Martin Molinero
115 lines
4.1 KiB
C#
115 lines
4.1 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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var source = _pythonData.GetSource(config, date, isLiveMode);
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return GetTypeAndDispose<SubscriptionDataSource>(source);
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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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var data = _pythonData.Reader(config, line, date, isLiveMode);
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return GetTypeAndDispose<BaseData>(data);
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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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private T GetTypeAndDispose<T>(dynamic instance)
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{
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if (instance == null)
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{
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return default(T);
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}
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var pyInstance = instance as PyObject;
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if (pyInstance != null)
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{
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var returnInstance = pyInstance.As<T>();
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pyInstance.Dispose();
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return returnInstance;
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}
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throw new ArgumentException($"Unexpected type: {instance.GetType()}." +
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$" Was expecting {nameof(PyObject)}");
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}
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}
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} |