/* * 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; } } }