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AlexCatarinomchandschuh
AlexCatarino
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mchandschuh
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Python algos in a file with the algo name like C#
build.bat (batch.sh in Linux) includes the code inside the file with the desired algorithm (set in config.json by "algorithm-type-name") in the python DLL (QuantConnect.Algorithm.Python.dll) via IronPython. In the AlgorithmFactory, Loader.TryCreatePythonAlgorithm imports the module with the algorithm name instead of "main". Closes #289
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Lines changed: 58 additions & 7 deletions

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‎Algorithm.Python/BasicTemplateAlgorithm.py‎

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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import clr
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clr.AddReference("System")
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clr.AddReference("QuantConnect.Algorithm")
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clr.AddReference("QuantConnect.Indicators")
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clr.AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Indicators import *
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class BasicTemplateAlgorithm(QCAlgorithm):
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'''Basic template algorithm simply initializes the date range and cash'''
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2013,10,07) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# Find more symbols here: http://quantconnect.com/data
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self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Second)
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if not self.Portfolio.Invested:
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self.SetHoldings("SPY", 1)

‎Algorithm.Python/QuantConnect.Algorithm.Python.csproj‎

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</None>
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<None Include="Lib\ensurepip\_bundled\pip-1.5.6-py2.py3-none-any.whl" />
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<None Include="Lib\ensurepip\_bundled\setuptools-3.6-py2.py3-none-any.whl" />
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<None Include="main.py">
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<CopyToOutputDirectory>Always</CopyToOutputDirectory>
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</None>
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<None Include="build.bat">
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<CopyToOutputDirectory>Always</CopyToOutputDirectory>
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</None>
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<None Include="packages.config" />
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<None Include="readme.md" />
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</ItemGroup>
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<ItemGroup>
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<Content Include="BasicTemplateAlgorithm.py" />
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<Content Include="Lib\abc.py" />
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<Content Include="Lib\aifc.py" />
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<Content Include="Lib\antigravity.py" />

‎Algorithm.Python/build.bat‎

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del "QuantConnect.Algorithm.Python.dll"
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del "../Launcher/bin/Debug/QuantConnect.Algorithm.Python.dll"
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REM Get algorithm-type-name from config.json
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setlocal EnableDelayedExpansion
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for /f "tokens=2 delims=:, " %%a in (' find "algorithm-type-name" ^< "../Launcher/config.json" ') do ( set pyfile=%%~a.py )
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REM IronPython Compile the Algorithm
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ipy %pyc% /target:dll /out:QuantConnect.Algorithm.Python main.py
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ipy %pyc% /target:dll /out:QuantConnect.Algorithm.Python !pyfile!
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REM Copy to the Lean Algorithm Project
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echo f|xcopy /Y "QuantConnect.Algorithm.Python.dll" "../Launcher/bin/Debug/QuantConnect.Algorithm.Python.dll"

‎Algorithm.Python/build.sh‎

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# Set the script variables: assuming installing the ./compiler/library/ and the caller is in ./compiler/bin/Debug/build.sh
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ipy="../../IronPython-2.7.5/ipy.exe"
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pyc="../../IronPython-2.7.5/Tools/Scripts/pyc.py"
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# Get algorithm-type-name from config.json
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pyfile=$(grep -Po '(?<="algorithm-type-name": ")[^"]*' ../Launcher/config.json).py
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# Call the compiler:
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mono $ipy $pyc /target:dll /out:QuantConnect.Algorithm.Python main.py
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mono $ipy $pyc /target:dll /out:QuantConnect.Algorithm.Python $pyfile
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# Copy to the Lean Algorithm Project
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cp QuantConnect.Algorithm.Python.dll ../Launcher/bin/Debug/QuantConnect.Algorithm.Python.dll

‎AlgorithmFactory/Loader.cs‎

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try
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{
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Log.Trace("Loader.TryCreatePythonAlgorithm(): Importing python module...");
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var scope = engine.Runtime.ImportModule("main");
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var algorithmName = Config.Get("algorithm-type-name");
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var scope = engine.Runtime.ImportModule(algorithmName);
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items = (List<KeyValuePair<string, dynamic>>)scope.GetItems();
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}
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catch (Exception err)

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