/// <summary>
/// Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates
/// from the consolidator.
/// </summary>
/// <param name="symbol">The symbol to register against</param>
/// <param name="indicator">The indicator to receive data from the consolidator</param>
/// <param name="consolidator">The consolidator to receive raw subscription data</param>
/// <param name="selector">Selects a value from the BaseData send into the indicator, if null defaults to a cast (x => (T)x)</param>
public void RegisterIndicator(Symbol symbol, PyObject indicator, IDataConsolidator consolidator, PyObject selector = null)
{
object managedObject = null;
using (Py.GIL())
{
var pythonType = indicator.GetPythonType();
if (pythonType.Repr().Contains("QuantConnect"))
{
managedObject = indicator.AsManagedObject(pythonType.As <Type>());
}
else if (!indicator.HasAttr("Update"))
{
throw new ArgumentException($"Update method must be defined. Please checkout {indicator}");
}
}
// Lean indicators are directed to other RegisterIndicator overloads
if (managedObject != null)
{
var indicatorDataPoint = managedObject as Indicator;
if (indicatorDataPoint != null)
{
var managedSelector = (Func <IBaseData, decimal>)selector?.AsManagedObject(typeof(Func <IBaseData, decimal>));
RegisterIndicator(symbol, indicatorDataPoint, consolidator, managedSelector);
}
var indicatorDataBar = managedObject as BarIndicator;
if (indicatorDataBar != null)
{
var managedSelector = (Func <IBaseData, IBaseDataBar>)selector?.AsManagedObject(typeof(Func <IBaseData, IBaseDataBar>));
RegisterIndicator(symbol, indicatorDataBar, consolidator, managedSelector);
}
var indicatorTradeBar = managedObject as TradeBarIndicator;
if (indicatorTradeBar != null)
{
var managedSelector = (Func <IBaseData, TradeBar>)selector?.AsManagedObject(typeof(Func <IBaseData, TradeBar>));
RegisterIndicator(symbol, indicatorTradeBar, consolidator, managedSelector);
}
return;
}
// register the consolidator for automatic updates via SubscriptionManager
SubscriptionManager.AddConsolidator(symbol, consolidator);
// attach to the DataConsolidated event so it updates our indicator
consolidator.DataConsolidated += (sender, consolidated) =>
{
using (Py.GIL())
{
indicator.InvokeMethod("Update", new[] { consolidated.ToPython() });
}
};
}
/// <summary>
/// Sets the specified function as the benchmark, this function provides the value of
/// the benchmark at each date/time requested
/// </summary>
/// <param name="benchmark">The benchmark producing function</param>
public void SetBenchmark(PyObject benchmark)
{
using (Py.GIL())
{
var pyBenchmark = PythonUtil.ToFunc <DateTime, decimal>(benchmark);
if (pyBenchmark != null)
{
SetBenchmark(pyBenchmark);
return;
}
SetBenchmark((Symbol)benchmark.AsManagedObject(typeof(Symbol)));
}
}
/// <summary>
/// Creates a new universe and adds it to the algorithm. This is for coarse fundamental US Equity data and
/// will be executed on day changes in the NewYork time zone (<see cref="TimeZones.NewYork"/>
/// </summary>
/// <param name="pycoarse">Defines an initial coarse selection</param>
public void AddUniverse(PyObject pycoarse)
{
var coarse = PythonUtil.ToFunc <IEnumerable <CoarseFundamental>, object[]>(pycoarse);
if (coarse != null)
{
AddUniverse(c => coarse(c).Select(x => (Symbol)x));
return;
}
var type = (Type)pycoarse.GetPythonType().AsManagedObject(typeof(Type));
AddUniverse((dynamic)pycoarse.AsManagedObject(type));
}
/// <summary>
/// This method calls back into the CPython runtime - tests
/// call this from Python to check that we don't hang on
/// nested transitions from managed to Python code and back.
/// </summary>
public static string CallEchoString(string arg)
{
using (Py.GIL())
{
if (module == null)
{
module = PyModule.FromString("tt", testmod);
}
PyObject func = module.GetAttr("echostring");
var parg = new PyString(arg);
PyObject temp = func.Invoke(parg);
var result = (string)temp.AsManagedObject(typeof(string));
func.Dispose();
parg.Dispose();
temp.Dispose();
return(result);
}
}
// This method calls back into the CPython runtime - tests
// call this from Python to check that we don't hang on
// nested transitions from managed to Python code and back.
