/* * 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 System.Collections.Concurrent; using System.Collections.Generic; using Python.Runtime; using QuantConnect.Interfaces; using QuantConnect.Python; using QuantConnect.Securities; namespace QuantConnect.Data.UniverseSelection { /// /// Provides an implementation of that wraps a object /// public class UniversePythonWrapper : Universe { private readonly BasePythonWrapper _model; /// /// Gets the settings used for subscriptions added for this universe /// public override UniverseSettings UniverseSettings { get { return _model.GetProperty(nameof(UniverseSettings)); } set { _model.SetProperty(nameof(UniverseSettings), value); } } /// /// Flag indicating if disposal of this universe has been requested /// public override bool DisposeRequested { get { return _model.GetProperty(nameof(DisposeRequested)); } protected set { _model.SetProperty(nameof(DisposeRequested), value); } } /// /// Gets the configuration used to get universe data /// public override SubscriptionDataConfig Configuration { get { return _model.GetProperty(nameof(Configuration)); } } /// /// Gets the internal security collection used to define membership in this universe /// public override ConcurrentDictionary Securities { get { return _model.GetProperty>(nameof(Securities)); } } /// /// Initializes a new instance of the class /// public UniversePythonWrapper(PyObject universe) : base(null) { _model = new BasePythonWrapper(universe, false); } /// /// Performs universe selection using the data specified /// /// The current utc time /// The symbols to remain in the universe /// The data that passes the filter public override IEnumerable SelectSymbols(DateTime utcTime, BaseDataCollection data) { return _model.InvokeMethodAndEnumerate(nameof(SelectSymbols), utcTime, data); } /// /// Gets the subscription requests to be added for the specified security /// /// The security to get subscriptions for /// The current time in utc. This is the frontier time of the algorithm /// The max end time /// Instance which implements interface /// All subscriptions required by this security public override IEnumerable GetSubscriptionRequests(Security security, DateTime currentTimeUtc, DateTime maximumEndTimeUtc, ISubscriptionDataConfigService subscriptionService) { var requests = _model.InvokeMethodAndEnumerate(nameof(GetSubscriptionRequests), security, currentTimeUtc, maximumEndTimeUtc, subscriptionService); foreach (var subscriptionRequest in requests) { yield return new SubscriptionRequest(subscriptionRequest, universe: this); } } } }