/*
* 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 QuantConnect.Data.Custom;
using QuantConnect.Data.Market;
using System.Collections.Generic;
namespace QuantConnect.Python
{
///
/// Provides a data structure for all of an algorithm's data at a single time step
///
public class PythonSlice : Slice
{
private Slice _slice;
private static readonly PyObject _converter;
static PythonSlice()
{
// Python Data class: Converts custom data (PythonData) into a python object'''
_converter = PythonEngine.ModuleFromString("converter",
"class Data(object):\n" +
" def __init__(self, data):\n" +
" self.data = data\n" +
" members = [attr for attr in dir(data) if not callable(attr) and not attr.startswith(\"__\")]\n" +
" for member in members:\n" +
" setattr(self, member, getattr(data, member))\n" +
" for kvp in data.GetStorageDictionary():\n" +
" name = kvp.Key.replace('-',' ').replace('.',' ').title().replace(' ', '')\n" +
" value = kvp.Value if isinstance(kvp.Value, float) else kvp.Value\n" +
" setattr(self, name, value)\n" +
" def __str__(self):\n" +
" return self.data.ToString()");
}
///
/// Initializes a new instance of the class
///
/// slice object to wrap
public PythonSlice(Slice slice)
: base(slice)
{
_slice = slice;
}
///
/// Gets the data of the specified symbol and type.
///
/// The type of data we seek
/// The specific symbol was seek
/// The data for the requested symbol
public dynamic Get(PyObject type, Symbol symbol)
{
return GetImpl(type.CreateType(), _slice)[symbol];
}
///
/// Gets the data of the specified symbol and type.
///
/// The type of data we seek
/// The data for the requested symbol
public PyObject Get(PyObject type)
{
var result = GetImpl(type.CreateType(), _slice) as object;
using (Py.GIL())
{
return result.ToPython();
}
}
///
/// Gets the number of symbols held in this slice
///
public override int Count
{
get { return _slice.Count; }
}
///
/// Gets all the symbols in this slice
///
public override IReadOnlyList Keys
{
get { return _slice.Keys; }
}
///
/// Gets a list of all the data in this slice
///
public override IReadOnlyList Values
{
get { return _slice.Values; }
}
///
/// Gets the data corresponding to the specified symbol. If the requested data
/// is of , then a will
/// be returned, otherwise, it will be the subscribed type, for example,
/// or event for custom data.
///
/// The data's symbols
/// The data for the specified symbol
public override dynamic this[Symbol symbol]
{
get
{
var data = _slice[symbol];
var dynamicData = data as DynamicData;
if (dynamicData != null)
{
try
{
using (Py.GIL())
{
return _converter.InvokeMethod("Data", new[] { dynamicData.ToPython() });
}
}
catch
{
// NOP
}
}
return data;
}
}
///
/// Determines whether this instance contains data for the specified symbol
///
/// The symbol we seek data for
/// True if this instance contains data for the symbol, false otherwise
public override bool ContainsKey(Symbol symbol)
{
return _slice.ContainsKey(symbol);
}
///
/// Gets the data associated with the specified symbol
///
/// The symbol we want data for
/// The data for the specifed symbol, or null if no data was found
/// True if data was found, false otherwise
public override bool TryGetValue(Symbol symbol, out dynamic data)
{
return _slice.TryGetValue(symbol, out data);
}
}
}