/* * 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() { } } }