Python integration

[worldexplorer]

1. the easiest way would be to develop a strategy and tunnel all these methods to python interpreter instantiated within this wrapper strategy:

2. a more flexible way is to develop two proxies / communicators that allow bidirectional Remote Procedure Call from C# to Python and back from Python to C#; I have not studied which library may facilitate this but this way the user has full and direct control over launching python scripts in their own console with logging / messages / dialogues; SquareOne should wait until python script is launched and then they talk;

https://github.com/worldexplorer/SquareOne/wiki/Userland-Scripts-development

Methods that need to be "tunneled" to Python to setup something prior to each backtest begins:

• public virtual void InitializeBacktest();

Methods that need to be "tunneled" to Python to generate Alerts:

• public virtual void InitializeBacktest();
• public virtual void OnNewQuoteOfStreamingBarCallback(Quote quoteNewArrived);
• public virtual void OnBarStaticLastFormedWhileStreamingBarWithOneQuoteAlreadyAppendedCallback(Bar barNewStaticArrived);

Methods that need to be "tunneled" to Python to notify the changes of Alerts' state:

• public virtual void OnAlertFilledCallback(Alert alertFilled);
• public virtual void OnAlertKilledCallback(Alert alertKilled);
• public virtual void OnAlertNotSubmittedCallback(Alert alertNotSubmitted, int barNotSubmittedRelno);

Methods that need to be "tunneled" to Python to notify the changes of Orders' state:

• public virtual void OnPositionOpenedCallback(Position positionOpened);
• public virtual void OnPositionOpenedPrototypeSlTpPlacedCallback(Position positionOpenedByPrototype);
• public virtual void OnPositionClosedCallback(Position positionClosed);

Methods that Python should be able to invoke in order to create buy/sell signals:

• public Position BuyAtLimit(Bar bar, double limitPrice, string signalName = "BOUGHT_AT_LIMIT");
• public Position BuyAtMarket(Bar bar, string signalName = "BOUGHT_AT_MARKET");
• public Position BuyAtStop(Bar bar, double stopPrice, string signalName = "BOUGHT_AT_STOP");
• public Alert CoverAtLimit(Bar bar, Position position, double limitPrice, string signalName = "COVERED_AT_LIMIT");
• public Alert CoverAtMarket(Bar bar, Position position, string signalName = "COVERED_AT_MARKET");
• public Alert CoverAtStop(Bar bar, Position position, double stopPrice, string signalName = "COVERED_AT_STOP");
• public Alert SellAtLimit(Bar bar, Position position, double limitPrice, string signalName = "SOLD_AT_LIMIT");
• public Alert SellAtMarket(Bar bar, Position position, string signalName = "SOLD_AT_MARKET");
• public Alert SellAtStop(Bar bar, Position position, double stopPrice, string signalName = "SOLD_AT_STOP");
• public Position ShortAtLimit(Bar bar, double limitPrice, string signalName = "SHORTED_AT_LIMIT") ;
• public Position ShortAtMarket(Bar bar, string signalName = "SHORTED_AT_MARKET");
• public Position ShortAtStop(Bar bar, double stopPrice, string signalName = "SHORTED_AT_STOP");
• public Alert ExitAtMarket(Bar bar, Position position, string signalName = "EXITED_AT_MARKET")
• public Alert ExitAtLimit(Bar bar, Position position, double price, string signalName = "EXITED_AT_LIMIT")

Methods that Python should be able to invoke in order to close positions:

• public void AlertKillPending(Alert alert);
• public List PositionCloseImmediately(Position position, string signalName);
• public List PositionKillExitAlert(Position position, string signalName);
• public List PositionPrototypeKillWhateverIsPending(PositionPrototype proto, string signalName)

Methods that Python should be able to invoke in order to mark the chart with colors/labels:

• public void SetBarColorBackground(Bar bar, Color color);
• public void SetBarColorBackground(Bar bar, Color color, ChartPanelType chartPanelType);