FuncBenchmark.cs

/*
 * 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 System;
using Python.Runtime;
 
namespace QuantConnect.Benchmarks
{
    /// <summary>
    /// Creates a benchmark defined by a function
    /// </summary>
    public class FuncBenchmark : IBenchmark
    {
        private readonly Func<DateTime, decimal> _benchmark;
 
        /// <summary>
        /// Initializes a new instance of the <see cref="FuncBenchmark"/> class
        /// </summary>
        /// <param name="benchmark">The functional benchmark implementation</param>
        public FuncBenchmark(Func<DateTime, decimal> benchmark)
        {
            if (benchmark == null)
            {
                throw new ArgumentNullException(nameof(benchmark));
            }
            _benchmark = benchmark;
        }
 
        /// <summary>
        /// Create a function benchmark from a Python function
        /// </summary>
        /// <param name="pyFunc"></param>
        public FuncBenchmark(PyObject pyFunc)
        {
            if (!pyFunc.TryConvertToDelegate(out _benchmark))
            {
                throw new ArgumentException($"FuncBenchmark(): {Messages.FuncBenchmark.UnableToConvertPythonFunctionToBenchmarkFunction}");
            }
        }
 
        /// <summary>
        /// Evaluates this benchmark at the specified time
        /// </summary>
        /// <param name="time">The time to evaluate the benchmark at</param>
        /// <returns>The value of the benchmark at the specified time</returns>
        public decimal Evaluate(DateTime time)
        {
            return _benchmark(time);
        }
    }
}