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Support new Pythonnet delegates auto conversion (#8913)
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* Use new Pythonnet support for automatic delegates conversion

* Update Pythonnet version to 2.0.46

* Cleanup

* Minor fix

* Add unit tests
This commit is contained in:
Jhonathan Abreu
2025-08-07 09:40:06 -04:00
committed by GitHub
parent 69dfdcefc5
commit cc79cab3dc
46 changed files with 222 additions and 237 deletions
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Algorithm/QCAlgorithm.Python.cs
+62 -62
View File
@@ -240,7 +240,7 @@ namespace QuantConnect.Algorithm
public void AddFutureOption(Symbol futureSymbol, PyObject optionFilter)
{
Func<OptionFilterUniverse, OptionFilterUniverse> optionFilterUniverse;
if (!optionFilter.TryConvertToDelegate(out optionFilterUniverse))
if (!optionFilter.TrySafeAs(out optionFilterUniverse))
{
throw new ArgumentException("Option contract universe filter provided is not a function");
}
@@ -308,7 +308,7 @@ namespace QuantConnect.Algorithm
{
return AddUniverse(new UniversePythonWrapper(pyObject));
}
else if (pyObject.TryConvertToDelegate(out fundamentalSelector))
else if (pyObject.TrySafeAs(out fundamentalSelector))
{
return AddUniverse(FundamentalUniverse.USA(fundamentalSelector));
}
@@ -343,7 +343,7 @@ namespace QuantConnect.Algorithm
dateRule = pyObject.As<IDateRule>();
}
if (pyfine.TryConvertToDelegate(out coarseFunc))
if (pyfine.TrySafeAs(out coarseFunc))
{
return AddUniverse(dateRule, coarseFunc.ConvertToUniverseSelectionSymbolDelegate());
}
@@ -357,11 +357,11 @@ namespace QuantConnect.Algorithm
{
return AddUniverse(pyObject, null, pyfine);
}
else if (pyObject.TryConvert(out Universe universe) && pyfine.TryConvertToDelegate(out fineFunc))
else if (pyObject.TryConvert(out Universe universe) && pyfine.TrySafeAs(out fineFunc))
{
return AddUniverse(universe, fineFunc.ConvertToUniverseSelectionSymbolDelegate());
}
else if (pyObject.TryConvertToDelegate(out coarseFunc) && pyfine.TryConvertToDelegate(out fineFunc))
else if (pyObject.TrySafeAs(out coarseFunc) && pyfine.TrySafeAs(out fineFunc))
{
return AddUniverse(coarseFunc.ConvertToUniverseSelectionSymbolDelegate(),
fineFunc.ConvertToUniverseSelectionSymbolDelegate());
@@ -385,7 +385,7 @@ namespace QuantConnect.Algorithm
[DocumentationAttribute(Universes)]
public Universe AddUniverse(string name, Resolution resolution, PyObject pySelector)
{
var selector = pySelector.ConvertToDelegate<Func<DateTime, object>>();
var selector = pySelector.SafeAs<Func<DateTime, object>>();
return AddUniverse(name, resolution, selector.ConvertToUniverseSelectionStringDelegate());
}
@@ -398,7 +398,7 @@ namespace QuantConnect.Algorithm
[DocumentationAttribute(Universes)]
public Universe AddUniverse(string name, PyObject pySelector)
{
var selector = pySelector.ConvertToDelegate<Func<DateTime, object>>();
var selector = pySelector.SafeAs<Func<DateTime, object>>();
return AddUniverse(name, selector.ConvertToUniverseSelectionStringDelegate());
}
@@ -414,7 +414,7 @@ namespace QuantConnect.Algorithm
[DocumentationAttribute(Universes)]
public Universe AddUniverse(SecurityType securityType, string name, Resolution resolution, string market, UniverseSettings universeSettings, PyObject pySelector)
{
var selector = pySelector.ConvertToDelegate<Func<DateTime, object>>();
var selector = pySelector.SafeAs<Func<DateTime, object>>();
return AddUniverse(securityType, name, resolution, market, universeSettings, selector.ConvertToUniverseSelectionStringDelegate());
}
@@ -531,7 +531,7 @@ namespace QuantConnect.Algorithm
Func<IEnumerable<BaseData>, IEnumerable<Symbol>> wrappedSelector = null;
if (pySelector != null)
{
var selector = pySelector.ConvertToDelegate<Func<IEnumerable<IBaseData>, object>>();
