public void ScanPyConsolidator()
{
using (Py.GIL())
{
var module = PyModule.FromString(Guid.NewGuid().ToString(),
"from AlgorithmImports import *\n" +
"class CustomConsolidator():\n" +
" def __init__(self):\n" +
" self.ScanWasCalled = False\n" +
" self.InputType = QuoteBar\n" +
" self.OutputType = QuoteBar\n" +
" self.Consolidated = None\n" +
" self.WorkingData = None\n" +
" def Scan(self,time):\n" +
" self.ScanWasCalled = True\n");
var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
var time = DateTime.Today;
var period = TimeSpan.FromMinutes(1);
wrapper.Scan(DateTime.Now);
bool called;
customConsolidator.GetAttr("ScanWasCalled").TryConvert(out called);
Assert.True(called);
}
}
public void OutputTypePyConsolidator()
{
using (Py.GIL())
{
var module = PythonEngine.ModuleFromString(Guid.NewGuid().ToString(),
"from clr import AddReference\n" +
"AddReference(\"QuantConnect.Common\")\n" +
"from QuantConnect import *\n" +
"from QuantConnect.Data.Market import *\n" +
"class CustomConsolidator():\n" +
" def __init__(self):\n" +
" self.InputType = QuoteBar\n" +
" self.OutputType = QuoteBar\n" +
" self.Consolidated = None\n" +
" self.WorkingData = None\n");
var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
var time = DateTime.Today;
var period = TimeSpan.FromMinutes(1);
var type = wrapper.OutputType;
Assert.True(type == typeof(QuoteBar));
}
}
public void AttachAndTriggerEvent()
{
using (Py.GIL())
{
var module = PythonEngine.ModuleFromString(Guid.NewGuid().ToString(),
"from clr import AddReference\n" +
"AddReference(\"QuantConnect.Common\")\n" +
"from QuantConnect import *\n" +
"from QuantConnect.Data.Consolidators import *\n" +
"from datetime import *\n" +
"class ImplementingClass():\n" +
" def __init__(self):\n" +
" self.EventCalled = False\n" +
" self.Consolidator = CustomConsolidator(timedelta(minutes=1))\n" +
" self.Consolidator.DataConsolidated += self.ConsolidatorEvent\n" +
" def ConsolidatorEvent(self, sender, bar):\n" +
" self.EventCalled = True\n" +
"class CustomConsolidator(QuoteBarConsolidator):\n" +
" def __init__(self,span):\n" +
" self.Span = span");
var implementingClass = module.GetAttr("ImplementingClass").Invoke();
var customConsolidator = implementingClass.GetAttr("Consolidator");
var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
bool called;
implementingClass.GetAttr("EventCalled").TryConvert(out called);
Assert.False(called);
var time = DateTime.Today;
var period = TimeSpan.FromMinutes(1);
var bar1 = new QuoteBar
{
Time = time,
Symbol = Symbols.SPY,
Bid = new Bar(1, 2, 0.75m, 1.25m),
LastBidSize = 3,
Ask = null,
LastAskSize = 0,
Value = 1,
Period = period
};
wrapper.Update(bar1);
wrapper.Scan(time.AddMinutes(1));
implementingClass.GetAttr("EventCalled").TryConvert(out called);
Assert.True(called);
}
}
public void UpdatePyConsolidator()
{
using (Py.GIL())
{
var module = PythonEngine.ModuleFromString(Guid.NewGuid().ToString(),
"from clr import AddReference\n" +
"AddReference(\"QuantConnect.Common\")\n" +
"from QuantConnect import *\n" +
"from QuantConnect.Data.Market import *\n" +
"class CustomConsolidator():\n" +
" def __init__(self):\n" +
" self.UpdateWasCalled = False\n" +
" self.InputType = QuoteBar\n" +
" self.OutputType = QuoteBar\n" +
" self.Consolidated = None\n" +
" self.WorkingData = None\n" +
" def Update(self, data):\n" +
" self.UpdateWasCalled = True\n");
var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
var time = DateTime.Today;
var period = TimeSpan.FromMinutes(1);
var bar1 = new QuoteBar
{
Time = time,
Symbol = Symbols.SPY,
Bid = new Bar(1, 2, 0.75m, 1.25m),
LastBidSize = 3,
Ask = null,
LastAskSize = 0,
Value = 1,
Period = period
};
wrapper.Update(bar1);
bool called;
customConsolidator.GetAttr("UpdateWasCalled").TryConvert(out called);
Assert.True(called);
}
}
public void OutputTypePyConsolidator()
{
using (Py.GIL())
{
var module = PyModule.FromString(Guid.NewGuid().ToString(),
"from AlgorithmImports import *\n" +
"class CustomConsolidator():\n" +
" def __init__(self):\n" +
" self.InputType = QuoteBar\n" +
" self.OutputType = QuoteBar\n" +
" self.Consolidated = None\n" +
" self.WorkingData = None\n");
var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
var time = DateTime.Today;
var period = TimeSpan.FromMinutes(1);
var type = wrapper.OutputType;
Assert.True(type == typeof(QuoteBar));
}
}
/// <summary>
/// Add a custom python consolidator for the symbol
/// </summary>
/// <param name="symbol">Symbol of the asset to consolidate</param>
/// <param name="pyConsolidator">The custom python consolidator</param>
public void AddConsolidator(Symbol symbol, PyObject pyConsolidator)
{
IDataConsolidator consolidator = new DataConsolidatorPythonWrapper(pyConsolidator);
AddConsolidator(symbol, consolidator);
}
