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/*
* 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 QuantConnect.Data.UniverseSelection;
using System;
using System.Collections.Generic;
using QuantConnect.Python;
namespace QuantConnect.Algorithm.Framework.Alphas
{
/// <summary>
/// Provides an implementation of <see cref="IAlphaModel"/> that wraps a <see cref="PyObject"/> object
/// </summary>
public class AlphaModelPythonWrapper : AlphaModel
{
/// <summary>
/// Defines a name for a framework model
/// </summary>
public override string Name
{
get
{
using (Py.GIL())
{
// if the model defines a Name property then use that
if (HasAttr(nameof(Name)))
{
return GetProperty<string>(nameof(Name));
}
// if the model does not define a name property, use the python type name
return GetProperty(" __class__").GetAttr("__name__").GetAndDispose<string>();
}
}
}
/// <summary>
/// Constructor for initialising the <see cref="IAlphaModel"/> class with wrapped <see cref="PyObject"/> object
/// </summary>
/// <param name="model">>Model that generates alpha</param>
public AlphaModelPythonWrapper(PyObject model)
{
SetPythonInstance(model, false);
foreach (var attributeName in new[] { "Update", "OnSecuritiesChanged" })
{
if (!HasAttr(attributeName))
{
throw new NotImplementedException($"IAlphaModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");
}
}
var methodName = nameof(SetPythonInstance);
if (HasAttr(methodName))
{
InvokeMethod(methodName, model);
}
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
{
return InvokeMethodAndEnumerate<Insight>(nameof(Update), algorithm, data);
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
InvokeVoidMethod(nameof(OnSecuritiesChanged), algorithm, changes);
}
}
}