/* * 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.UniverseSelection; using System; using System.Collections.Generic; using QuantConnect.Interfaces; namespace QuantConnect.Algorithm.Framework.Selection { /// /// Provides an implementation of that wraps a object /// public class UniverseSelectionModelPythonWrapper : UniverseSelectionModel { private readonly dynamic _model; private readonly bool _modelHasGetNextRefreshTime; /// /// Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes. /// public override DateTime GetNextRefreshTimeUtc() { if (!_modelHasGetNextRefreshTime) { return DateTime.MaxValue; } using (Py.GIL()) { return (_model.GetNextRefreshTimeUtc() as PyObject).GetAndDispose(); } } /// /// Constructor for initialising the class with wrapped object /// /// Model defining universes for the algorithm public UniverseSelectionModelPythonWrapper(PyObject model) { using (Py.GIL()) { _modelHasGetNextRefreshTime = model.HasAttr(nameof(IUniverseSelectionModel.GetNextRefreshTimeUtc)); foreach (var attributeName in new[] { "CreateUniverses" }) { if (!model.HasAttr(attributeName)) { throw new NotImplementedException($"IPortfolioSelectionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}"); } } } _model = model; } /// /// Creates the universes for this algorithm. Called once after /// /// The algorithm instance to create universes for /// The universes to be used by the algorithm public override IEnumerable CreateUniverses(QCAlgorithm algorithm) { using (Py.GIL()) { var universes = _model.CreateUniverses(algorithm) as PyObject; var iterator = universes.GetIterator(); foreach (PyObject universe in iterator) { yield return universe.GetAndDispose(); } iterator.Dispose(); universes.Dispose(); } } } }