/*
* 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.UniverseSelection;
using System;
using System.Collections.Generic;
using QuantConnect.Interfaces;
namespace QuantConnect.Algorithm.Framework.Selection
{
///
/// Provides an implementation of that wraps a object
///
public class UniverseSelectionModelPythonWrapper : IUniverseSelectionModel
{
private readonly dynamic _model;
///
/// Constructor for initialising the class with wrapped object
///
/// Model defining universes for the algorithm
public UniverseSelectionModelPythonWrapper(PyObject model)
{
using (Py.GIL())
{
foreach (var attributeName in new[] { "CreateUniverses" })
{
if (!model.HasAttr(attributeName))
{
throw new NotImplementedException($"IPortfolioSelectionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
}
}
}
_model = model;
}
///
/// Creates the universes for this algorithm. Called once after
///
/// The algorithm instance to create universes for
/// The universes to be used by the algorithm
public virtual IEnumerable CreateUniverses(QCAlgorithmFramework algorithm)
{
using (Py.GIL())
{
var universers = _model.CreateUniverses(algorithm) as PyObject;
foreach (PyObject universe in universers)
{
yield return universe.AsManagedObject(typeof(Universe)) as Universe;
}
universers.Destroy();
}
}
}
}