wehub-resource-sync
195 lines
8.2 KiB
C#
195 lines
8.2 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 System;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Data.Consolidators
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{
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/// <summary>
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/// Represents a timeless consolidator which depends on the given values. This consolidator
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/// is meant to consolidate data into bars that do not depend on time, e.g., RangeBar's.
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/// </summary>
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public abstract class BaseTimelessConsolidator<T> : ConsolidatorBase
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where T : IBaseData
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{
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/// <summary>
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/// Extracts the value from a data instance to be formed into a <see cref="T"/>.
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/// </summary>
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protected Func<IBaseData, decimal> Selector { get; set; }
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/// <summary>
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/// Extracts the volume from a data instance. The default value is null which does
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/// not aggregate volume per bar.
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/// </summary>
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protected Func<IBaseData, decimal> VolumeSelector { get; set; }
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/// <summary>
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/// Bar being created
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/// </summary>
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protected virtual T CurrentBar { get; set; }
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/// <summary>
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/// Gets a clone of the data being currently consolidated
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/// </summary>
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public abstract override IBaseData WorkingData { get; }
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/// <summary>
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/// Gets the type consumed by this consolidator
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/// </summary>
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public override Type InputType => typeof(IBaseData);
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/// <summary>
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/// Gets <see cref="T"/> which is the type emitted in the <see cref="IDataConsolidator.DataConsolidated"/> event.
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/// </summary>
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public override Type OutputType => typeof(T);
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/// <summary>
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/// Typed event handler that fires when a new piece of data is produced
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/// </summary>
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public new event EventHandler<T> DataConsolidated;
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseTimelessConsolidator{T}" /> class.
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/// </summary>
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/// <param name="selector">Extracts the value from a data instance to be formed into a new bar which inherits from <see cref="IBaseData"/>. The default
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/// value is (x => x.Value) the <see cref="IBaseData.Value"/> property on <see cref="IBaseData"/></param>
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/// <param name="volumeSelector">Extracts the volume from a data instance. The default value is null which does
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/// not aggregate volume per bar.</param>
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protected BaseTimelessConsolidator(Func<IBaseData, decimal> selector = null, Func<IBaseData, decimal> volumeSelector = null)
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{
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Selector = selector ?? (x => x.Value);
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VolumeSelector = volumeSelector ?? (x => x is TradeBar bar ? bar.Volume : (x is Tick tick ? tick.Quantity : 0));
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="BaseTimelessConsolidator{T}" /> class.
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/// </summary>
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/// <param name="valueSelector">Extracts the value from a data instance to be formed into a new bar which inherits from <see cref="IBaseData"/>. The default
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/// value is (x => x.Value) the <see cref="IBaseData.Value"/> property on <see cref="IBaseData"/></param>
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/// <param name="volumeSelector">Extracts the volume from a data instance. The default value is null which does
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/// not aggregate volume per bar.</param>
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protected BaseTimelessConsolidator(PyObject valueSelector, PyObject volumeSelector = null)
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: this (TryToConvertSelector(valueSelector, nameof(valueSelector)), TryToConvertSelector(volumeSelector, nameof(volumeSelector)))
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{
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}
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/// <summary>
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/// Tries to convert the given python selector to a C# one. If the conversion is not
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/// possible it returns null
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/// </summary>
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/// <param name="selector">The python selector to be converted</param>
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/// <param name="selectorName">The name of the selector to be used in case an exception is thrown</param>
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/// <exception cref="ArgumentException">This exception will be thrown if it's not possible to convert the
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/// given python selector to C#</exception>
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private static Func<IBaseData, decimal> TryToConvertSelector(PyObject selector, string selectorName)
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{
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using (Py.GIL())
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{
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Func<IBaseData, decimal> resultSelector;
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if (selector != null && !selector.IsNone())
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{
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if (!selector.TrySafeAs(out resultSelector))
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{
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throw new ArgumentException(
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$"Unable to convert parameter {selectorName} to delegate type Func<IBaseData, decimal>");
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}
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}
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else
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{
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resultSelector = null;
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}
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return resultSelector;
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}
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}
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/// <summary>
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/// Updates this consolidator with the specified data
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/// </summary>
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/// <param name="data">The new data for the consolidator</param>
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public override void Update(IBaseData data)
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{
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var currentValue = Selector(data);
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var volume = VolumeSelector(data);
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// If we're already in a bar then update it
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if (CurrentBar != null)
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{
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UpdateBar(data.Time, currentValue, volume);
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}
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// The state of the CurrentBar could have changed after UpdateBar(),
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// then we might need to create a new bar
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if (CurrentBar == null)
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{
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CreateNewBar(data, currentValue, volume);
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}
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}
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/// <summary>
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/// Updates the current RangeBar being created with the given data.
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/// Additionally, if it's the case, it consolidates the current RangeBar
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/// </summary>
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/// <param name="time">Time of the given data</param>
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/// <param name="currentValue">Value of the given data</param>
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/// <param name="volume">Volume of the given data</param>
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protected abstract void UpdateBar(DateTime time, decimal currentValue, decimal volume);
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/// <summary>
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/// Creates a new bar with the given data
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/// </summary>
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/// <param name="data">The new data for the bar</param>
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/// <param name="currentValue">The new value for the bar</param>
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/// <param name="volume">The new volume to the bar</param>
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protected abstract void CreateNewBar(IBaseData data, decimal currentValue, decimal volume);
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/// <summary>
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/// Raises the strongly typed DataConsolidated event
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/// </summary>
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/// <param name="consolidated">The newly consolidated data</param>
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protected override void FireDataConsolidated(IBaseData consolidated)
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{
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DataConsolidated?.Invoke(this, (T)consolidated);
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}
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/// <summary>Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.</summary>
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/// <filterpriority>2</filterpriority>
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public override void Dispose()
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{
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DataConsolidated = null;
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base.Dispose();
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}
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/// <summary>
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/// Resets the consolidator
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/// </summary>
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public override void Reset()
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{
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CurrentBar = default(T);
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base.Reset();
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}
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/// <summary>
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/// Scans this consolidator to see if it should emit a bar due to time passing
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/// </summary>
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/// <param name="currentLocalTime">The current time in the local time zone (same as <see cref="BaseData.Time"/>)</param>
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public override void Scan(DateTime currentLocalTime)
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{
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}
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}
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}
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