quantconnect--lean/Common/Python/PythonSlice.cs

/*
 * 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;
using System.Linq;

namespace QuantConnect.Python
{
    /// <summary>
    /// Provides a data structure for all of an algorithm's data at a single time step
    /// </summary>
    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()");
        }

        /// <summary>
        /// Initializes a new instance of the <see cref="PythonSlice"/> class
        /// </summary>
        /// <param name="slice">slice object to wrap</param>
        public PythonSlice(Slice slice)
            : base(slice.Time,
                Enumerable.Empty<BaseData>(),
                slice.Bars,
                slice.QuoteBars,
                slice.Ticks,
                slice.OptionChains,
                slice.FuturesChains,
                slice.Splits,
                slice.Dividends,
                slice.Delistings,
                slice.SymbolChangedEvents,
                slice.HasData
                )
        {
            _slice = slice;
        }

        /// <summary>
        /// Gets the number of symbols held in this slice
        /// </summary>
        public new int Count
        {
            get { return _slice.Count; }
        }

        /// <summary>
        /// Gets all the symbols in this slice
        /// </summary>
        public new IReadOnlyList<Symbol> Keys
        {
            get { return _slice.Keys; }
        }

        /// <summary>
        /// Gets a list of all the data in this slice
        /// </summary>
        public new IReadOnlyList<BaseData> Values
        {
            get { return _slice.Values; }
        }

        /// <summary>
        /// Gets the data corresponding to the specified symbol. If the requested data
        /// is of <see cref="MarketDataType.Tick"/>, then a <see cref="List{Tick}"/> will
        /// be returned, otherwise, it will be the subscribed type, for example, <see cref="TradeBar"/>
        /// or event <see cref="Quandl"/> for custom data.
        /// </summary>
        /// <param name="symbol">The data's symbols</param>
        /// <returns>The data for the specified symbol</returns>
        public new 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;
            }
        }

        /// <summary>
        /// Determines whether this instance contains data for the specified symbol
        /// </summary>
        /// <param name="symbol">The symbol we seek data for</param>
        /// <returns>True if this instance contains data for the symbol, false otherwise</returns>
        public new bool ContainsKey(Symbol symbol)
        {
            return _slice.ContainsKey(symbol);
        }

        /// <summary>
        /// Gets the data associated with the specified symbol
        /// </summary>
        /// <param name="symbol">The symbol we want data for</param>
        /// <param name="data">The data for the specifed symbol, or null if no data was found</param>
        /// <returns>True if data was found, false otherwise</returns>
        public new bool TryGetValue(Symbol symbol, out dynamic data)
        {
            return _slice.TryGetValue(symbol, out data);
        }
    }
}