Use interpreter.GetMessageHeader(e) instead of e.Message to produce to collated exception message containing the messages from inner exceptions.
Add the DllNotFoundPythonExceptionInterpreterTests to the test project.
The error message it was used to bypass the the error logging has been changed from `takes exactly x arguments (y given)` to `takes x positional argument but y were given`.
In order to access the custom data classes, the module containing them was added to the ObjectActivator. This was unnecessary if it wasn't a custom data algorithm.
Also, this operation would not be taken into account if the custom data class were defined after the algorithm was created: this is the case for QuantBook.
We refactor how custom data is handled: a new class was added to provide a instance creation factory that creates an instance of each python custom type.
- Adds log to display the python version the algorithm is using.
- Fixes python algorithms that were failing because of small subtleties
like leading zeroes.
- Updates pythonnet with a version compiled with python 3.6 flags
- Changes in DockerfileFoundation: we now use miniconda to manage the python
environment.
- Took the opportunity to add NTLK (#1349), Tensorforce (#1369) and
PyTorch/Pyro (#1385).
- Changes readme in Algorithm.Python to show steps to install miniconda
With this constructor, SetConverter method, that was not respecting Lean pattern, is removed. The initialization of _converter field is done once the type is loaded.
Python algorithms with custom data requires an operation that converts a dictionary key into a attribute. In the current implementation the Slice object was converted into a python dictionary. This was not optimal, since we just need to make this conversion when the value of a key in the Slice is accessed.
This implementation proposes a wrapper for the Slice object, PythonSlice, that would just perform the operation described above when needed.
This method is being added to allow algorithms to complete initialization tasks that cannot be executed during Initialize, such as cancelling existing open orders in live trading.
This method will be called only once, when the warmup task is complete.
Closes#1043
In this update, methods overloads with decimal parameters accept python float.
- Fixes FractionalQuantityRegressionAlgorithm:
With the pythonnet update we can pass a python float where a decimal is required.
IAlgorithm.FrameworkOnData is used to pulse models with new data each time step
IAlgorithm.FrameworkOnSecuritiesChanged is used to pulse models with security changes
These two functions need to be separate to ensure that if we add an indicator during
the securities changed event that it will get the data from the current time step.
This forces us to call the securities changed event before we invoke the consolidators
for the current time step.
The engine creates schedule events that call OnEndOfDay() and OnEndOdDay(Symbol) for every security. If just one of these method overloads is defined in the python script, the call of the other will throw a exception due different parameter count.
In this case, we will disregard this exception and throw those that may happen in the method implementation body.
- Move BacktestingFutureChainProvider provider to Lean.Engine.DataFeeds along with its options equivalent.
- EmptyFutureChainProvider: provider that returns an empty list of symbols
- CachingFutureChainProvider: implements caching by date
- BacktestingFutureChainProvider: provider that gets chain from local files
- LiveFutureChainProvider: provider that gets chain from external source (empty list of symbols for now)
Summary of members in python wrapper classes where pointing to other methods for reference when they should have a meaningful description to be used in documentation
After we included the method name in the error message, OnMarginCall method was throwing a runtime error when that method was not defined in the script where it sould simply be directed to the method in the base class.
In this new nuget package, we have included two versions Python.Runtime.dll for macOS
We also add the instructions to compile pythonnet for different operational systems
Due to pythonnet limitations, the list of SubmitOrderRequest could not be modified by OnMarginCall event handler. We now get a new list from that method and update the list in the wrapper.
These two path expressions evaluate to the same physical directory, differing only by the trailing separator char:
- new FileInfo(assemblyPath).DirectoryName
- AppDomain.CurrentDomain.BaseDirectory
- Moved provider implementations out of brokerages into their own classes
- Removed DefaultOptionChainProvider
- Added BacktestingOptionChainProvider and LiveOptionChainProvider
- Moved SetOptionChainProvider call from Engine to setup handlers
Implements Quandl support for Python.
It was not possible to derive from Quandl in order to select the column. If the data did not have "close", it would thrown an exception since it would look for this work in a dictionary.
It is now possible to select the column.
See example QuandFuturesDataAlgorithm.py
In the advanced build settings, Language version was also upgraded from C# 5.0 to C# 6.0. The minimum Visual Studio version required will now be VS2015.
This update implemented implicit conversion.
From now on, python algorithms will be able to use string object instead of Symbol object when a method overload requires Symbol.
When OnMarginCall is not defined at the python script, pythonnet cannot find the method in the base class.
Instead of throwing the exception and exiting, we direct the event to the method in the base class.
Calling Impromptu.ActLike<IAlgorithm> to make the python object acts like a IAlgorithm caused multiple AlgorithmPythonWrapper objects running in parallel to hold the same python object. That call was removed and instead we access the python object directly.
- Removes AlgorithmPythonUtil.py and add its code directly in AlgorithmPythonWrapper.cs
- Clean up: removes all references to IronPython and ImpromptuInterface
AlexCatarino