/* * 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 System; using System.Collections.Concurrent; using System.Collections.Generic; using Python.Runtime; using QuantConnect.Interfaces; using QuantConnect.Securities; namespace QuantConnect.Data.UniverseSelection { /// /// Provides an implementation of that wraps a object /// public class UniversePythonWrapper : Universe { private readonly dynamic _universe; /// /// Gets the settings used for subscriptions added for this universe /// public override UniverseSettings UniverseSettings { get { using (Py.GIL()) { return _universe.UniverseSettings; } } } /// /// Flag indicating if disposal of this universe has been requested /// public override bool DisposeRequested { get { using (Py.GIL()) { return _universe.DisposeRequested; } } protected set { using (Py.GIL()) { _universe.DisposeRequested = value; } } } /// /// Gets the configuration used to get universe data /// public override SubscriptionDataConfig Configuration { get { using (Py.GIL()) { return _universe.Configuration; } } } /// /// Gets the internal security collection used to define membership in this universe /// public override ConcurrentDictionary Securities { get { using (Py.GIL()) { return _universe.Securities; } } } /// /// Initializes a new instance of the class /// public UniversePythonWrapper(PyObject universe) : base(null) { _universe = universe; } /// /// Performs universe selection using the data specified /// /// The current utc time /// The symbols to remain in the universe /// The data that passes the filter public override IEnumerable SelectSymbols(DateTime utcTime, BaseDataCollection data) { using (Py.GIL()) { var symbols = _universe.SelectSymbols(utcTime, data) as PyObject; var iterator = symbols.GetIterator(); foreach (PyObject symbol in iterator) { yield return symbol.GetAndDispose(); } iterator.Dispose(); symbols.Dispose(); } } /// /// Gets the subscription requests to be added for the specified security /// /// The security to get subscriptions for /// The current time in utc. This is the frontier time of the algorithm /// The max end time /// Instance which implements interface /// All subscriptions required by this security public override IEnumerable GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc, ISubscriptionDataConfigService subscriptionService) { using (Py.GIL()) { var subscriptionRequests = _universe.GetSubscriptionRequests(security, currentTimeUtc, maximumEndTimeUtc, subscriptionService) as PyObject; var iterator = subscriptionRequests.GetIterator(); foreach (PyObject request in iterator) { var subscriptionRequest = request.GetAndDispose(); yield return new SubscriptionRequest(subscriptionRequest, universe:this); } iterator.Dispose(); subscriptionRequests.Dispose(); } } } }