AlexCatarino
7c6cc4e1dd
The cleanest way to get a python type name, when we know it is an instance of a class, is getting the value of the `__class__.__name__` attribute. - Changes `CommonAlphaModelTests.ModelNameTest`: Since it requires some string manipulation to have the exact model name for C# and Python, we don't define `Name` in the python models and accept the default value from `AlphaModelPythonWrapper.Name`.
100 lines
3.8 KiB
C#
100 lines
3.8 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;
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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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namespace QuantConnect.Algorithm.Framework.Alphas
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{
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/// <summary>
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/// Provides an implementation of <see cref="IAlphaModel"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class AlphaModelPythonWrapper : IAlphaModel, INamedModel
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{
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private readonly dynamic _model;
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public string Name
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{
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get
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{
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using (Py.GIL())
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{
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// if the model defines a Name property then use that
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if (_model.HasAttr("Name"))
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{
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return _model.Name;
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}
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// if the model does not define a name property, use the python type name
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return _model.__class__.__name__;
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}
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}
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}
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/// <summary>
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/// Constructor for initialising the <see cref="IAlphaModel"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">>Model that generates alpha</param>
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public AlphaModelPythonWrapper(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[] { "Update", "OnSecuritiesChanged" })
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{
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if (!model.HasAttr(attributeName))
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{
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throw new NotImplementedException($"IAlphaModel.{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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/// Updates this alpha model with the latest data from the algorithm.
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/// This is called each time the algorithm receives data for subscribed securities
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="data">The new data available</param>
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/// <returns>The new insights generated</returns>
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public IEnumerable<Insight> Update(QCAlgorithmFramework algorithm, Slice data)
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{
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using (Py.GIL())
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{
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var insights = _model.Update(algorithm, data) as PyObject;
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foreach (PyObject insight in insights)
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{
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yield return insight.AsManagedObject(typeof(Insight)) as Insight;
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}
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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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} |