wehub-resource-sync
108 lines
3.8 KiB
C#
108 lines
3.8 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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*/
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using System;
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using Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Logging;
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using System.Collections.Generic;
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namespace QuantConnect.Securities
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{
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/// <summary>
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/// Seed a security price from a history function
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/// </summary>
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public class FuncSecuritySeeder : ISecuritySeeder
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{
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private readonly Func<Security, IEnumerable<BaseData>> _seedFunction;
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/// <summary>
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/// Constructor that takes as a parameter the security used to seed the price
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/// </summary>
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/// <param name="seedFunction">The seed function to use</param>
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public FuncSecuritySeeder(PyObject seedFunction)
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{
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var result = seedFunction.SafeAs<Func<Security, object>>();
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_seedFunction = security =>
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{
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var dataObject = result(security);
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var dataPoint = dataObject as BaseData;
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if (dataPoint != null)
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{
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return new[] { dataPoint };
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}
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return (IEnumerable<BaseData>)dataObject;
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};
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}
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/// <summary>
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/// Constructor that takes as a parameter the security used to seed the price
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/// </summary>
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/// <param name="seedFunction">The seed function to use</param>
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public FuncSecuritySeeder(Func<Security, BaseData> seedFunction)
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: this(security => { return new []{ seedFunction(security) }; })
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{
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}
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/// <summary>
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/// Constructor that takes as a parameter the security used to seed the price
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/// </summary>
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/// <param name="seedFunction">The seed function to use</param>
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public FuncSecuritySeeder(Func<Security, IEnumerable<BaseData>> seedFunction)
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{
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_seedFunction = seedFunction;
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}
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/// <summary>
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/// Seed the security
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/// </summary>
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/// <param name="security"><see cref="Security"/> being seeded</param>
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/// <returns>true if the security was seeded, false otherwise</returns>
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public bool SeedSecurity(Security security)
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{
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try
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{
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// Do not seed canonical symbols
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if (!security.Symbol.IsCanonical())
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{
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var gotData = false;
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foreach (var seedData in _seedFunction(security))
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{
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gotData = true;
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security.SetMarketPrice(seedData);
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Log.Debug("FuncSecuritySeeder.SeedSecurity(): " + Messages.FuncSecuritySeeder.SeededSecurityInfo(seedData));
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}
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if (!gotData)
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{
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Log.Trace("FuncSecuritySeeder.SeedSecurity(): " + Messages.FuncSecuritySeeder.UnableToSeedSecurity(security));
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return false;
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}
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}
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}
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catch (Exception exception)
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{
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Log.Trace("FuncSecuritySeeder.SeedSecurity(): " + Messages.FuncSecuritySeeder.UnableToSecurityPrice(security) + $": {exception}");
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return false;
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}
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return true;
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}
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}
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}
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