Martin Molinero
fa122fa809
- Adding _some_ of the missing PyObject.Dispose calls. In the cases where C# is calling the Python side. - Note that Python calls to C# code is correctly handling the disposure of resources.
84 lines
3.5 KiB
C#
84 lines
3.5 KiB
C#
/*
|
|
* 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.Algorithm.Framework.Alphas;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
using System;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Algorithm.Framework.Portfolio
|
|
{
|
|
/// <summary>
|
|
/// Provides an implementation of <see cref="IPortfolioConstructionModel"/> that wraps a <see cref="PyObject"/> object
|
|
/// </summary>
|
|
public class PortfolioConstructionModelPythonWrapper : PortfolioConstructionModel
|
|
{
|
|
private readonly dynamic _model;
|
|
|
|
/// <summary>
|
|
/// Constructor for initialising the <see cref="IPortfolioConstructionModel"/> class with wrapped <see cref="PyObject"/> object
|
|
/// </summary>
|
|
/// <param name="model">Model defining how to build a portfolio from alphas</param>
|
|
public PortfolioConstructionModelPythonWrapper(PyObject model)
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
foreach (var attributeName in new[] { "CreateTargets", "OnSecuritiesChanged" })
|
|
{
|
|
if (!model.HasAttr(attributeName))
|
|
{
|
|
throw new NotImplementedException($"IPortfolioConstructionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
|
|
}
|
|
}
|
|
}
|
|
_model = model;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Create portfolio targets from the specified insights
|
|
/// </summary>
|
|
/// <param name="algorithm">The algorithm instance</param>
|
|
/// <param name="insights">The insights to create portfolio targets from</param>
|
|
/// <returns>An enumerable of portfolio targets to be sent to the execution model</returns>
|
|
public override IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
var targets = _model.CreateTargets(algorithm, insights) as PyObject;
|
|
var iterator = targets.GetIterator();
|
|
foreach (PyObject target in iterator)
|
|
{
|
|
yield return target.GetAndDispose<IPortfolioTarget>();
|
|
}
|
|
iterator.Dispose();
|
|
targets.Dispose();
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Event fired each time the we add/remove securities from the data feed
|
|
/// </summary>
|
|
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
|
|
/// <param name="changes">The security additions and removals from the algorithm</param>
|
|
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
_model.OnSecuritiesChanged(algorithm, changes);
|
|
}
|
|
}
|
|
}
|
|
} |