wehub-resource-sync
115 lines
3.7 KiB
C#
115 lines
3.7 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.Consolidators;
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using QuantConnect.Indicators;
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using System;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Provides a base class for python consolidators, necessary to use event handler.
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/// Inherits the built-in rolling window so custom Python consolidators can access their
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/// consolidated history through the indexer, Current, Previous and Window members.
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/// </summary>
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public class PythonConsolidator : WindowBase<IBaseData>, IDataConsolidator
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{
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/// <summary>
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/// Gets the most recently consolidated piece of data. This will be null if this consolidator
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/// has not produced any data yet.
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/// </summary>
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public IBaseData Consolidated
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{
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get; set;
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}
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/// <summary>
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/// Gets a clone of the data being currently consolidated
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/// </summary>
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public IBaseData WorkingData
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{
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get; set;
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}
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/// <summary>
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/// Gets the type consumed by this consolidator
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/// </summary>
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public Type InputType
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{
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get; set;
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}
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/// <summary>
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/// Gets the type produced by this consolidator
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/// </summary>
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public Type OutputType
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{
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get; set;
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}
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/// <summary>
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/// Event handler that fires when a new piece of data is produced
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/// </summary>
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public event DataConsolidatedHandler DataConsolidated;
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/// <summary>
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/// Function to invoke the event handler
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/// </summary>
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/// <param name="consolidator">Reference to the consolidator itself</param>
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/// <param name="data">The finished data from the consolidator</param>
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public void OnDataConsolidated(PyObject consolidator, IBaseData data)
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{
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// populate the rolling window before firing so a handler sees the new bar at index 0
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if (data != null)
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{
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Current = data;
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}
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DataConsolidated?.Invoke(consolidator, data);
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}
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/// <summary>
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/// Resets the consolidator
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/// </summary>
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public virtual void Reset()
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{
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Consolidated = null;
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WorkingData = null;
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ResetWindow();
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}
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/// <summary>
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/// Scans this consolidator to see if it should emit a bar due to time passing
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/// </summary>
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/// <param name="currentLocalTime">The current time in the local time zone (same as <see cref="BaseData.Time"/>)</param>
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public virtual void Scan(DateTime currentLocalTime)
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{
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}
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/// <summary>
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/// Updates this consolidator with the specified data
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/// </summary>
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/// <param name="data">The new data for the consolidator</param>
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public virtual void Update(IBaseData data)
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{
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}
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public void Dispose()
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{
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}
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}
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}
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