/* * 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. */ using Python.Runtime; using QuantConnect.Data; using QuantConnect.Data.Custom; using QuantConnect.Data.Market; using System.Collections.Generic; using System.Linq; namespace QuantConnect.Python { /// /// Provides a data structure for all of an algorithm's data at a single time step /// public class PythonSlice : Slice { private Slice _slice; private static readonly PyObject _converter; static PythonSlice() { // Python Data class: Converts custom data (PythonData) into a python object''' _converter = PythonEngine.ModuleFromString("converter", "class Data(object):\n" + " def __init__(self, data):\n" + " self.data = data\n" + " members = [attr for attr in dir(data) if not callable(attr) and not attr.startswith(\"__\")]\n" + " for member in members:\n" + " setattr(self, member, getattr(data, member))\n" + " for kvp in data.GetStorageDictionary():\n" + " name = kvp.Key.replace('-',' ').replace('.',' ').title().replace(' ', '')\n" + " value = kvp.Value if isinstance(kvp.Value, float) else kvp.Value\n" + " setattr(self, name, value)\n" + " def __str__(self):\n" + " return self.data.ToString()"); } /// /// Initializes a new instance of the class /// /// slice object to wrap public PythonSlice(Slice slice) : base(slice.Time, Enumerable.Empty(), slice.Bars, slice.QuoteBars, slice.Ticks, slice.OptionChains, slice.FuturesChains, slice.Splits, slice.Dividends, slice.Delistings, slice.SymbolChangedEvents, slice.HasData ) { _slice = slice; } /// /// Gets the number of symbols held in this slice /// public new int Count { get { return _slice.Count; } } /// /// Gets all the symbols in this slice /// public new IReadOnlyList Keys { get { return _slice.Keys; } } /// /// Gets a list of all the data in this slice /// public new IReadOnlyList Values { get { return _slice.Values; } } /// /// Gets the data corresponding to the specified symbol. If the requested data /// is of , then a will /// be returned, otherwise, it will be the subscribed type, for example, /// or event for custom data. /// /// The data's symbols /// The data for the specified symbol public new dynamic this[Symbol symbol] { get { var data = _slice[symbol]; var dynamicData = data as DynamicData; if (dynamicData != null) { try { using (Py.GIL()) { return _converter.InvokeMethod("Data", new[] { dynamicData.ToPython() }); } } catch { // NOP } } return data; } } /// /// Determines whether this instance contains data for the specified symbol /// /// The symbol we seek data for /// True if this instance contains data for the symbol, false otherwise public new bool ContainsKey(Symbol symbol) { return _slice.ContainsKey(symbol); } /// /// Gets the data associated with the specified symbol /// /// The symbol we want data for /// The data for the specifed symbol, or null if no data was found /// True if data was found, false otherwise public new bool TryGetValue(Symbol symbol, out dynamic data) { return _slice.TryGetValue(symbol, out data); } } }