Ricardo Andrés Marino Rojas
c6ca0eeea5
* Improve GetFillModel() * Add support for other methods * Add regresion algos and improvements * Make Python algorithms regression tests * Improve unit tests * Minor changes
52 lines
1.9 KiB
C#
52 lines
1.9 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.Benchmarks;
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using System;
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namespace QuantConnect.Python
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{
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/// <summary>
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/// Provides an implementation of <see cref="IBenchmark"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class BenchmarkPythonWrapper : IBenchmark
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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="BenchmarkPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Python benchmark model</param>
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public BenchmarkPythonWrapper(PyObject model)
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{
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_model = model;
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}
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/// <summary>
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/// Evaluates this benchmark at the specified time using the method defined in the Python class
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/// </summary>
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/// <param name="time">The time to evaluate the benchmark at</param>
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/// <returns>The value of the benchmark at the specified time</returns>
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public decimal Evaluate(DateTime time)
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{
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using (Py.GIL())
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{
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return (_model.Evaluate(time) as PyObject).GetAndDispose<decimal>();
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}
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}
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}
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}
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