/*
* 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.Interfaces;
using System.Collections.Generic;
namespace QuantConnect.Algorithm.Framework.Alphas.Analysis
{
///
/// Encapsulates the storage of insights.
///
public class InsightManager : InsightCollection
{
private readonly IAlgorithm _algorithm;
private IInsightScoreFunction _insightScoreFunction;
///
/// Creates a new instance
///
/// The associated algorithm instance
public InsightManager(IAlgorithm algorithm)
{
_algorithm = algorithm;
}
///
/// Process a new time step handling insights scoring
///
/// The current utc time
public void Step(DateTime utcNow)
{
_insightScoreFunction?.Score(this, utcNow);
}
///
/// Sets the insight score function to use
///
/// Model that scores insights
public void SetInsightScoreFunction(IInsightScoreFunction insightScoreFunction)
{
_insightScoreFunction = insightScoreFunction;
}
///
/// Sets the insight score function to use
///
/// Model that scores insights
public void SetInsightScoreFunction(PyObject insightScoreFunction)
{
IInsightScoreFunction model;
if (insightScoreFunction.TryConvert(out model))
{
SetInsightScoreFunction(model);
}
else
{
_insightScoreFunction = new InsightScoreFunctionPythonWrapper(insightScoreFunction);
}
}
///
/// Expire the insights of the given symbols
///
/// Symbol we want to expire insights for
public void Expire(IEnumerable symbols)
{
if (symbols == null)
{
return;
}
foreach (var symbol in symbols)
{
if (TryGetValue(symbol, out var insights))
{
Expire(insights);
}
}
}
///
/// Cancel the insights of the given symbols
///
/// Symbol we want to cancel insights for
public void Cancel(IEnumerable symbols)
{
Expire(symbols);
}
///
/// Expire the given insights
///
/// Insights to expire
public void Expire(IEnumerable insights)
{
if (insights == null)
{
return;
}
var currentUtcTime = _algorithm.UtcTime;
foreach (var insight in insights)
{
insight.Expire(currentUtcTime);
}
}
///
/// Cancel the given insights
///
/// Insights to cancel
public void Cancel(IEnumerable insights)
{
Expire(insights);
}
}
}