wehub-resource-sync
96 lines
3.8 KiB
C#
96 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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using Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using System;
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using System.Collections.Generic;
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using QuantConnect.Python;
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namespace QuantConnect.Algorithm.Framework.Alphas
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{
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/// <summary>
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/// Provides an implementation of <see cref="IAlphaModel"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class AlphaModelPythonWrapper : AlphaModel
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{
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/// <summary>
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/// Defines a name for a framework model
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/// </summary>
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public override string Name
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{
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get
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{
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using (Py.GIL())
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{
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// if the model defines a Name property then use that
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if (HasAttr(nameof(Name)))
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{
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return GetProperty<string>(nameof(Name));
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}
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// if the model does not define a name property, use the python type name
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return GetProperty(" __class__").GetAttr("__name__").GetAndDispose<string>();
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}
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}
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}
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/// <summary>
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/// Constructor for initialising the <see cref="IAlphaModel"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">>Model that generates alpha</param>
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public AlphaModelPythonWrapper(PyObject model)
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{
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SetPythonInstance(model, false);
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foreach (var attributeName in new[] { "Update", "OnSecuritiesChanged" })
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{
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if (!HasAttr(attributeName))
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{
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throw new NotImplementedException($"IAlphaModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
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}
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}
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var methodName = nameof(SetPythonInstance);
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if (HasAttr(methodName))
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{
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InvokeMethod(methodName, model);
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}
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}
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/// <summary>
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/// Updates this alpha model with the latest data from the algorithm.
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/// This is called each time the algorithm receives data for subscribed securities
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="data">The new data available</param>
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/// <returns>The new insights generated</returns>
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public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
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{
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return InvokeMethodAndEnumerate<Insight>(nameof(Update), algorithm, data);
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
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{
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InvokeVoidMethod(nameof(OnSecuritiesChanged), algorithm, changes);
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}
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}
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}
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