wehub-resource-sync
64 lines
2.2 KiB
C#
64 lines
2.2 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 System;
|
|
using Python.Runtime;
|
|
|
|
namespace QuantConnect.Benchmarks
|
|
{
|
|
/// <summary>
|
|
/// Creates a benchmark defined by a function
|
|
/// </summary>
|
|
public class FuncBenchmark : IBenchmark
|
|
{
|
|
private readonly Func<DateTime, decimal> _benchmark;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="FuncBenchmark"/> class
|
|
/// </summary>
|
|
/// <param name="benchmark">The functional benchmark implementation</param>
|
|
public FuncBenchmark(Func<DateTime, decimal> benchmark)
|
|
{
|
|
if (benchmark == null)
|
|
{
|
|
throw new ArgumentNullException(nameof(benchmark));
|
|
}
|
|
_benchmark = benchmark;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Create a function benchmark from a Python function
|
|
/// </summary>
|
|
/// <param name="pyFunc"></param>
|
|
public FuncBenchmark(PyObject pyFunc)
|
|
{
|
|
if (!pyFunc.TrySafeAs(out _benchmark))
|
|
{
|
|
throw new ArgumentException($"FuncBenchmark(): {Messages.FuncBenchmark.UnableToConvertPythonFunctionToBenchmarkFunction}");
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Evaluates this benchmark at the specified time
|
|
/// </summary>
|
|
/// <param name="time">The time to evaluate the benchmark at</param>
|
|
/// <returns>The value of the benchmark at the specified time</returns>
|
|
public decimal Evaluate(DateTime time)
|
|
{
|
|
return _benchmark(time);
|
|
}
|
|
}
|
|
}
|