/* * 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; } } }