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QCAlgorithm.Framework.Python.cs 5.38 KB
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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.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Util;
namespace QuantConnect.Algorithm
{
public partial class QCAlgorithm
{
/// <summary>
/// Sets the alpha model
/// </summary>
/// <param name="alpha">Model that generates alpha</param>
[DocumentationAttribute(AlgorithmFramework)]
public void SetAlpha(PyObject alpha)
{
Alpha = PythonUtil.CreateInstanceOrWrapper<IAlphaModel>(
alpha,
py => new AlphaModelPythonWrapper(py)
);
}
/// <summary>
/// Adds a new alpha model
/// </summary>
/// <param name="alpha">Model that generates alpha to add</param>
[DocumentationAttribute(AlgorithmFramework)]
public void AddAlpha(PyObject alpha)
{
var model = PythonUtil.CreateInstanceOrWrapper<IAlphaModel>(
alpha,
py => new AlphaModelPythonWrapper(py)
);
AddAlpha(model);
}
/// <summary>
/// Sets the execution model
/// </summary>
/// <param name="execution">Model defining how to execute trades to reach a portfolio target</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(TradingAndOrders)]
public void SetExecution(PyObject execution)
{
Execution = PythonUtil.CreateInstanceOrWrapper<IExecutionModel>(
execution,
py => new ExecutionModelPythonWrapper(py)
);
}
/// <summary>
/// Sets the portfolio construction model
/// </summary>
/// <param name="portfolioConstruction">Model defining how to build a portfolio from alphas</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(TradingAndOrders)]
public void SetPortfolioConstruction(PyObject portfolioConstruction)
{
PortfolioConstruction = PythonUtil.CreateInstanceOrWrapper<IPortfolioConstructionModel>(
portfolioConstruction,
py => new PortfolioConstructionModelPythonWrapper(py)
);
}
/// <summary>
/// Sets the universe selection model
/// </summary>
/// <param name="universeSelection">Model defining universes for the algorithm</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(Universes)]
public void SetUniverseSelection(PyObject universeSelection)
{
UniverseSelection = PythonUtil.CreateInstanceOrWrapper<IUniverseSelectionModel>(
universeSelection,
py => new UniverseSelectionModelPythonWrapper(py)
);
}
/// <summary>
/// Adds a new universe selection model
/// </summary>
/// <param name="universeSelection">Model defining universes for the algorithm to add</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(Universes)]
public void AddUniverseSelection(PyObject universeSelection)
{
var model = PythonUtil.CreateInstanceOrWrapper<IUniverseSelectionModel>(
universeSelection,
py => new UniverseSelectionModelPythonWrapper(py)
);
AddUniverseSelection(model);
}
/// <summary>
/// Sets the risk management model
/// </summary>
/// <param name="riskManagement">Model defining how risk is managed</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(TradingAndOrders)]
public void SetRiskManagement(PyObject riskManagement)
{
RiskManagement = PythonUtil.CreateInstanceOrWrapper<IRiskManagementModel>(
riskManagement,
py => new RiskManagementModelPythonWrapper(py)
);
}
/// <summary>
/// Adds a new risk management model
/// </summary>
/// <param name="riskManagement">Model defining how risk is managed to add</param>
[DocumentationAttribute(AlgorithmFramework)]
[DocumentationAttribute(TradingAndOrders)]
public void AddRiskManagement(PyObject riskManagement)
{
var model = PythonUtil.CreateInstanceOrWrapper<IRiskManagementModel>(
riskManagement,
py => new RiskManagementModelPythonWrapper(py)
);
AddRiskManagement(model);
}
}
}
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