Custom Data for Python Support

Algorithm.Python/AlgorithmPythonUtil.py

@@ -0,0 +1,40 @@
+# 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.
+
+import decimal
+from clr import AddReference
+AddReference("QuantConnect.Common")
+
+from QuantConnect.Python import PythonData
+
+def OnPythonData(self, data):       
+    self.OnData(PythonSlice(data))
+
+class PythonSlice(dict):
+    '''PythonSlice class: '''
+    def __init__(self, slice):
+        for data in slice:
+            self[data.Key] = Data(data.Value)
+
+class Data(object):
+    '''Python Data class: Converts custom data (PythonData) into a python object'''
+    def __init__(self, data):
+        members = [attr for attr in dir(data) if not callable(attr) and not attr.startswith("__")]
+        for member in members:
+            setattr(self, member, getattr(data, member))
+        
+        if not isinstance(data, PythonData): return
+
+        for member in data.DynamicMembers:
+            val = data[member]
+            setattr(self, member, decimal.Decimal(val) if isinstance(val, float) else val)