public static string CallEchoString(string arg)
{
IntPtr gs = PythonEngine.AcquireLock();
if (module == null)
{
module = PythonEngine.ModuleFromString("tt", testmod);
}
PyObject func = module.GetAttr("echostring");
PyString parg = new PyString(arg);
PyObject temp = func.Invoke(parg);
string result = (string)temp.AsManagedObject(typeof(String));
func.Dispose();
parg.Dispose();
temp.Dispose();
PythonEngine.ReleaseLock(gs);
return(result);
}
public object QueryAsync(string code)
{
using IServiceScope scope = _serviceProvider.CreateScope();
UsageRecordsRepository repository = scope.ServiceProvider.GetRequiredService <UsageRecordsRepository>();
IEnumerable <UsageRecord> usageRecords = repository.UsageRecords.AsNoTracking();
using Py.GILState gil = Py.GIL();
using PyScope pyScope = Py.CreateScope();
pyScope.Set(nameof(usageRecords), usageRecords.ToPython());
PyObject pyObject = pyScope.Eval(code);
if (pyObject.IsIterable())
{
return(pyObject.Select(item => item.AsManagedObject(typeof(object))));
}
else
{
object result = pyObject.AsManagedObject(typeof(object));
return(result);
}
}
public override ValueType Execute(ValueType arg)
{
try
{
// Create a C# user-defined object in Python. Asssing some values.
Type type = typeof(Python.EmbeddingTest.Domain.MyClass);
string code = string.Format(@"
import clr
clr.AddReference('{0}')
from Python.EmbeddingTest.Domain import MyClass
obj = MyClass()
obj.Method()
obj.StaticMethod()
obj.Property = 1
obj.Field = 10
", Assembly.GetExecutingAssembly().FullName);
using (Py.GIL())
using (var scope = Py.CreateScope())
{
scope.Exec(code);
using (PyObject obj = scope.Get("obj"))
{
Debug.Assert(obj.AsManagedObject(type).GetType() == type);
// We only needs its Python handle
PyRuntime.XIncref(obj.Handle);
return(obj.Handle);
}
}
}
catch (Exception e)
{
Debug.WriteLine(e);
throw;
}
}
internal object AsManagedType(Type t)
{
return(PyObject.AsManagedObject(t));
}
/// <summary>
/// Creates a new CompositeIndicator such that the result will be the sum of the left and the constant
/// </summary>
/// <remarks>
/// value = left + constant
/// </remarks>
/// <param name="left">The left indicator</param>
/// <param name="constant">The addend</param>
/// <returns>The sum of the left and right indicators</returns>
public static object Plus(PyObject left, decimal constant)
{
dynamic indicatorLeft = left.AsManagedObject((Type)left.GetPythonType().AsManagedObject(typeof(Type)));
return(Plus(indicatorLeft, constant));
}
/// <summary>
/// Initializes a new instance of the SimpleMovingAverage class with the specified name and period from the left indicator
/// </summary>
/// <param name="left">The SimpleMovingAverage indicator will be created using the data from left</param>
/// <param name="period">The period of the SMA</param>
/// <param name="waitForFirstToReady">True to only send updates to the second if first.IsReady returns true, false to always send updates to second</param>
/// <returns>The reference to the SimpleMovingAverage indicator to allow for method chaining</returns>
public static SimpleMovingAverage SMA(PyObject left, int period, bool waitForFirstToReady = true)
{
dynamic indicator = left.AsManagedObject((Type)left.GetPythonType().AsManagedObject(typeof(Type)));
return(SMA(indicator, period, waitForFirstToReady));
}
/// <summary>
/// Creates a new Minimum indicator with the specified period from the left indicator
/// </summary>
/// <param name="left">The Minimum indicator will be created using the data from left</param>
/// <param name="period">The period of the Minimum indicator</param>
/// <param name="waitForFirstToReady">True to only send updates to the second if left.IsReady returns true, false to always send updates</param>
/// <returns>A reference to the Minimum indicator to allow for method chaining</returns>
public static Minimum MIN(PyObject left, int period, bool waitForFirstToReady = true)
{
dynamic indicator = left.AsManagedObject((Type)left.GetPythonType().AsManagedObject(typeof(Type)));
return(MIN(indicator, period, waitForFirstToReady));
}
/// <summary>
/// Creates a new ExponentialMovingAverage indicator with the specified period and smoothingFactor from the left indicator
/// </summary>
/// <param name="left">The ExponentialMovingAverage indicator will be created using the data from left</param>
/// <param name="period">The period of the ExponentialMovingAverage indicators</param>
/// <param name="smoothingFactor">The percentage of data from the previous value to be carried into the next value</param>
/// <param name="waitForFirstToReady">True to only send updates to the second if left.IsReady returns true, false to always send updates</param>
/// <returns>A reference to the ExponentialMovingAverage indicator to allow for method chaining</returns>
public static ExponentialMovingAverage EMA(PyObject left, int period, decimal?smoothingFactor = null, bool waitForFirstToReady = true)
{
dynamic indicator = left.AsManagedObject((Type)left.GetPythonType().AsManagedObject(typeof(Type)));
return(EMA(indicator, period, smoothingFactor, waitForFirstToReady));
}
public static T As <T>(this PyObject pyo)
{
return((T)pyo.AsManagedObject(typeof(T)));
}
