/*
* 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.Data;
using QuantConnect.Logging;
using System.Collections.Generic;
namespace QuantConnect.Securities
{
///
/// Seed a security price from a history function
///
public class FuncSecuritySeeder : ISecuritySeeder
{
private readonly Func> _seedFunction;
///
/// Constructor that takes as a parameter the security used to seed the price
///
/// The seed function to use
public FuncSecuritySeeder(PyObject seedFunction)
{
var result = seedFunction.ConvertToDelegate>();
_seedFunction = security =>
{
var dataObject = result(security);
var dataPoint = dataObject as BaseData;
if (dataPoint != null)
{
return new[] { dataPoint };
}
return (IEnumerable)dataObject;
};
}
///
/// Constructor that takes as a parameter the security used to seed the price
///
/// The seed function to use
public FuncSecuritySeeder(Func seedFunction)
: this(security => { return new []{ seedFunction(security) }; })
{
}
///
/// Constructor that takes as a parameter the security used to seed the price
///
/// The seed function to use
public FuncSecuritySeeder(Func> seedFunction)
{
_seedFunction = seedFunction;
}
///
/// Seed the security
///
/// being seeded
/// true if the security was seeded, false otherwise
public bool SeedSecurity(Security security)
{
try
{
// Do not seed canonical symbols
if (!security.Symbol.IsCanonical())
{
var gotData = false;
foreach (var seedData in _seedFunction(security))
{
gotData = true;
security.SetMarketPrice(seedData);
Log.Debug("FuncSecuritySeeder.SeedSecurity(): " + Messages.FuncSecuritySeeder.SeededSecurityInfo(seedData));
}
if (!gotData)
{
Log.Trace("FuncSecuritySeeder.SeedSecurity(): " + Messages.FuncSecuritySeeder.UnableToSeedSecurity(security));
return false;
}
}
}
catch (Exception exception)
{
Log.Trace("FuncSecuritySeeder.SeedSecurity(): " + Messages.FuncSecuritySeeder.UnableToSecurityPrice(security) + $": {exception}");
return false;
}
return true;
}
}
}