AlexCatarino
46ead54f79
Implements Quandl support for Python. It was not possible to derive from Quandl in order to select the column. If the data did not have "close", it would thrown an exception since it would look for this work in a dictionary. It is now possible to select the column. See example QuandFuturesDataAlgorithm.py
96 lines
3.5 KiB
C#
96 lines
3.5 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using Python.Runtime;
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using QuantConnect.Data;
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using System;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Dynamic data class for Python algorithms.
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/// Stores properties of python instances in DynamicData dictionary
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/// </summary>
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public class PythonData : DynamicData
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{
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private readonly dynamic _pythonData;
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/// <summary>
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/// Constructor for initialising the PythonData class
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/// </summary>
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public PythonData()
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{
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//Empty constructor required for fast-reflection initialization
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}
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/// <summary>
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/// Constructor for initialising the PythonData class with wrapped PyObject
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/// </summary>
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/// <param name="pythonData"></param>
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public PythonData(PyObject pythonData)
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{
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_pythonData = pythonData;
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}
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/// <summary>
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/// Source Locator for algorithm written in Python.
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/// </summary>
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/// <param name="config">Subscription configuration object</param>
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/// <param name="date">Date of the data file we're looking for</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>STRING API Url.</returns>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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using (Py.GIL())
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{
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return _pythonData.GetSource(config, date, isLiveMode);
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}
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}
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/// <summary>
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/// Generic Reader Implementation for Python Custom Data.
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/// </summary>
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/// <param name="config">Subscription configuration</param>
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/// <param name="line">CSV line of data from the souce</param>
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/// <param name="date">Date of the requested line</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns></returns>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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using (Py.GIL())
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{
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return _pythonData.Reader(config, line, date, isLiveMode);
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}
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}
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/// <summary>
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/// Indexes into this PythonData, where index is key to the dynamic property
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/// </summary>
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/// <param name="index">the index</param>
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/// <returns>Dynamic property of a given index</returns>
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public object this[string index]
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{
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get
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{
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return GetProperty(index);
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}
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set
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{
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SetProperty(index, value is double ? Convert.ToDecimal(value) : value);
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}
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}
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}
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} |