Bump Pythonnet version to 2.0.21 (#7367)

* Add security dynamic properties unit and regression tests. These assert that dynamic properties that are instances of python classes that inherit c# classes keep their python object references. * Minor change * Bump pythonnet version to 2.0.21 * Fix security dynamic properties cast from PyObject * Minor change
2023-07-11 19:43:49 -04:00
parent 1ea0cd9d82
commit 72e7dca7af
15 changed files with 194 additions and 16 deletions
@@ -0,0 +1,59 @@
+# 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.
+
+from AlgorithmImports import *
+from collections import deque
+
+### <summary>
+### Algorithm asserting that security dynamic properties keep Python references to the Python class they are instances of,
+### specifically when this class is a subclass of a C# class.
+### </summary>
+class SecurityDynamicPropertyPythonClassAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        self.SetStartDate(2013, 10, 7)
+        self.SetEndDate(2013, 10, 7)
+
+        self.spy = self.AddEquity("SPY", Resolution.Minute)
+
+        customSMA = CustomSimpleMovingAverage('custom', 60)
+        self.spy.CustomSMA = customSMA
+        customSMA.Security = self.spy
+
+        self.RegisterIndicator(self.spy.Symbol, self.spy.CustomSMA,  Resolution.Minute)
+
+
+    def OnWarmupFinished(self) -> None:
+        if type(self.spy.CustomSMA) != CustomSimpleMovingAverage:
+            raise Exception("spy.CustomSMA is not an instance of CustomSimpleMovingAverage")
+
+        if self.spy.CustomSMA.Security is None:
+            raise Exception("spy.CustomSMA.Security is None")
+        else:
+            self.Debug(f"spy.CustomSMA.Security.Symbol: {self.spy.CustomSMA.Security.Symbol}")
+
+    def OnData(self, slice: Slice) -> None:
+        if self.spy.CustomSMA.IsReady:
+            self.Debug(f"CustomSMA: {self.spy.CustomSMA.Current.Value}")
+
+class CustomSimpleMovingAverage(PythonIndicator):
+    def __init__(self, name, period):
+        super().__init__()
+        self.Name = name
+        self.Value = 0
+        self.queue = deque(maxlen=period)
+
+    def Update(self, input):
+        self.queue.appendleft(input.Value)
+        count = len(self.queue)
+        self.Value = np.sum(self.queue) / count
+        return count == self.queue.maxlen