/*

* 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.Portfolio;

using QuantConnect.Data.UniverseSelection;

using System;

namespace QuantConnect.Algorithm.Framework.Execution

{

/// <summary>

/// Provides an implementation of <see cref="IExecutionModel"/> that wraps a <see cref="PyObject"/> object

/// </summary>

public class ExecutionModelPythonWrapper : ExecutionModel

{

private readonly dynamic _model;

/// <summary>

/// Constructor for initialising the <see cref="IExecutionModel"/> class with wrapped <see cref="PyObject"/> object

/// </summary>

/// <param name="model">Model defining how to execute trades to reach a portfolio target</param>

public ExecutionModelPythonWrapper(PyObject model)

{

using (Py.GIL())

{

foreach (var attributeName in new[] { "Execute", "OnSecuritiesChanged" })

{

if (!model.HasAttr(attributeName))

{

throw new NotImplementedException($"IExecutionModel.{attributeName} must be implemented. Please implement this missing method on {model.GetPythonType()}");

}

}

}

_model = model;

}

/// <summary>

/// Submit orders for the specified portolio targets.

/// This model is free to delay or spread out these orders as it sees fit

/// </summary>

/// <param name="algorithm">The algorithm instance</param>

/// <param name="targets">The portfolio targets to be ordered</param>

public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)

{

using (Py.GIL())

{

_model.Execute(algorithm, targets);

}

}

/// <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)

{

using (Py.GIL())

{

_model.OnSecuritiesChanged(algorithm, changes);

}

}

}

}