Extends SetBenchmark to accept functions as paramenters in Python

2017-10-12 23:57:20 +01:00
parent b8c7bed5f9
commit 6fc55de371
2 changed files with 24 additions and 1 deletions
@@ -565,6 +565,25 @@ namespace QuantConnect.Algorithm
            return _converter.GetDataFrame(History(symbols, start, end, resolution));
        }

+        /// <summary>
+        /// Sets the specified function as the benchmark, this function provides the value of
+        /// the benchmark at each date/time requested
+        /// </summary>
+        /// <param name="benchmark">The benchmark producing function</param>
+        public void SetBenchmark(PyObject benchmark)
+        {
+            using (Py.GIL())
+            {
+                var pyBenchmark = PythonUtil.ToFunc<DateTime, decimal>(benchmark);
+                if (pyBenchmark != null)
+                {
+                    SetBenchmark(pyBenchmark);
+                    return;
+                }
+                SetBenchmark((Symbol)benchmark.AsManagedObject(typeof(Symbol)));
+            }
+        }
+
        /// <summary>
        /// Sets the brokerage to emulate in backtesting or paper trading.
        /// This can be used to set a custom brokerage model.