/*
* 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 Python.Runtime;
using QuantConnect.Data;
using QuantConnect.Data.UniverseSelection;
using System;
using System.Collections.Generic;
using QuantConnect.Python;
namespace QuantConnect.Algorithm.Framework.Alphas
{
///
/// Provides an implementation of that wraps a object
///
public class AlphaModelPythonWrapper : AlphaModel
{
private readonly BasePythonWrapper _model;
///
/// Defines a name for a framework model
///
public override string Name
{
get
{
using (Py.GIL())
{
// if the model defines a Name property then use that
if (_model.HasAttr(nameof(Name)))
{
return _model.GetProperty(nameof(Name));
}
// if the model does not define a name property, use the python type name
return _model.GetProperty(" __class__" ).GetAttr("__name__").GetAndDispose();
}
}
}
///
/// Constructor for initialising the class with wrapped object
///
/// >Model that generates alpha
public AlphaModelPythonWrapper(PyObject model)
{
_model = new BasePythonWrapper(model, false);
foreach (var attributeName in new[] { "Update", "OnSecuritiesChanged" })
{
if (!_model.HasAttr(attributeName))
{
throw new NotImplementedException($"IAlphaModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
}
}
}
///
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
///
/// The algorithm instance
/// The new data available
/// The new insights generated
public override IEnumerable Update(QCAlgorithm algorithm, Slice data)
{
return _model.InvokeMethodAndEnumerate(nameof(Update), algorithm, data);
}
///
/// Event fired each time the we add/remove securities from the data feed
///
/// The algorithm instance that experienced the change in securities
/// The security additions and removals from the algorithm
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
_model.InvokeVoidMethod(nameof(OnSecuritiesChanged), algorithm, changes);
}
}
}