/* * 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); } } } }