Martin Molinero
fa122fa809
- Adding _some_ of the missing PyObject.Dispose calls. In the cases where C# is calling the Python side. - Note that Python calls to C# code is correctly handling the disposure of resources.
75 lines
3.0 KiB
C#
75 lines
3.0 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.UniverseSelection;
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using QuantConnect.Python;
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Portfolio;
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namespace QuantConnect.Algorithm.Framework.Risk
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{
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/// <summary>
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/// Provides an implementation of <see cref="IRiskManagementModel"/> that wraps a <see cref="PyObject"/> object
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/// </summary>
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public class RiskManagementModelPythonWrapper : RiskManagementModel
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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="IRiskManagementModel"/> class with wrapped <see cref="PyObject"/> object
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/// </summary>
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/// <param name="model">Model defining how risk is managed</param>
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public RiskManagementModelPythonWrapper(PyObject model)
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{
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model.ValidateImplementationOf<IRiskManagementModel>();
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_model = model;
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}
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/// <summary>
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/// Manages the algorithm's risk at each time step
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="targets">The current portfolio targets to be assessed for risk</param>
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public override IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets)
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{
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using (Py.GIL())
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{
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var riskTargetOverrides = _model.ManageRisk(algorithm, targets) as PyObject;
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var iterator = riskTargetOverrides.GetIterator();
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foreach (PyObject target in iterator)
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{
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yield return target.GetAndDispose<IPortfolioTarget>();
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}
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iterator.Dispose();
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riskTargetOverrides.Dispose();
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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 override void OnSecuritiesChanged(QCAlgorithm 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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}
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