AlexCatarino
40 lines
1.6 KiB
Python
40 lines
1.6 KiB
Python
# 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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import decimal
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from clr import AddReference
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AddReference("QuantConnect.Common")
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from QuantConnect.Python import PythonData
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def OnPythonData(self, data):
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self.OnData(PythonSlice(data))
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class PythonSlice(dict):
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'''PythonSlice class: '''
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def __init__(self, slice):
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for data in slice:
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self[data.Key] = Data(data.Value)
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class Data(object):
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'''Python Data class: Converts custom data (PythonData) into a python object'''
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def __init__(self, data):
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members = [attr for attr in dir(data) if not callable(attr) and not attr.startswith("__")]
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for member in members:
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setattr(self, member, getattr(data, member))
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if not isinstance(data, PythonData): return
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for member in data.DynamicMembers:
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val = data[member]
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setattr(self, member, decimal.Decimal(val) if isinstance(val, float) else val) |