Addresses Peer-Review

Author: AlexCatarino

Algorithm.CSharp/CustomSignalExportDemonstrationAlgorithm.cs

@@ -96,6 +96,7 @@ object SimplePayload(PortfolioTarget target)
 }
 
 /*
+# To test the algorithm, you can create a simple Python Flask application (app.py) and run flask
 # $ flask --app app run 
 
 # app.py:

Algorithm.Python/CustomSignalExportDemonstrationAlgorithm.py

@@ -60,6 +60,7 @@ def dispose(self):
         pass
 
 '''
+# To test the algorithm, you can create a simple Python Flask application (app.py) and run flask
 # $ flask --app app run 
 
 # app.py:

Common/Algorithm/Framework/Portfolio/SignalExports/SignalExportManager.cs

@@ -22,7 +22,6 @@
 using System;
 using System.Linq;
 using QuantConnect.Util;
-using QLNet;
 
 namespace QuantConnect.Algorithm.Framework.Portfolio.SignalExports
 {
@@ -35,7 +34,7 @@ public class SignalExportManager
         /// <summary>
         /// Records the time of the first order event of a group of events
         /// </summary>
-        private DateTime _initialOrderEventTimeUtc = Time.EndOfTime;
+        private ReferenceWrapper<DateTime> _initialOrderEventTimeUtc = new(Time.EndOfTime);
 
         /// <summary>
         /// List of signal export providers
@@ -92,12 +91,21 @@ public void AddSignalExportProvider(PyObject signalExport)
         /// Adds one or more new signal exports providers
         /// </summary>
         /// <param name="signalExports">One or more signal export provider</param>
-        [Obsolete("This method is deprecated. Please use AddSignalExportProvider(ISignalExportTarget).")]
         public void AddSignalExportProviders(params ISignalExportTarget[] signalExports)
         {
             signalExports.DoForEach(AddSignalExportProvider);
         }
 
+        /// <summary>
+        /// Adds one or more new signal exports providers
+        /// </summary>
+        /// <param name="signalExports">One or more signal export provider</param>
+        public void AddSignalExportProviders(PyObject signalExports)
+        {
+            using var _ = Py.GIL();
+            PyList.AsList(signalExports).DoForEach(AddSignalExportProvider);
+        }
+
         /// <summary>
         /// Sets the portfolio targets from the algorihtm's Portfolio and sends them with the
         /// algorithm being ran to the signal exports providers already set
@@ -215,9 +223,9 @@ private IEnumerable<PortfolioTarget> GetPortfolioTargets(decimal totalPortfolioV
         /// <param name="orderEvent">Event information</param>
         public void OnOrderEvent(OrderEvent orderEvent)
         {
-            if (_initialOrderEventTimeUtc == Time.EndOfTime && orderEvent.Status.IsFill())
+            if (_initialOrderEventTimeUtc.Value == Time.EndOfTime && orderEvent.Status.IsFill())
             {
-                _initialOrderEventTimeUtc = DateTime.UtcNow;
+                _initialOrderEventTimeUtc = new(orderEvent.UtcTime);
             }
         }
 
@@ -227,19 +235,28 @@ public void OnOrderEvent(OrderEvent orderEvent)
         /// <param name="currentTimeUtc">The current time of synchronous events</param>
         public void Flush(DateTime currentTimeUtc)
         {
-            if (_initialOrderEventTimeUtc == Time.EndOfTime || !AutomaticExportTimeSpan.HasValue)
+            var initialOrderEventTimeUtc = _initialOrderEventTimeUtc.Value;
+            if (initialOrderEventTimeUtc == Time.EndOfTime || !AutomaticExportTimeSpan.HasValue)
             {
                 return;
             }
 
-            if (currentTimeUtc - _initialOrderEventTimeUtc < AutomaticExportTimeSpan)
+            if (currentTimeUtc - initialOrderEventTimeUtc < AutomaticExportTimeSpan)
             {
                 return;
             }
-            
-            var success = SetTargetPortfolioFromPortfolio();
-            Logging.Log.Trace($"SignalExportManager.Flush({currentTimeUtc:T}) :: Success: {success}. Initial OrderEvent Time: {_initialOrderEventTimeUtc:T}");
-            _initialOrderEventTimeUtc = Time.EndOfTime;
+
+            try
+            {
+                SetTargetPortfolioFromPortfolio();
+            }
+            catch (Exception exception)
+            {
+                // SetTargetPortfolioFromPortfolio logs all known error on LEAN side.
+                // Exceptions occurs in the ISignalExportTarget.Send method (user-defined).
+                _algorithm.Error($"Failed to send portfolio target(s). Reason: {exception.Message}.{Environment.NewLine}{exception.StackTrace}");
+            }
+            _initialOrderEventTimeUtc = new(Time.EndOfTime);
         }
     }
 }

Common/Python/SignalExportTargetPythonWrapper.cs

@@ -22,12 +22,14 @@ namespace QuantConnect.Python
     /// <summary>
     /// Provides an implementation of <see cref="ISignalExportTarget"/> that wraps a <see cref="PyObject"/> object
     /// </summary>
-    /// <remarks>
-    /// Constructor for initialising the <see cref="SignalExportTargetPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
-    /// </remarks>
-    /// <param name="model">Python benchmark model</param>
-    public class SignalExportTargetPythonWrapper(PyObject model) : BasePythonWrapper<ISignalExportTarget>(model), ISignalExportTarget
+    public class SignalExportTargetPythonWrapper : BasePythonWrapper<ISignalExportTarget>, ISignalExportTarget
     {
+        /// <summary>
+        /// Constructor for initialising the <see cref="SignalExportTargetPythonWrapper"/> class with wrapped <see cref="PyObject"/> object
+        /// </summary>
+        /// <param name="instance">The underlying python instance</param>
+        public SignalExportTargetPythonWrapper(PyObject instance) : base(instance) { }
+
         /// <summary>
         /// Interface to send positions holdings to different 3rd party API's
         /// </summary>