AlexCatarino
35d29060d0
Adds method overload that accept a `PyObject` to `SetAlpha`, `SetExecution`, `SetPortfolioConstruction`, `SetPortfolioSelection` and `SetRiskManagement`. In these methods, a custom model written in python will be wrapped around the respective `PythonWrapper`.
73 lines
2.8 KiB
C#
73 lines
2.8 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.Data.UniverseSelection;
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using System;
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namespace QuantConnect.Algorithm.Framework.Risk
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{
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/// <summary>
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/// Provides an implementation of <see cref="IRiskManagementModel"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class RiskManagementModelPythonWrapper : IRiskManagementModel
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{
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private readonly dynamic _model;
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/// <summary>
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/// Constructor for initialising the <see cref="IRiskManagementModel"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Model defining how risk is managed</param>
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public RiskManagementModelPythonWrapper(PyObject model)
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{
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using (Py.GIL())
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{
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foreach (var attributeName in new[] { "ManageRisk", "OnSecuritiesChanged" })
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{
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if (!model.HasAttr(attributeName))
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{
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throw new NotImplementedException($"IRiskManagementModel.{attributeName} must be implemented. Please checkout the {model.GetPythonType()}");
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}
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}
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}
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_model = model;
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}
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/// <summary>
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/// Manages the algorithm's risk at each time step
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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public void ManageRisk(QCAlgorithmFramework algorithm)
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{
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using (Py.GIL())
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{
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_model.ManageRisk(algorithm);
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}
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}
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/// <summary>
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/// Event fired each time the we add/remove securities from the data feed
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/// </summary>
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/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
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/// <param name="changes">The security additions and removals from the algorithm</param>
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public void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
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{
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using (Py.GIL())
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{
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_model.OnSecuritiesChanged(algorithm, changes);
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}
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}
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}
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} |