Implements python support for custom models in framework

Adds method overload that accept a `PyObject` to `SetAlpha`, `SetExecution`, `SetPortfolioConstruction`, `SetPortfolioSelection` and `SetRiskManagement`. In these methods, a custom model written in python will be wrapped around the respective `PythonWrapper`.
2018-03-13 11:35:31 +00:00
parent 4e3577939d
commit 35d29060d0
8 changed files with 501 additions and 1 deletions
@@ -0,0 +1,77 @@
+/*
+ * 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 System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.Framework.Execution
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IExecutionModel"/> that wraps a <see cref="PyObject"/> object
+    /// </summary>
+    public class ExecutionModelPythonWrapper : IExecutionModel
+    {
+        private readonly dynamic _model;
+
+        /// <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)
+        {
+            using (Py.GIL())
+            {
+                foreach (var attributeName in new[] { "Execute", "OnSecuritiesChanged" })
+                {
+                    if (!model.HasAttr(attributeName))
+                    {
+                        throw new NotImplementedException($"IExecutionModel.{attributeName} must be implemented. Please checkout the {model.GetPythonType()}");
+                    }
+                }
+            }
+            _model = model;
+        }
+
+        /// <summary>
+        /// Submit orders for the specified portolio 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 void Execute(QCAlgorithmFramework algorithm, IEnumerable<IPortfolioTarget> targets)
+        {
+            using (Py.GIL())
+            {
+                _model.Execute(algorithm, targets);
+            }
+        }
+
+        /// <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 void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
+        {
+            using (Py.GIL())
+            {
+                _model.OnSecuritiesChanged(algorithm, changes);
+            }
+        }
+    }
+}