quantconnect--lean/Common/Python/DataConsolidatorPythonWrapper.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using Python.Runtime;
using QuantConnect.Data;
using QuantConnect.Data.Consolidators;

namespace QuantConnect.Python
{
    /// <summary>
    /// Provides an Data Consolidator that wraps a <see cref="PyObject"/> object that represents a custom Python consolidator
    /// </summary>
    /// TODO: Inherit from BasePythonWrapper<IDataConsolidator> instead of BasePythonWrapper. But first fix ValidateImplementationOf to exclude properties getters and setters (IsSpecialName)
    public class DataConsolidatorPythonWrapper : BasePythonWrapper<IDataConsolidator>, IDataConsolidator
    {
        /// <summary>
        /// Gets the most recently consolidated piece of data. This will be null if this consolidator
        /// has not produced any data yet.
        /// </summary>
        public IBaseData Consolidated
        {
            get { return GetProperty<IBaseData>(nameof(Consolidated)); }
        }

        /// <summary>
        /// Gets a clone of the data being currently consolidated
        /// </summary>
        public IBaseData WorkingData
        {
            get { return GetProperty<IBaseData>(nameof(WorkingData)); }
        }

        /// <summary>
        /// Gets the type consumed by this consolidator
        /// </summary>
        public Type InputType
        {
            get { return GetProperty<Type>(nameof(InputType)); }
        }

        /// <summary>
        /// Gets the type produced by this consolidator
        /// </summary>
        public Type OutputType
        {
            get { return GetProperty<Type>(nameof(OutputType)); }
        }

        /// <summary>
        /// Event handler that fires when a new piece of data is produced
        /// </summary>
        public event DataConsolidatedHandler DataConsolidated
        {
            add
            {
                var eventHandler = GetEvent(nameof(DataConsolidated));
                eventHandler += value;
            }
            remove
            {
                var eventHandler = GetEvent(nameof(DataConsolidated));
                eventHandler -= value;
            }
        }

        /// <summary>
        /// Constructor for initialising the <see cref="DataConsolidatorPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
        /// </summary>
        /// <param name="consolidator">Represents a custom python consolidator</param>
        public DataConsolidatorPythonWrapper(PyObject consolidator)
            : base(consolidator, false)
        {
            foreach (var attributeName in new[] { "InputType", "OutputType", "WorkingData", "Consolidated" })
            {
                if (!HasAttr(attributeName))
                {
                    throw new NotImplementedException(
                        Messages.PythonCommon.AttributeNotImplemented($"IDataConsolidator.{attributeName}", consolidator.GetPythonType()));
                }
            }
        }

        /// <summary>
        /// Scans this consolidator to see if it should emit a bar due to time passing
        /// </summary>
        /// <param name="currentLocalTime">The current time in the local time zone (same as <see cref="BaseData.Time"/>)</param>
        public void Scan(DateTime currentLocalTime)
        {
            InvokeMethod(nameof(Scan), currentLocalTime);
        }

        /// <summary>
        /// Updates this consolidator with the specified data
        /// </summary>
        /// <param name="data">The new data for the consolidator</param>
        public void Update(IBaseData data)
        {
            InvokeMethod(nameof(Update), data);
        }

        /// <summary>Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.</summary>
        /// <filterpriority>2</filterpriority>
        public void Dispose()
        {
        }
    }
}