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 +1,115 @@
+/*
+ * 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.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Risk;
+using QuantConnect.Algorithm.Framework.Selection;
+
+namespace QuantConnect.Algorithm.Framework
+{
+    /// <summary>
+    /// Algorithm framework base class that enforces a modular approach to algorithm development
+    /// </summary>
+    public partial class QCAlgorithmFramework
+    {
+        /// <summary>
+        /// Sets the alpha model
+        /// </summary>
+        /// <param name="alpha">Model that generates alpha</param>
+        public void SetAlpha(PyObject alpha)
+        {
+            IAlphaModel model;
+            if (alpha.TryConvert(out model))
+            {
+                SetAlpha(model);
+            }
+            else
+            {
+                Alpha = new AlphaModelPythonWrapper(alpha);
+            }
+        }
+
+        /// <summary>
+        /// Sets the execution model
+        /// </summary>
+        /// <param name="execution">Model defining how to execute trades to reach a portfolio target</param>
+        public void SetExecution(PyObject execution)
+        {
+            IExecutionModel model;
+            if (execution.TryConvert(out model))
+            {
+                SetExecution(model);
+            }
+            else
+            {
+                Execution = new ExecutionModelPythonWrapper(execution);
+            }
+        }
+
+        /// <summary>
+        /// Sets the portfolio construction model
+        /// </summary>
+        /// <param name="portfolioConstruction">Model defining how to build a portoflio from alphas</param>
+        public void SetPortfolioConstruction(PyObject portfolioConstruction)
+        {
+            IPortfolioConstructionModel model;
+            if (portfolioConstruction.TryConvert(out model))
+            {
+                SetPortfolioConstruction(model);
+            }
+            else
+            {
+                PortfolioConstruction = new PortfolioConstructionModelPythonWrapper(portfolioConstruction);
+            }
+        }
+
+        /// <summary>
+        /// Sets the portfolio selection model
+        /// </summary>
+        /// <param name="portfolioSelection">Model defining universes for the algorithm</param>
+        public void SetPortfolioSelection(PyObject portfolioSelection)
+        {
+            IPortfolioSelectionModel model;
+            if (portfolioSelection.TryConvert(out model))
+            {
+                SetPortfolioSelection(model);
+            }
+            else
+            {
+                PortfolioSelection = new PortfolioSelectionModelPythonWrapper(portfolioSelection);
+            }
+        }
+
+        /// <summary>
+        /// Sets the risk management model
+        /// </summary>
+        /// <param name="riskManagement">Model defining how risk is managed</param>
+        public void SetRiskManagement(PyObject riskManagement)
+        {
+            IRiskManagementModel model;
+            if (riskManagement.TryConvert(out model))
+            {
+                SetRiskManagement(model);
+            }
+            else
+            {
+                RiskManagement = new RiskManagementModelPythonWrapper(riskManagement);
+            }
+        }
+    }
+}