/*
* 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 System;
using System.Collections.Generic;
namespace QuantConnect.Scheduling
{
///
/// Uses a function to define a time rule as a projection of date times to date times
///
public class FuncTimeRule : ITimeRule
{
private readonly Func, IEnumerable> _createUtcEventTimesFunction;
///
/// Initializes a new instance of the class
///
/// The name of the time rule
/// Function used to transform dates into event date times
public FuncTimeRule(string name, Func, IEnumerable> createUtcEventTimesFunction)
{
Name = name;
_createUtcEventTimesFunction = createUtcEventTimesFunction;
}
///
/// Initializes a new instance of the class using a Python function
///
/// The name of the time rule
/// Function used to transform dates into event date times in Python
public FuncTimeRule(string name, PyObject createUtcEventTimesFunction)
{
Name = name;
if (!createUtcEventTimesFunction.TryConvertToDelegate(out _createUtcEventTimesFunction))
{
throw new ArgumentException("Python TimeRule provided is not a function");
}
}
///
/// Gets a name for this rule
///
public string Name
{
get; private set;
}
///
/// Creates the event times for the specified dates in UTC
///
/// The dates to apply times to
/// An enumerable of date times that is the result
/// of applying this rule to the specified dates
public IEnumerable CreateUtcEventTimes(IEnumerable dates)
{
return _createUtcEventTimesFunction(dates);
}
}
}