var selector = pySelector.SafeAs<Func<IEnumerable<IBaseData>, object>>();
wrappedSelector = baseDatas =>
{
var result = selector(baseDatas);
@@ -557,7 +557,7 @@ namespace QuantConnect.Algorithm
Func<OptionFilterUniverse, OptionFilterUniverse> convertedOptionChain;
Universe universeToChain;
if (universe.TryConvert(out universeToChain) && optionFilter.TryConvertToDelegate(out convertedOptionChain))
if (universe.TryConvert(out universeToChain) && optionFilter.TrySafeAs(out convertedOptionChain))
{
AddUniverseOptions(universeToChain, convertedOptionChain);
}
@@ -633,7 +633,7 @@ namespace QuantConnect.Algorithm
try
{
// tryConvert does not work for timespan
TimeSpan? timeSpan = pyObject.As<TimeSpan>();
TimeSpan? timeSpan = pyObject.SafeAs<TimeSpan>();
if (timeSpan != default(TimeSpan))
{
RegisterIndicator(symbol, indicator, timeSpan, selector);
@@ -668,32 +668,32 @@ namespace QuantConnect.Algorithm
{
case PythonIndicator pythonIndicator:
RegisterIndicator(symbol, pythonIndicator, consolidator,
selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
selector?.SafeAs<Func<IBaseData, IBaseData>>());
break;
case IndicatorBase<IndicatorDataPoint> dataPointIndicator:
RegisterIndicator(symbol, dataPointIndicator, consolidator,
selector?.ConvertToDelegate<Func<IBaseData, decimal>>());
selector?.SafeAs<Func<IBaseData, decimal>>());
break;
case IndicatorBase<IBaseDataBar> baseDataBarIndicator:
RegisterIndicator(symbol, baseDataBarIndicator, consolidator,
selector?.ConvertToDelegate<Func<IBaseData, IBaseDataBar>>());
selector?.SafeAs<Func<IBaseData, IBaseDataBar>>());
break;
case IndicatorBase<TradeBar> tradeBarIndicator:
RegisterIndicator(symbol, tradeBarIndicator, consolidator,
selector?.ConvertToDelegate<Func<IBaseData, TradeBar>>());
selector?.SafeAs<Func<IBaseData, TradeBar>>());
break;
case IndicatorBase<IBaseData> baseDataIndicator:
RegisterIndicator(symbol, baseDataIndicator, consolidator,
selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
selector?.SafeAs<Func<IBaseData, IBaseData>>());
break;
case IndicatorBase<BaseData> baseDataIndicator:
RegisterIndicator(symbol, baseDataIndicator, consolidator,
selector?.ConvertToDelegate<Func<IBaseData, BaseData>>());
selector?.SafeAs<Func<IBaseData, BaseData>>());
break;
default:
@@ -747,27 +747,27 @@ namespace QuantConnect.Algorithm
switch (convertedIndicator)
{
case PythonIndicator pythonIndicator:
WarmUpIndicator(symbols, pythonIndicator, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
WarmUpIndicator(symbols, pythonIndicator, resolution, selector?.SafeAs<Func<IBaseData, IBaseData>>());
break;
case IndicatorBase<IndicatorDataPoint> dataPointIndicator:
WarmUpIndicator(symbols, dataPointIndicator, resolution, selector?.ConvertToDelegate<Func<IBaseData, decimal>>());
WarmUpIndicator(symbols, dataPointIndicator, resolution, selector?.SafeAs<Func<IBaseData, decimal>>());
break;
case IndicatorBase<IBaseDataBar> baseDataBarIndicator:
WarmUpIndicator(symbols, baseDataBarIndicator, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseDataBar>>());
WarmUpIndicator(symbols, baseDataBarIndicator, resolution, selector?.SafeAs<Func<IBaseData, IBaseDataBar>>());
break;
case IndicatorBase<TradeBar> tradeBarIndicator:
WarmUpIndicator(symbols, tradeBarIndicator, resolution, selector?.ConvertToDelegate<Func<IBaseData, TradeBar>>());
WarmUpIndicator(symbols, tradeBarIndicator, resolution, selector?.SafeAs<Func<IBaseData, TradeBar>>());
break;
case IndicatorBase<IBaseData> baseDataIndicator:
WarmUpIndicator(symbols, baseDataIndicator, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
WarmUpIndicator(symbols, baseDataIndicator, resolution, selector?.SafeAs<Func<IBaseData, IBaseData>>());
break;
case IndicatorBase<BaseData> baseDataIndicator:
