Refactor & changes requested

- Removed reflection usage to limit performance impact - Revisited valid field matching logic - Added support for volume - Updated unit test
D1mi3 · Jun 13, 2024 · 4dd139f · 4dd139f
1 parent 7b59637
commit 4dd139f
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Showing 2 changed files with 34 additions and 34 deletions.
diff --git a/Common/Securities/SecurityCache.cs b/Common/Securities/SecurityCache.cs
@@ -20,8 +20,6 @@
 using System.Collections.Generic;
 using System.Runtime.CompilerServices;
 using QuantConnect.Python;
-using System.Reflection;
-using Python.Runtime;
 using QuantConnect.Data.Fundamental;
 using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Util;
@@ -230,38 +228,6 @@ protected virtual void ProcessDataPoint(BaseData data, bool cacheByType)
                 return;
             }
 
-            var pythonData = data as PythonData;
-            if (pythonData != null && (_lastQuoteBarUpdate != data.EndTime || _lastOHLCUpdate != data.EndTime) && isDefaultDataType)
-            {
-                // Get matching pythonData and IBar properties
-                IDictionary<string, object> storage = pythonData.GetStorageDictionary();
-                PropertyInfo[] barProperties = typeof(IBar).GetProperties();
-                List<string> fieldsRequired = barProperties.Select(property => property.Name.ToLowerInvariant()).ToList();
-                var matches = storage.Where(kvp => fieldsRequired.Contains(kvp.Key) && kvp.Value != null) ;
-
-                IDictionary<string, decimal> validOHLC = new Dictionary<string, decimal>();
-
-                // Convert OHLC to decimal & update properties
-                if (matches.Count() == fieldsRequired.Count)
-                {
-                    foreach (KeyValuePair<string, object> match in matches)
-                    {
-                        decimal.TryParse(match.Value.ToString(), out decimal result);
-                        validOHLC.Add(match.Key, result);
-                    }
-                    _lastOHLCUpdate = data.EndTime;
-                    if (validOHLC["open"] != 0) Open = validOHLC["open"];
-                    if (validOHLC["high"] != 0) High = validOHLC["high"];
-                    if (validOHLC["low"] != 0) Low = validOHLC["low"];
-                    if (validOHLC["close"] != 0)
-                    {
-                        Price = validOHLC["close"];
-                        Close = validOHLC["close"];
-                    }
-                    return;
-                }
-            }
-
             var bar = data as IBar;
             if (bar != null)
             {
@@ -303,6 +269,36 @@ protected virtual void ProcessDataPoint(BaseData data, bool cacheByType)
                     Price = data.Price;
                 }
             }
+
+            var pythonData = data as PythonData;
+            if (pythonData != null && (_lastQuoteBarUpdate != data.EndTime || _lastOHLCUpdate != data.EndTime) && isDefaultDataType)
+            {
+                IDictionary<string, object> storage = pythonData.GetStorageDictionary();
+                List<string> validFields = new List<string> { "open", "high", "low", "close", "volume" };
+                IDictionary<string, decimal> validOHLC = new Dictionary<string, decimal>();
+
+                foreach (string fieldName in validFields)
+                {
+                    if (!storage.ContainsKey(fieldName))
+                        validOHLC.Add(fieldName, 0);
+                    else
+                    {
+                        string match = storage[fieldName].ToString();
+                        decimal.TryParse(match, out decimal result);
+                        validOHLC.Add(fieldName, result);
+                    }
+                }
+                _lastOHLCUpdate = data.EndTime;
+                if (validOHLC["open"] != 0) Open = validOHLC["open"];
+                if (validOHLC["high"] != 0) High = validOHLC["high"];
+                if (validOHLC["low"] != 0) Low = validOHLC["low"];
+                if (validOHLC["volume"] != 0) Volume = validOHLC["volume"];
+                if (validOHLC["close"] != 0)
+                {
+                    Price = validOHLC["close"];
+                    Close = validOHLC["close"];
+                }
+            }
         }
 
         /// <summary>

diff --git a/Tests/Common/Securities/SecurityCacheTests.cs b/Tests/Common/Securities/SecurityCacheTests.cs
@@ -380,6 +380,7 @@ def Reader(self, config, line, date, isLiveMode):
         result.High = 4.1
         result.low = 2.0
         result.close = 3.7
+        result.volume = 33
         result.Time = datetime.strptime(""2022-05-05"", ""%Y-%m-%d"")
         return result");
 
@@ -392,6 +393,7 @@ def Reader(self, config, line, date, isLiveMode):
                 Assert.AreEqual(3.7, securityCache.Close);
                 Assert.AreEqual(2.0, securityCache.Low);
                 Assert.AreEqual(3.1, securityCache.Open);
+                Assert.AreEqual(33, securityCache.Volume);
 
                 testModule = PyModule.FromString("testModule",
                    @"
@@ -406,6 +408,7 @@ def Reader(self, config, line, date, isLiveMode):
         result.High = 4
         result.low = 2.0
         result.Close = ""test""
+        result.volume = 0
         result.Time = datetime.strptime(""2022-05-05"", ""%Y-%m-%d"")
         return result");
 
@@ -418,6 +421,7 @@ def Reader(self, config, line, date, isLiveMode):
                 Assert.AreEqual(0, securityCache.Close);
                 Assert.AreEqual(2.0, securityCache.Low);
                 Assert.AreEqual(3.1, securityCache.Open);
+                Assert.AreEqual(0, securityCache.Volume);
             }
         }