AlexCatarino
90 lines
3.8 KiB
C#
90 lines
3.8 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 NodaTime;
|
|
using Python.Runtime;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Interfaces;
|
|
using QuantConnect.Packets;
|
|
using System;
|
|
using System.Collections.Generic;
|
|
using System.Linq;
|
|
|
|
namespace QuantConnect.Python.Wrappers
|
|
{
|
|
/// <summary>
|
|
/// Wrapper for an <see cref = "IHistoryProvider"/> instance created in Python.
|
|
/// All calls to python should be inside a "using (Py.GIL()) {/* Your code here */}" block.
|
|
/// </summary>
|
|
public class HistoryProviderPythonWrapper : IHistoryProvider
|
|
{
|
|
private IHistoryProvider _historyProvider;
|
|
|
|
/// <summary>
|
|
/// <see cref = "HistoryProviderPythonWrapper"/> constructor.
|
|
/// Wraps the <see cref = "IHistoryProvider"/> object.
|
|
/// </summary>
|
|
/// <param name="historyProvider"><see cref = "IHistoryProvider"/> object to be wrapped</param>
|
|
public HistoryProviderPythonWrapper(IHistoryProvider historyProvider)
|
|
{
|
|
_historyProvider = historyProvider;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Wrapper for <see cref = "IHistoryProvider.DataPointCount" /> in Python
|
|
/// </summary>
|
|
public int DataPointCount
|
|
{
|
|
get
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
return _historyProvider.DataPointCount;
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Wrapper for <see cref = "IHistoryProvider.GetHistory" /> in Python
|
|
/// </summary>
|
|
/// <param name="requests">The historical data requests</param>
|
|
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
|
|
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
|
|
public IEnumerable<Slice> GetHistory(IEnumerable<Data.HistoryRequest> requests, DateTimeZone sliceTimeZone)
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
return _historyProvider.GetHistory(requests, sliceTimeZone).ToList();
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Wrapper for <see cref = "IHistoryProvider.Initialize" /> in Python
|
|
/// </summary>
|
|
/// <param name="job">The job</param>
|
|
/// <param name="dataCacheProvider">Cache system for the history request</param>
|
|
/// <param name="mapFileProvider">Provider used to get a map file resolver to handle equity mapping</param>
|
|
/// <param name="factorFileProvider">Provider used to get factor files to handle equity price scaling</param>
|
|
/// <param name="dataProvider">Provider used to get data when it is not present on disk</param>
|
|
/// <param name="statusUpdate">Function used to send status updates</param>
|
|
public void Initialize(AlgorithmNodePacket job, IDataProvider dataProvider, IDataCacheProvider dataCacheProvider, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider, Action<int> statusUpdate)
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
_historyProvider.Initialize(job, dataProvider, dataCacheProvider, mapFileProvider, factorFileProvider, statusUpdate);
|
|
}
|
|
}
|
|
}
|
|
} |