WarmUpIndicator(symbols, baseDataIndicator, resolution, selector?.ConvertToDelegate<Func<IBaseData, BaseData>>());
WarmUpIndicator(symbols, baseDataIndicator, resolution, selector?.SafeAs<Func<IBaseData, BaseData>>());
break;
default:
@@ -818,27 +818,27 @@ namespace QuantConnect.Algorithm
switch (convertedIndicator)
{
case PythonIndicator pythonIndicator:
WarmUpIndicator(symbols, pythonIndicator, period, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
WarmUpIndicator(symbols, pythonIndicator, period, selector?.SafeAs<Func<IBaseData, IBaseData>>());
break;
case IndicatorBase<IndicatorDataPoint> dataPointIndicator:
WarmUpIndicator(symbols, dataPointIndicator, period, selector?.ConvertToDelegate<Func<IBaseData, decimal>>());
WarmUpIndicator(symbols, dataPointIndicator, period, selector?.SafeAs<Func<IBaseData, decimal>>());
break;
case IndicatorBase<IBaseDataBar> baseDataBarIndicator:
WarmUpIndicator(symbols, baseDataBarIndicator, period, selector?.ConvertToDelegate<Func<IBaseData, IBaseDataBar>>());
WarmUpIndicator(symbols, baseDataBarIndicator, period, selector?.SafeAs<Func<IBaseData, IBaseDataBar>>());
break;
case IndicatorBase<TradeBar> tradeBarIndicator:
WarmUpIndicator(symbols, tradeBarIndicator, period, selector?.ConvertToDelegate<Func<IBaseData, TradeBar>>());
WarmUpIndicator(symbols, tradeBarIndicator, period, selector?.SafeAs<Func<IBaseData, TradeBar>>());
break;
case IndicatorBase<IBaseData> baseDataIndicator:
WarmUpIndicator(symbols, baseDataIndicator, period, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
WarmUpIndicator(symbols, baseDataIndicator, period, selector?.SafeAs<Func<IBaseData, IBaseData>>());
break;
case IndicatorBase<BaseData> baseDataIndicator:
WarmUpIndicator(symbols, baseDataIndicator, period, selector?.ConvertToDelegate<Func<IBaseData, BaseData>>());
WarmUpIndicator(symbols, baseDataIndicator, period, selector?.SafeAs<Func<IBaseData, BaseData>>());
break;
default:
@@ -1543,32 +1543,32 @@ namespace QuantConnect.Algorithm
if (convertedType == typeof(RenkoBar))
{
// size will be used as barSize
return Consolidate(symbol, size, tickType, handler.ConvertToDelegate<Action<RenkoBar>>());
return Consolidate(symbol, size, tickType, handler.SafeAs<Action<RenkoBar>>());
}
else if (convertedType == typeof(VolumeRenkoBar))
{
// size will be used as barSize
return Consolidate(symbol, size, tickType, handler.ConvertToDelegate<Action<VolumeRenkoBar>>());
return Consolidate(symbol, size, tickType, handler.SafeAs<Action<VolumeRenkoBar>>());
}
else if (convertedType == typeof(RangeBar))
{
// size will be used as rangeSize
return Consolidate(symbol, (int)size, tickType, handler.ConvertToDelegate<Action<RangeBar>>());
return Consolidate(symbol, (int)size, tickType, handler.SafeAs<Action<RangeBar>>());
}
else if (convertedType == typeof(TradeBar))
{
// size will be used as maxCount
return Consolidate(symbol, (int)size, tickType, handler.ConvertToDelegate<Action<TradeBar>>());
return Consolidate(symbol, (int)size, tickType, handler.SafeAs<Action<TradeBar>>());
}
else if (convertedType == typeof(QuoteBar))
{
// size will be used as maxCount
return Consolidate(symbol, (int)size, tickType, handler.ConvertToDelegate<Action<QuoteBar>>());
return Consolidate(symbol, (int)size, tickType, handler.SafeAs<Action<QuoteBar>>());
}
else
{
// size will be used as maxCount
return Consolidate(symbol, (int)size, tickType, handler.ConvertToDelegate<Action<BaseData>>());
return Consolidate(symbol, (int)size, tickType, handler.SafeAs<Action<BaseData>>());
}
}
@@ -1601,15 +1601,15 @@ namespace QuantConnect.Algorithm
if (type == typeof(TradeBar))
{
return Consolidate(symbol, period, tickType, handler.ConvertToDelegate<Action<TradeBar>>());
return Consolidate(symbol, period, tickType, handler.SafeAs<Action<TradeBar>>());
