/*
* 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 Python.Runtime;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;
namespace QuantConnect.Python
{
///
/// Provides an Data Consolidator that wraps a object that represents a custom Python consolidator
///
public class DataConsolidatorPythonWrapper : IDataConsolidator
{
private readonly dynamic _consolidator;
///
/// Gets the most recently consolidated piece of data. This will be null if this consolidator
/// has not produced any data yet.
///
public IBaseData Consolidated
{
get { using (Py.GIL()) {return _consolidator.Consolidated;} }
}
///
/// Gets a clone of the data being currently consolidated
///
public IBaseData WorkingData
{
get { using (Py.GIL()) {return _consolidator.WorkingData;} }
}
///
/// Gets the type consumed by this consolidator
///
public Type InputType
{
get { using (Py.GIL()) {return _consolidator.InputType;} }
}
///
/// Gets the type produced by this consolidator
///
public Type OutputType
{
get { using (Py.GIL()) {return _consolidator.OutputType;} }
}
///
/// Event handler that fires when a new piece of data is produced
///
public event DataConsolidatedHandler DataConsolidated
{
add { using (Py.GIL()) {_consolidator.DataConsolidated += value;} }
remove { using (Py.GIL()) {_consolidator.DataConsolidated -= value;} }
}
///
/// Constructor for initialising the class with wrapped object
///
/// Represents a custom python consolidator
public DataConsolidatorPythonWrapper(PyObject consolidator)
{
using (Py.GIL())
{
foreach (var attributeName in new[] { "InputType", "OutputType", "WorkingData", "Consolidated" })
{
if (!consolidator.HasAttr(attributeName))
{
throw new NotImplementedException($"IDataConsolidator.{attributeName} must be implemented. Please implement this missing method on {consolidator.GetPythonType()}");
}
}
}
_consolidator = consolidator;
}
///
/// Scans this consolidator to see if it should emit a bar due to time passing
///
/// The current time in the local time zone (same as )
public void Scan(DateTime currentLocalTime)
{
using (Py.GIL())
{
_consolidator.Scan(currentLocalTime);
}
}
///
/// Updates this consolidator with the specified data
///
/// The new data for the consolidator
public void Update(IBaseData data)
{
using (Py.GIL())
{
_consolidator.Update(data);
}
}
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
/// 2
public void Dispose()
{
}
}
}