Michael Handschuh
68 lines
2.8 KiB
C#
68 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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using System.Collections.Generic;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Provides an implementation of <see cref="IUniverseSelectionModel"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class UniverseSelectionModelPythonWrapper : IUniverseSelectionModel
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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="IUniverseSelectionModel"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Model defining universes for the algorithm</param>
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public UniverseSelectionModelPythonWrapper(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[] { "CreateUniverses" })
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{
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if (!model.HasAttr(attributeName))
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{
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throw new NotImplementedException($"IPortfolioSelectionModel.{attributeName} must be implemented. Please implement this missing method on {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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/// Creates the universes for this algorithm. Called once after <see cref="IAlgorithm.Initialize"/>
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/// </summary>
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/// <param name="algorithm">The algorithm instance to create universes for</param>
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/// <returns>The universes to be used by the algorithm</returns>
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public virtual IEnumerable<Universe> CreateUniverses(QCAlgorithmFramework algorithm)
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{
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using (Py.GIL())
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{
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var universers = _model.CreateUniverses(algorithm) as PyObject;
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foreach (PyObject universe in universers)
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{
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yield return universe.AsManagedObject(typeof(Universe)) as Universe;
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}
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universers.Destroy();
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}
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}
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}
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} |