Jhonathan Abreu
3dab2e42eb
* Handle/filter brokerage side orders * Add unit tests * Minor fix * Add unrequested security for new brokerage-side orders * Add unit test for algorithms overriding the brokerage message handler * Add unit test for python algorithm overriding the brokerage message handler * Minor change * Address peer review
63 lines
2.3 KiB
C#
63 lines
2.3 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.Brokerages;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Provides a wrapper for <see cref="IBrokerageMessageHandler"/> implementations written in python
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/// </summary>
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public class BrokerageMessageHandlerPythonWrapper : IBrokerageMessageHandler
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{
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private readonly dynamic _model;
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/// <summary>
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/// Initializes a new instance of the <see cref="BrokerageMessageHandlerPythonWrapper"/> class
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/// </summary>
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/// <param name="model">The python implementation of <see cref="IBrokerageMessageHandler"/></param>
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public BrokerageMessageHandlerPythonWrapper(PyObject model)
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{
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_model = model.ValidateImplementationOf<IBrokerageMessageHandler>();
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}
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/// <summary>
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/// Handles the message
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/// </summary>
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/// <param name="message">The message to be handled</param>
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public void HandleMessage(BrokerageMessageEvent message)
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{
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using (Py.GIL())
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{
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_model.HandleMessage(message);
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}
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}
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/// <summary>
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/// Handles a new order placed manually in the brokerage side
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/// </summary>
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/// <param name="eventArgs">The new order event</param>
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/// <returns>Whether the order should be added to the transaction handler</returns>
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public bool HandleOrder(NewBrokerageOrderNotificationEventArgs eventArgs)
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{
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using (Py.GIL())
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{
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return _model.HandleOrder(eventArgs);
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}
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}
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}
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}
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