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Assures that Coarse and Fine Fundamental are passed as List to AddUniverse

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This commit is contained in:
AlexCatarino
2018-05-23 15:13:07 +01:00
parent b346a65e6b
commit 19d403fd46
2 changed files with 53 additions and 29 deletions
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Algorithm/QCAlgorithm.Python.cs
+37 -17
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@@ -104,18 +104,27 @@ namespace QuantConnect.Algorithm
/// Creates a new universe and adds it to the algorithm. This is for coarse fundamental US Equity data and
/// will be executed on day changes in the NewYork time zone (<see cref="TimeZones.NewYork"/>
/// </summary>
/// <param name="pycoarse">Defines an initial coarse selection</param>
public void AddUniverse(PyObject pycoarse)
/// <param name="pyObject">Defines an initial coarse selection</param>
public void AddUniverse(PyObject pyObject)
{
var coarse = PythonUtil.ToFunc<IEnumerable<CoarseFundamental>, object[]>(pycoarse);
if (coarse != null)
{
AddUniverse(c => coarse(c).Select(x => (Symbol)x));
return;
}
Func<IEnumerable<CoarseFundamental>, object[]> coarse;
Universe universe;
var type = (Type)pycoarse.GetPythonType().AsManagedObject(typeof(Type));
AddUniverse((dynamic)pycoarse.AsManagedObject(type));
if (pyObject.TryConvertToDelegate(out coarse))
{
AddUniverse(c => coarse(c.ToList()).Select(x => (Symbol)x));
}
else if (pyObject.TryConvert(out universe))
{
AddUniverse(universe);
}
else
{
using (Py.GIL())
{
throw new ArgumentException($"QCAlgorithm.AddUniverse: {pyObject.Repr()} is not a valid argument.");
}
}
}
/// <summary>
@@ -126,9 +135,20 @@ namespace QuantConnect.Algorithm
/// <param name="pyfine">Defines a more detailed selection with access to more data</param>
public void AddUniverse(PyObject pycoarse, PyObject pyfine)
{
var coarse = PythonUtil.ToFunc<IEnumerable<CoarseFundamental>, object[]>(pycoarse);
var fine = PythonUtil.ToFunc<IEnumerable<FineFundamental>, object[]>(pyfine);
AddUniverse(c => coarse(c).Select(x => (Symbol)x), f => fine(f).Select(x => (Symbol)x));
Func<IEnumerable<CoarseFundamental>, object[]> coarse;
Func<IEnumerable<FineFundamental>, object[]> fine;
if (pycoarse.TryConvertToDelegate(out coarse) && pyfine.TryConvertToDelegate(out fine))
{
AddUniverse(c => coarse(c.ToList()).Select(x => (Symbol)x), f => fine(f.ToList()).Select(x => (Symbol)x));
}
else
{
using (Py.GIL())
{
throw new ArgumentException($"QCAlgorithm.AddUniverse: {pycoarse.Repr()} or {pyfine.Repr()} is not a valid argument.");
}
}
}
/// <summary>
@@ -140,7 +160,7 @@ namespace QuantConnect.Algorithm
/// <param name="pySelector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
public void AddUniverse(string name, Resolution resolution, PyObject pySelector)
{
var selector = PythonUtil.ToFunc<DateTime, object[]>(pySelector);
var selector = pySelector.ConvertToDelegate<Func<DateTime, object[]>>();
AddUniverse(name, resolution, d => selector(d).Select(x => (string)x));
}
@@ -152,7 +172,7 @@ namespace QuantConnect.Algorithm
/// <param name="pySelector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
public void AddUniverse(string name, PyObject pySelector)
{
var selector = PythonUtil.ToFunc<DateTime, object[]>(pySelector);
var selector = pySelector.ConvertToDelegate<Func<DateTime, object[]>>();
AddUniverse(name, d => selector(d).Select(x => (string)x));
}
@@ -167,7 +187,7 @@ namespace QuantConnect.Algorithm
/// <param name="pySelector">Function delegate that accepts a DateTime and returns a collection of string symbols</param>
public void AddUniverse(SecurityType securityType, string name, Resolution resolution, string market, UniverseSettings universeSettings, PyObject pySelector)
{
var selector = PythonUtil.ToFunc<DateTime, object[]>(pySelector);
var selector = pySelector.ConvertToDelegate<Func<DateTime, object[]>>();
AddUniverse(securityType, name, resolution, market, universeSettings, d => selector(d).Select(x => (string)x));
}
@@ -275,7 +295,7 @@ namespace QuantConnect.Algorithm
var symbol = QuantConnect.Symbol.Create(name, securityType, market);
var config = new SubscriptionDataConfig(dataType, symbol, resolution, dataTimeZone, exchangeTimeZone, false, false, true, true, isFilteredSubscription: false);
var selector = PythonUtil.ToFunc<IEnumerable<IBaseData>, object[]>(pySelector);
var selector = pySelector.ConvertToDelegate<Func<IEnumerable<IBaseData>, object[]>>();
AddUniverse(new FuncUniverse(config, universeSettings, SecurityInitializer, d => selector(d)
.Select(x => x is Symbol ? (Symbol)x : QuantConnect.Symbol.Create((string)x, securityType, market))));