/*
* 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.Brokerages;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.Slippage;
using QuantConnect.Securities;
using System.Collections.Generic;
using System.Linq;
namespace QuantConnect.Python.Wrappers
{
///
/// Wrapper for an instance created in Python.
/// All calls to python should be inside a "using (Py.GIL()) {/* Your code here */}" block.
///
class BrokerageModelPythonWrapper : IBrokerageModel
{
private IBrokerageModel _brokerageModel;
///
/// constructor.
/// Wraps the object.
///
/// object to be wrapped
public BrokerageModelPythonWrapper(IBrokerageModel brokegeModel)
{
_brokerageModel = brokegeModel;
}
///
/// Wrapper for in Python
///
public AccountType AccountType
{
get
{
using (Py.GIL())
{
return _brokerageModel.AccountType;
}
}
}
///
/// Wrapper for in Python
///
public IReadOnlyDictionary DefaultMarkets
{
get
{
using (Py.GIL())
{
return _brokerageModel.DefaultMarkets.ToDictionary(x => x.Key, x => x.Value);
}
}
}
///
/// Wrapper for in Python
///
/// The open tickets matching the split event
/// The split event data
public void ApplySplit(List tickets, Split split)
{
using (Py.GIL())
{
_brokerageModel.ApplySplit(tickets, split);
}
}
///
/// Wrapper for in Python
///
/// The security being ordered
/// The order to test for execution
/// True if the brokerage would be able to perform the execution, false otherwise
public bool CanExecuteOrder(Security security, Order order)
{
using (Py.GIL())
{
return _brokerageModel.CanExecuteOrder(security, order);
}
}
///
/// Wrapper for in Python
///
/// The security being ordered
/// The order to be processed
/// If this function returns false, a brokerage message detailing why the order may not be submitted
/// True if the brokerage could process the order, false otherwise
public bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
{
using (Py.GIL())
{
return _brokerageModel.CanSubmitOrder(security, order, out message);
}
}
///
/// Wrapper for in Python
///
/// The security of the order
/// The order to be updated
/// The requested updated to be made to the order
/// If this function returns false, a brokerage message detailing why the order may not be updated
/// True if the brokerage would allow updating the order, false otherwise
public bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
{
using (Py.GIL())
{
return _brokerageModel.CanUpdateOrder(security, order, request, out message);
}
}
///
/// Wrapper for in Python
///
/// The security to get a fee model for
/// The new fee model for this brokerage
public IFeeModel GetFeeModel(Security security)
{
using (Py.GIL())
{
return _brokerageModel.GetFeeModel(security);
}
}
///
/// Wrapper for in Python
///
/// The security to get fill model for
/// The new fill model for this brokerage
public IFillModel GetFillModel(Security security)
{
using (Py.GIL())
{
return _brokerageModel.GetFillModel(security);
}
}
///
/// Wrapper for in Python
///
/// The security's whose leverage we seek
/// The leverage for the specified security
public decimal GetLeverage(Security security)
{
using (Py.GIL())
{
return _brokerageModel.GetLeverage(security);
}
}
///
/// Wrapper for in Python
///
/// The security to get a settlement model for
/// The account type
/// The settlement model for this brokerage
public ISettlementModel GetSettlementModel(Security security, AccountType accountType)
{
using (Py.GIL())
{
return _brokerageModel.GetSettlementModel(security, AccountType);
}
}
///
/// Wrapper for in Python
///
/// The security to get a slippage model for
/// The new slippage model for this brokerage
public ISlippageModel GetSlippageModel(Security security)
{
using (Py.GIL())
{
return _brokerageModel.GetSlippageModel(security);
}
}
}
}