/*
* 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 System;
namespace QuantConnect.Python
{
///
/// Dynamic data class for Python algorithms.
/// Stores properties of python instances in DynamicData dictionary
///
public class PythonData : DynamicData
{
private readonly dynamic _pythonData;
private readonly dynamic _adjustResolution;
private readonly bool _requiresMapping;
private readonly bool _isSparseData;
///
/// Constructor for initializing the PythonData class
///
public PythonData()
{
//Empty constructor required for fast-reflection initialization
}
///
/// Constructor for initializing the PythonData class with wrapped PyObject
///
///
public PythonData(PyObject pythonData)
{
_pythonData = pythonData;
using (Py.GIL())
{
if (pythonData.HasAttr("RequiresMapping"))
{
_requiresMapping = _pythonData.RequiresMapping();
}
if (pythonData.HasAttr("IsSparseData"))
{
_isSparseData = _pythonData.IsSparseData();
}
_adjustResolution = pythonData.GetPythonMethod("AdjustResolution");
}
}
///
/// Source Locator for algorithm written in Python.
///
/// Subscription configuration object
/// Date of the data file we're looking for
/// true if we're in live mode, false for backtesting mode
/// STRING API Url.
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
using (Py.GIL())
{
var source = _pythonData.GetSource(config, date, isLiveMode);
return (source as PyObject).GetAndDispose();
}
}
///
/// Generic Reader Implementation for Python Custom Data.
///
/// Subscription configuration
/// CSV line of data from the source
/// Date of the requested line
/// true if we're in live mode, false for backtesting mode
///
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
using (Py.GIL())
{
var data = _pythonData.Reader(config, line, date, isLiveMode);
return (data as PyObject).GetAndDispose();
}
}
///
/// Indicates if there is support for mapping
///
/// True indicates mapping should be used
public override bool RequiresMapping()
{
return _requiresMapping;
}
///
/// Indicates that the data set is expected to be sparse
///
/// Relies on the property value
/// True if the data set represented by this type is expected to be sparse
public override bool IsSparseData()
{
return _isSparseData;
}
///
/// Asserts the current data type supports the given resolution.
/// If the resolution is not supported this method throws an
///
///
/// Relies on the property value
/// The resolution to check support
public override Resolution AdjustResolution(Resolution resolution)
{
if (_adjustResolution == null)
{
// if '_pythonData' does not override AdjustResolution we use our base impl
return base.AdjustResolution(resolution);
}
using (Py.GIL())
{
return _pythonData.AdjustResolution(resolution);
}
}
///
/// Indexes into this PythonData, where index is key to the dynamic property
///
/// the index
/// Dynamic property of a given index
public object this[string index]
{
get
{
return GetProperty(index);
}
set
{
SetProperty(index, value is double ? value.ConvertInvariant() : value);
}
}
}
}