}
if (type == typeof(QuoteBar))
{
return Consolidate(symbol, period, tickType, handler.ConvertToDelegate<Action<QuoteBar>>());
return Consolidate(symbol, period, tickType, handler.SafeAs<Action<QuoteBar>>());
}
return Consolidate(symbol, period, tickType, handler.ConvertToDelegate<Action<BaseData>>());
return Consolidate(symbol, period, tickType, handler.SafeAs<Action<BaseData>>());
}
/// <summary>
@@ -1641,15 +1641,15 @@ namespace QuantConnect.Algorithm
if (type == typeof(TradeBar))
{
return Consolidate(symbol, period, tickType, handler.ConvertToDelegate<Action<TradeBar>>());
return Consolidate(symbol, period, tickType, handler.SafeAs<Action<TradeBar>>());
}
if (type == typeof(QuoteBar))
{
return Consolidate(symbol, period, tickType, handler.ConvertToDelegate<Action<QuoteBar>>());
return Consolidate(symbol, period, tickType, handler.SafeAs<Action<QuoteBar>>());
}
return Consolidate(symbol, period, tickType, handler.ConvertToDelegate<Action<BaseData>>());
return Consolidate(symbol, period, tickType, handler.SafeAs<Action<BaseData>>());
}
/// <summary>
@@ -1705,15 +1705,15 @@ namespace QuantConnect.Algorithm
if (type == typeof(TradeBar))
{
return Consolidate(symbol, calendar, tickType, handler.ConvertToDelegate<Action<TradeBar>>());
return Consolidate(symbol, calendar, tickType, handler.SafeAs<Action<TradeBar>>());
}
if (type == typeof(QuoteBar))
{
return Consolidate(symbol, calendar, tickType, handler.ConvertToDelegate<Action<QuoteBar>>());
return Consolidate(symbol, calendar, tickType, handler.SafeAs<Action<QuoteBar>>());
}
return Consolidate(symbol, calendar, tickType, handler.ConvertToDelegate<Action<BaseData>>());
return Consolidate(symbol, calendar, tickType, handler.SafeAs<Action<BaseData>>());
}
/// <summary>
@@ -1734,22 +1734,22 @@ namespace QuantConnect.Algorithm
switch (convertedIndicator)
{
case PythonIndicator pythonIndicator:
return IndicatorHistory(pythonIndicator, symbols, period, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
return IndicatorHistory(pythonIndicator, symbols, period, resolution, selector?.SafeAs<Func<IBaseData, IBaseData>>());
case IndicatorBase<IndicatorDataPoint> dataPointIndicator:
return IndicatorHistory(dataPointIndicator, symbols, period, resolution, selector?.ConvertToDelegate<Func<IBaseData, decimal>>());
return IndicatorHistory(dataPointIndicator, symbols, period, resolution, selector?.SafeAs<Func<IBaseData, decimal>>());
case IndicatorBase<IBaseDataBar> baseDataBarIndicator:
return IndicatorHistory(baseDataBarIndicator, symbols, period, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseDataBar>>());
return IndicatorHistory(baseDataBarIndicator, symbols, period, resolution, selector?.SafeAs<Func<IBaseData, IBaseDataBar>>());
case IndicatorBase<TradeBar> tradeBarIndicator:
return IndicatorHistory(tradeBarIndicator, symbols, period, resolution, selector?.ConvertToDelegate<Func<IBaseData, TradeBar>>());
return IndicatorHistory(tradeBarIndicator, symbols, period, resolution, selector?.SafeAs<Func<IBaseData, TradeBar>>());
case IndicatorBase<IBaseData> baseDataIndicator:
return IndicatorHistory(baseDataIndicator, symbols, period, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
return IndicatorHistory(baseDataIndicator, symbols, period, resolution, selector?.SafeAs<Func<IBaseData, IBaseData>>());
case IndicatorBase<BaseData> baseDataIndicator:
return IndicatorHistory(baseDataIndicator, symbols, period, resolution, selector?.ConvertToDelegate<Func<IBaseData, BaseData>>());
return IndicatorHistory(baseDataIndicator, symbols, period, resolution, selector?.SafeAs<Func<IBaseData, BaseData>>());
default:
// Shouldn't happen, ConvertPythonIndicator will wrap the PyObject in a PythonIndicator instance if it can't convert it
