// <summary>
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/// Constructor for initialising the <see cref="IUniverseSelectionModel"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Model defining universes for the algorithm</param>
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public UniverseSelectionModelPythonWrapper(PyObject model)
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{
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SetPythonInstance(model, false);
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using (Py.GIL())
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{
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_modelHasGetNextRefreshTime = HasAttr(nameof(IUniverseSelectionModel.GetNextRefreshTimeUtc));
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foreach (var attributeName in new[] { "CreateUniverses" })
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{
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if (!HasAttr(attributeName))
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{
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throw new NotImplementedException($"UniverseSelectionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
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}
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}
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var methodName = nameof(SetPythonInstance);
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if (HasAttr(methodName))
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{
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InvokeMethod(methodName, model);
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}
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}
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}
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/// <summary>
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/// Creates the universes for this algorithm. Called once after <see cref="IAlgorithm.Initialize"/>
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/// </summary>
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/// <param name="algorithm">The algorithm instance to create universes for</param>
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/// <returns>The universes to be used by the algorithm</returns>
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public override IEnumerable<Universe> CreateUniverses(QCAlgorithm algorithm)
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{
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return InvokeMethodAndEnumerate<Universe>(nameof(CreateUniverses), algorithm);
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}
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}
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}
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