wehub-resource-sync
123 lines
4.7 KiB
C#
123 lines
4.7 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 System;
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using System.Collections.Concurrent;
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using System.Collections.Generic;
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using Python.Runtime;
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using QuantConnect.Interfaces;
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using QuantConnect.Python;
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using QuantConnect.Securities;
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namespace QuantConnect.Data.UniverseSelection
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{
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/// <summary>
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/// Provides an implementation of <see cref="Universe"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class UniversePythonWrapper : Universe
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{
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private readonly BasePythonWrapper<Universe> _model;
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/// <summary>
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/// Gets the settings used for subscriptions added for this universe
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/// </summary>
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public override UniverseSettings UniverseSettings
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{
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get
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{
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return _model.GetProperty<UniverseSettings>(nameof(UniverseSettings));
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}
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set
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{
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_model.SetProperty(nameof(UniverseSettings), value);
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}
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}
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/// <summary>
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/// Flag indicating if disposal of this universe has been requested
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/// </summary>
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public override bool DisposeRequested
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{
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get
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{
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return _model.GetProperty<bool>(nameof(DisposeRequested));
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}
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protected set
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{
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_model.SetProperty(nameof(DisposeRequested), value);
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}
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}
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/// <summary>
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/// Gets the configuration used to get universe data
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/// </summary>
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public override SubscriptionDataConfig Configuration
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{
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get
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{
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return _model.GetProperty<SubscriptionDataConfig>(nameof(Configuration));
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}
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}
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/// <summary>
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/// Gets the internal security collection used to define membership in this universe
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/// </summary>
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public override ConcurrentDictionary<Symbol, Member> Securities
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{
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get
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{
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return _model.GetProperty<ConcurrentDictionary<Symbol, Member>>(nameof(Securities));
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}
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="UniversePythonWrapper"/> class
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/// </summary>
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public UniversePythonWrapper(PyObject universe) : base(null)
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{
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_model = new BasePythonWrapper<Universe>(universe, false);
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}
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/// <summary>
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/// Performs universe selection using the data specified
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/// </summary>
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/// <param name="utcTime">The current utc time</param>
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/// <param name="data">The symbols to remain in the universe</param>
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/// <returns>The data that passes the filter</returns>
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public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
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{
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return _model.InvokeMethodAndEnumerate<Symbol>(nameof(SelectSymbols), utcTime, data);
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}
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/// <summary>
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/// Gets the subscription requests to be added for the specified security
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/// </summary>
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/// <param name="security">The security to get subscriptions for</param>
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/// <param name="currentTimeUtc">The current time in utc. This is the frontier time of the algorithm</param>
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/// <param name="maximumEndTimeUtc">The max end time</param>
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/// <param name="subscriptionService">Instance which implements <see cref="ISubscriptionDataConfigService"/> interface</param>
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/// <returns>All subscriptions required by this security</returns>
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public override IEnumerable<SubscriptionRequest> GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc,
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ISubscriptionDataConfigService subscriptionService)
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{
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var requests = _model.InvokeMethodAndEnumerate<SubscriptionRequest>(nameof(GetSubscriptionRequests), security, currentTimeUtc,
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maximumEndTimeUtc, subscriptionService);
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foreach (var subscriptionRequest in requests)
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{
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yield return new SubscriptionRequest(subscriptionRequest, universe: this);
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}
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}
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}
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}
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