wehub-resource-sync
75 lines
2.9 KiB
C#
75 lines
2.9 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 Python.Runtime;
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Scheduling
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{
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/// <summary>
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/// Uses a function to define a time rule as a projection of date times to date times
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/// </summary>
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public class FuncTimeRule : ITimeRule
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{
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private readonly Func<IEnumerable<DateTime>, IEnumerable<DateTime>> _createUtcEventTimesFunction;
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/// <summary>
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/// Initializes a new instance of the <see cref="FuncTimeRule"/> class
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/// </summary>
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/// <param name="name">The name of the time rule</param>
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/// <param name="createUtcEventTimesFunction">Function used to transform dates into event date times</param>
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public FuncTimeRule(string name, Func<IEnumerable<DateTime>, IEnumerable<DateTime>> createUtcEventTimesFunction)
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{
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Name = name;
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_createUtcEventTimesFunction = createUtcEventTimesFunction;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="FuncTimeRule"/> class using a Python function
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/// </summary>
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/// <param name="name">The name of the time rule</param>
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/// <param name="createUtcEventTimesFunction">Function used to transform dates into event date times in Python</param>
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public FuncTimeRule(string name, PyObject createUtcEventTimesFunction)
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{
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Name = name;
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if (!createUtcEventTimesFunction.TrySafeAs(out _createUtcEventTimesFunction))
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{
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throw new ArgumentException("Python TimeRule provided is not a function");
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}
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}
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/// <summary>
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/// Gets a name for this rule
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/// </summary>
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public string Name
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{
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get; private set;
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}
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/// <summary>
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/// Creates the event times for the specified dates in UTC
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/// </summary>
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/// <param name="dates">The dates to apply times to</param>
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/// <returns>An enumerable of date times that is the result
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/// of applying this rule to the specified dates</returns>
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public IEnumerable<DateTime> CreateUtcEventTimes(IEnumerable<DateTime> dates)
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{
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return _createUtcEventTimesFunction(dates);
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}
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}
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}
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