/*
* 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.Python;
namespace QuantConnect.Indicators
{
///
/// Provides a wrapper for implementations written in python
///
public class PythonIndicator : IndicatorBase, IIndicatorWarmUpPeriodProvider
{
private static string _isReadyName = nameof(IsReady).ToSnakeCase();
private PyObject _instance;
private bool _isReady;
private bool _pythonIsReadyProperty;
private BasePythonWrapper _indicatorWrapper;
///
/// Initializes a new instance of the PythonIndicator class using the specified name.
///
/// This overload allows inheritance for python classes with no arguments
public PythonIndicator()
: base("")
{
}
///
/// Initializes a new instance of the PythonIndicator class using the specified name.
///
/// This overload allows inheritance for python classes with multiple arguments
public PythonIndicator(params PyObject[] args)
: base(GetIndicatorName(args[0]))
{
}
///
/// Initializes a new instance of the PythonIndicator class using the specified name.
///
/// The python implementation of
public PythonIndicator(PyObject indicator)
: base(GetIndicatorName(indicator))
{
SetIndicator(indicator);
}
///
/// Sets the python implementation of the indicator
///
/// The python implementation of
public void SetIndicator(PyObject indicator)
{
_instance = indicator;
_indicatorWrapper = new BasePythonWrapper(indicator, validateInterface: false);
foreach (var attributeName in new[] { "IsReady", "Update", "Value" })
{
if (!_indicatorWrapper.HasAttr(attributeName))
{
var name = GetIndicatorName(indicator);
var message = $"Indicator.{attributeName.ToSnakeCase()} must be implemented. " +
$"Please implement this missing method in {name}";
if (attributeName == "IsReady")
{
message += " or use PythonIndicator as base:" +
$"{Environment.NewLine}class {name}(PythonIndicator):";
}
throw new NotImplementedException(message);
}
if (attributeName == "IsReady")
{
using (Py.GIL())
{
_pythonIsReadyProperty = indicator.GetPythonBoolPropertyWithChecks(_isReadyName) != null;
}
}
}
WarmUpPeriod = GetIndicatorWarmUpPeriod();
}
///
/// Gets a flag indicating when this indicator is ready and fully initialized
///
public override bool IsReady
{
get
{
if (_isReady)
{
return true;
}
if (_pythonIsReadyProperty)
{
using (Py.GIL())
{
/// We get the property again and convert it to bool
var property = _instance.GetPythonBoolPropertyWithChecks(_isReadyName);
return BasePythonWrapper.PythonRuntimeChecker.ConvertAndDispose(property, _isReadyName, isMethod: false);
}
}
return _isReady;
}
}
///
/// Required period, in data points, for the indicator to be ready and fully initialized
///
public int WarmUpPeriod { get; protected set; }
///
/// Computes the next value of this indicator from the given state
///
/// The input given to the indicator
/// A new value for this indicator
protected override decimal ComputeNextValue(IBaseData input)
{
_isReady = _indicatorWrapper.InvokeMethod(nameof(Update), input)
?? _indicatorWrapper.GetProperty(nameof(IsReady));
return _indicatorWrapper.GetProperty("Value");
}
///
/// Get the indicator WarmUpPeriod parameter. If not defined, use 0
///
/// The WarmUpPeriod of the indicator.
private int GetIndicatorWarmUpPeriod()
{
return _indicatorWrapper.HasAttr(nameof(WarmUpPeriod)) ? _indicatorWrapper.GetProperty(nameof(WarmUpPeriod)) : 0;
}
///
/// Get the indicator Name. If not defined, use the class name
///
/// The python implementation of
/// The indicator Name.
private static string GetIndicatorName(PyObject indicator)
{
using (Py.GIL())
{
PyObject name;
if (indicator.HasAttr("Name"))
{
name = indicator.GetAttr("Name");
}
else if (indicator.HasAttr("name"))
{
name = indicator.GetAttr("name");
}
else
{
name = indicator.GetAttr("__class__").GetAttr("__name__");
}
return name.GetAndDispose();
}
}
}
}