Martin-Molinero
227ade63ed
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- Refactor automatic option assignment to allow overriding behavior. Adding & updating existing tests
51 lines
1.8 KiB
C#
51 lines
1.8 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.Securities.Option;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Python wrapper for custom option assignment models
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/// </summary>
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public class OptionAssignmentModelPythonWrapper : IOptionAssignmentModel
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{
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private readonly dynamic _model;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="model">The python model to wrapp</param>
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public OptionAssignmentModelPythonWrapper(PyObject model)
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{
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_model = model.ValidateImplementationOf<IOptionAssignmentModel>();
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}
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/// <summary>
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/// Get's the option assignments to generate if any
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/// </summary>
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/// <param name="parameters">The option assignment parameters data transfer class</param>
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/// <returns>The option assignment result</returns>
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public OptionAssignmentResult GetAssignment(OptionAssignmentParameters parameters)
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{
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using (Py.GIL())
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{
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return (_model.GetAssignment(parameters) as PyObject).GetAndDispose<OptionAssignmentResult>();
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}
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}
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}
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}
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