@@ -1791,22 +1791,22 @@ namespace QuantConnect.Algorithm
switch (convertedIndicator)
{
case PythonIndicator pythonIndicator:
return IndicatorHistory(pythonIndicator, symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
return IndicatorHistory(pythonIndicator, symbols, start, end, resolution, selector?.SafeAs<Func<IBaseData, IBaseData>>());
case IndicatorBase<IndicatorDataPoint> dataPointIndicator:
return IndicatorHistory(dataPointIndicator, symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, decimal>>());
return IndicatorHistory(dataPointIndicator, symbols, start, end, resolution, selector?.SafeAs<Func<IBaseData, decimal>>());
case IndicatorBase<IBaseDataBar> baseDataBarIndicator:
return IndicatorHistory(baseDataBarIndicator, symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseDataBar>>());
return IndicatorHistory(baseDataBarIndicator, symbols, start, end, resolution, selector?.SafeAs<Func<IBaseData, IBaseDataBar>>());
case IndicatorBase<TradeBar> tradeBarIndicator:
return IndicatorHistory(tradeBarIndicator, symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, TradeBar>>());
return IndicatorHistory(tradeBarIndicator, symbols, start, end, resolution, selector?.SafeAs<Func<IBaseData, TradeBar>>());
case IndicatorBase<IBaseData> baseDataIndicator:
return IndicatorHistory(baseDataIndicator, symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
return IndicatorHistory(baseDataIndicator, symbols, start, end, resolution, selector?.SafeAs<Func<IBaseData, IBaseData>>());
case IndicatorBase<BaseData> baseDataIndicator:
return IndicatorHistory(baseDataIndicator, symbols, start, end, resolution, selector?.ConvertToDelegate<Func<IBaseData, BaseData>>());
return IndicatorHistory(baseDataIndicator, symbols, start, end, resolution, selector?.SafeAs<Func<IBaseData, BaseData>>());
default:
// Shouldn't happen, ConvertPythonIndicator will wrap the PyObject in a PythonIndicator instance if it can't convert it
@@ -1828,22 +1828,22 @@ namespace QuantConnect.Algorithm
switch (convertedIndicator)
{
case PythonIndicator pythonIndicator:
return IndicatorHistory(pythonIndicator, history, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
return IndicatorHistory(pythonIndicator, history, selector?.SafeAs<Func<IBaseData, IBaseData>>());
case IndicatorBase<IndicatorDataPoint> dataPointIndicator:
return IndicatorHistory(dataPointIndicator, history, selector?.ConvertToDelegate<Func<IBaseData, decimal>>());
return IndicatorHistory(dataPointIndicator, history, selector?.SafeAs<Func<IBaseData, decimal>>());
case IndicatorBase<IBaseDataBar> baseDataBarIndicator:
return IndicatorHistory(baseDataBarIndicator, history, selector?.ConvertToDelegate<Func<IBaseData, IBaseDataBar>>());
return IndicatorHistory(baseDataBarIndicator, history, selector?.SafeAs<Func<IBaseData, IBaseDataBar>>());
case IndicatorBase<TradeBar> tradeBarIndicator:
return IndicatorHistory(tradeBarIndicator, history, selector?.ConvertToDelegate<Func<IBaseData, TradeBar>>());
return IndicatorHistory(tradeBarIndicator, history, selector?.SafeAs<Func<IBaseData, TradeBar>>());
case IndicatorBase<IBaseData> baseDataIndicator:
return IndicatorHistory(baseDataIndicator, history, selector?.ConvertToDelegate<Func<IBaseData, IBaseData>>());
return IndicatorHistory(baseDataIndicator, history, selector?.SafeAs<Func<IBaseData, IBaseData>>());
case IndicatorBase<BaseData> baseDataIndicator:
return IndicatorHistory(baseDataIndicator, history, selector?.ConvertToDelegate<Func<IBaseData, BaseData>>());
return IndicatorHistory(baseDataIndicator, history, selector?.SafeAs<Func<IBaseData, BaseData>>());
default:
// Shouldn't happen, ConvertPythonIndicator will wrap the PyObject in a PythonIndicator instance if it can't convert it