wehub-resource-sync
84 lines
3.1 KiB
C#
84 lines
3.1 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.Generic;
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using System.Linq;
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using Deedle;
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using Python.Runtime;
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using QuantConnect.Orders;
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using QuantConnect.Packets;
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namespace QuantConnect.Report.ReportElements
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{
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internal sealed class LeverageUtilizationReportElement : ChartReportElement
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{
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private LiveResult _live;
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private BacktestResult _backtest;
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private List<PointInTimePortfolio> _backtestPortfolios;
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private List<PointInTimePortfolio> _livePortfolios;
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/// <summary>
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/// Create a new plot of the leverage utilization
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/// </summary>
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/// <param name="name">Name of the widget</param>
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/// <param name="key">Location of injection</param>
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/// <param name="backtest">Backtest result object</param>
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/// <param name="live">Live result object</param>
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/// <param name="backtestPortfolios">Backtest point in time portfolios</param>
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/// <param name="livePortfolios">Live point in time portfolios</param>
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public LeverageUtilizationReportElement(
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string name,
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string key,
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BacktestResult backtest,
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LiveResult live,
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List<PointInTimePortfolio> backtestPortfolios,
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List<PointInTimePortfolio> livePortfolios)
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{
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_backtest = backtest;
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_backtestPortfolios = backtestPortfolios;
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_live = live;
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_livePortfolios = livePortfolios;
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Name = name;
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Key = key;
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}
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/// <summary>
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/// Generate the leverage utilization plot using the python libraries.
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/// </summary>
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public override string Render()
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{
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var backtestSeries = Metrics.LeverageUtilization(_backtestPortfolios).FillMissing(Direction.Forward);
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var liveSeries = Metrics.LeverageUtilization(_livePortfolios).FillMissing(Direction.Forward);
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var base64 = "";
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using (Py.GIL())
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{
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var backtestList = new PyList();
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var liveList = new PyList();
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backtestList.Append(backtestSeries.Keys.ToList().ToPython());
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backtestList.Append(backtestSeries.Values.ToList().ToPython());
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liveList.Append(liveSeries.Keys.ToList().ToPython());
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liveList.Append(liveSeries.Values.ToList().ToPython());
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base64 = Charting.GetLeverage(backtestList, liveList);
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}
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return base64;
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}
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}
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} |