wehub-resource-sync
91 lines
3.7 KiB
C#
91 lines
3.7 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using Python.Runtime;
|
|
using QuantConnect.Algorithm.Framework.Portfolio;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Python;
|
|
using System;
|
|
|
|
namespace QuantConnect.Algorithm.Framework.Execution
|
|
{
|
|
/// <summary>
|
|
/// Provides an implementation of <see cref="IExecutionModel"/> that wraps a <see cref="PyObject"/> object
|
|
/// </summary>
|
|
public class ExecutionModelPythonWrapper : ExecutionModel
|
|
{
|
|
private readonly bool _onOrderEventsDefined;
|
|
|
|
/// <summary>
|
|
/// Constructor for initialising the <see cref="IExecutionModel"/> class with wrapped <see cref="PyObject"/> object
|
|
/// </summary>
|
|
/// <param name="model">Model defining how to execute trades to reach a portfolio target</param>
|
|
public ExecutionModelPythonWrapper(PyObject model)
|
|
{
|
|
SetPythonInstance(model, false);
|
|
foreach (var attributeName in new[] { "Execute", "OnSecuritiesChanged" })
|
|
{
|
|
if (!HasAttr(attributeName))
|
|
{
|
|
throw new NotImplementedException($"IExecutionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
|
|
}
|
|
}
|
|
|
|
_onOrderEventsDefined = HasAttr("OnOrderEvent");
|
|
|
|
var methodName = nameof(SetPythonInstance);
|
|
if (HasAttr(methodName))
|
|
{
|
|
InvokeMethod(methodName, model);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Submit orders for the specified portfolio targets.
|
|
/// This model is free to delay or spread out these orders as it sees fit
|
|
/// </summary>
|
|
/// <param name="algorithm">The algorithm instance</param>
|
|
/// <param name="targets">The portfolio targets to be ordered</param>
|
|
public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
|
|
{
|
|
InvokeMethod(nameof(Execute), algorithm, targets).Dispose();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event fired each time the we add/remove securities from the data feed
|
|
/// </summary>
|
|
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
|
|
/// <param name="changes">The security additions and removals from the algorithm</param>
|
|
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
|
|
{
|
|
InvokeMethod(nameof(OnSecuritiesChanged), algorithm, changes).Dispose();
|
|
}
|
|
|
|
/// <summary>
|
|
/// New order event handler
|
|
/// </summary>
|
|
/// <param name="algorithm">The algorithm instance</param>
|
|
/// <param name="orderEvent">Order event to process</param>
|
|
public override void OnOrderEvent(QCAlgorithm algorithm, OrderEvent orderEvent)
|
|
{
|
|
if (_onOrderEventsDefined)
|
|
{
|
|
InvokeMethod(nameof(OnOrderEvent), algorithm, orderEvent).Dispose();
|
|
}
|
|
}
|
|
}
|
|
}
|