/*
* 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 System;
using System.Collections.Generic;
namespace QuantConnect.Python
{
///
/// Dynamic data class for Python algorithms.
/// Stores properties of python instances in DynamicData dictionary
///
public class PythonData : DynamicData
{
private readonly string _pythonTypeName;
private readonly dynamic _pythonReader;
private readonly dynamic _pythonGetSource;
private readonly dynamic _pythonData;
private readonly dynamic _defaultResolution;
private readonly dynamic _supportedResolutions;
private readonly dynamic _isSparseData;
private readonly dynamic _requiresMapping;
private DateTime _endTime;
///
/// The end time of this data. Some data covers spans (trade bars)
/// and as such we want to know the entire time span covered
///
///
/// This property is overriden to allow different values for Time and EndTime
/// if they are set in the Reader. In the base implementation EndTime equals Time
///
public override DateTime EndTime
{
get
{
return _endTime == default ? Time : _endTime;
}
set
{
_endTime = value;
if(Time == default)
{
// if Time hasn't been set let's set it, like BaseData does. If the user overrides it that's okay
Time = value;
}
}
}
///
/// Constructor for initializing the PythonData class
///
public PythonData()
{
//Empty constructor required for fast-reflection initialization
}
///
/// Constructor for initializing the PythonData class with wrapped PyObject
///
///
public PythonData(PyObject pythonData)
{
_pythonData = pythonData;
using (Py.GIL())
{
// these methods rely on the Symbol so we can call them yet but we can get them
_requiresMapping = pythonData.GetMethod("RequiresMapping");
_isSparseData = pythonData.GetMethod("IsSparseData");
_defaultResolution = pythonData.GetMethod("DefaultResolution");
_supportedResolutions = pythonData.GetMethod("SupportedResolutions");
_pythonReader = pythonData.GetMethod("Reader");
_pythonGetSource = pythonData.GetMethod("GetSource");
_pythonTypeName = pythonData.GetPythonType().GetAssemblyName().Name;
}
}
///
/// Source Locator for algorithm written in Python.
///
/// Subscription configuration object
/// Date of the data file we're looking for
/// true if we're in live mode, false for backtesting mode
/// STRING API Url.
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
using (Py.GIL())
{
var source = _pythonGetSource(config, date, isLiveMode);
return (source as PyObject).GetAndDispose();
}
}
///
/// Generic Reader Implementation for Python Custom Data.
///
/// Subscription configuration
/// CSV line of data from the source
/// Date of the requested line
/// true if we're in live mode, false for backtesting mode
///
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
using (Py.GIL())
{
var data = _pythonReader(config, line, date, isLiveMode);
var result = (data as PyObject).GetAndDispose();
(result as PythonData)?.SetProperty("__typename", _pythonTypeName);
return result;
}
}
///
/// Indicates if there is support for mapping
///
/// True indicates mapping should be used
public override bool RequiresMapping()
{
if (_requiresMapping == null)
{
return base.RequiresMapping();
}
using (Py.GIL())
{
return _requiresMapping();
}
}
///
/// Indicates that the data set is expected to be sparse
///
/// Relies on the property value
/// True if the data set represented by this type is expected to be sparse
public override bool IsSparseData()
{
if (_isSparseData == null)
{
return base.IsSparseData();
}
using (Py.GIL())
{
return _isSparseData();
}
}
///
/// Gets the default resolution for this data and security type
///
/// This is a method and not a property so that python
/// custom data types can override it
public override Resolution DefaultResolution()
{
if (_defaultResolution == null)
{
return base.DefaultResolution();
}
using (Py.GIL())
{
return _defaultResolution();
}
}
///
/// Gets the supported resolution for this data and security type
///
/// This is a method and not a property so that python
/// custom data types can override it
public override List SupportedResolutions()
{
if (_supportedResolutions == null)
{
return base.SupportedResolutions();
}
using (Py.GIL())
{
return _supportedResolutions();
}
}
///
/// Indexes into this PythonData, where index is key to the dynamic property
///
/// the index
/// Dynamic property of a given index
public object this[string index]
{
get
{
return GetProperty(index);
}
set
{
SetProperty(index, value is double ? value.ConvertInvariant() : value);
}
}
///
/// Helper method to determine if the current instance is of the provided type
///
/// Target type to check against
/// True if this instance is of the provided type
public bool IsOfType(Type type)
{
if (HasProperty("__typename"))
{
return (string)GetProperty("__typename") == type.FullName;
}
return GetType() == type;
}
}
}