Avoid unnecessary Python wrapper creation for pure C# models

Algorithm/Alphas/CompositeAlphaModel.cs

@@ -116,11 +116,10 @@ public void AddAlpha(IAlphaModel alphaModel)
         /// <param name="pyAlphaModel">The alpha model to add</param>
         public void AddAlpha(PyObject pyAlphaModel)
         {
-            IAlphaModel alphaModel;
-            if (!pyAlphaModel.TryConvert(out alphaModel))
-            {
-                alphaModel = new AlphaModelPythonWrapper(pyAlphaModel);
-            }
+            var alphaModel = PythonUtil.CreateInstanceOrWrapper<IAlphaModel>(
+                pyAlphaModel,
+                py => new AlphaModelPythonWrapper(py)
+            );
             _alphaModels.Add(alphaModel);
         }
     }

Algorithm/QCAlgorithm.Framework.Python.cs

@@ -19,6 +19,7 @@
 using QuantConnect.Algorithm.Framework.Portfolio;
 using QuantConnect.Algorithm.Framework.Risk;
 using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Util;
 
 namespace QuantConnect.Algorithm
 {
@@ -31,15 +32,10 @@ public partial class QCAlgorithm
         [DocumentationAttribute(AlgorithmFramework)]
         public void SetAlpha(PyObject alpha)
         {
-            IAlphaModel model;
-            if (alpha.TryConvert(out model))
-            {
-                SetAlpha(model);
-            }
-            else
-            {
-                Alpha = new AlphaModelPythonWrapper(alpha);
-            }
+            Alpha = PythonUtil.CreateInstanceOrWrapper<IAlphaModel>(
+                alpha,
+                py => new AlphaModelPythonWrapper(py)
+            );
         }
 
         /// <summary>
@@ -49,15 +45,11 @@ public void SetAlpha(PyObject alpha)
         [DocumentationAttribute(AlgorithmFramework)]
         public void AddAlpha(PyObject alpha)
         {
-            IAlphaModel model;
-            if (alpha.TryConvert(out model))
-            {
-                AddAlpha(model);
-            }
-            else
-            {
-                AddAlpha(new AlphaModelPythonWrapper(alpha));
-            }
+            var model = PythonUtil.CreateInstanceOrWrapper<IAlphaModel>(
+                alpha,
+                py => new AlphaModelPythonWrapper(py)
+            );
+            AddAlpha(model);
         }
 
         /// <summary>
@@ -68,15 +60,10 @@ public void AddAlpha(PyObject alpha)
         [DocumentationAttribute(TradingAndOrders)]
         public void SetExecution(PyObject execution)
         {
-            IExecutionModel model;
-            if (execution.TryConvert(out model))
-            {
-                SetExecution(model);
-            }
-            else
-            {
-                Execution = new ExecutionModelPythonWrapper(execution);
-            }
+            Execution = PythonUtil.CreateInstanceOrWrapper<IExecutionModel>(
+                execution,
+                py => new ExecutionModelPythonWrapper(py)
+            );
         }
 
         /// <summary>
@@ -87,15 +74,10 @@ public void SetExecution(PyObject execution)
         [DocumentationAttribute(TradingAndOrders)]
         public void SetPortfolioConstruction(PyObject portfolioConstruction)
         {
-            IPortfolioConstructionModel model;
-            if (portfolioConstruction.TryConvert(out model))
-            {
-                SetPortfolioConstruction(model);
-            }
-            else
-            {
-                PortfolioConstruction = new PortfolioConstructionModelPythonWrapper(portfolioConstruction);
-            }
+            PortfolioConstruction = PythonUtil.CreateInstanceOrWrapper<IPortfolioConstructionModel>(
+                portfolioConstruction,
+                py => new PortfolioConstructionModelPythonWrapper(py)
+            );
         }
 
         /// <summary>
@@ -106,12 +88,10 @@ public void SetPortfolioConstruction(PyObject portfolioConstruction)
         [DocumentationAttribute(Universes)]
         public void SetUniverseSelection(PyObject universeSelection)
         {
-            IUniverseSelectionModel model;
-            if (!universeSelection.TryConvert(out model))
-            {
-                model = new UniverseSelectionModelPythonWrapper(universeSelection);
-            }
-            SetUniverseSelection(model);
+            UniverseSelection = PythonUtil.CreateInstanceOrWrapper<IUniverseSelectionModel>(
+                universeSelection,
+                py => new UniverseSelectionModelPythonWrapper(py)
+            );
         }
 
         /// <summary>
@@ -122,11 +102,10 @@ public void SetUniverseSelection(PyObject universeSelection)
         [DocumentationAttribute(Universes)]
         public void AddUniverseSelection(PyObject universeSelection)
         {
-            IUniverseSelectionModel model;
-            if (!universeSelection.TryConvert(out model))
-            {
-                model = new UniverseSelectionModelPythonWrapper(universeSelection);
-            }
+            var model = PythonUtil.CreateInstanceOrWrapper<IUniverseSelectionModel>(
+                universeSelection,
+                py => new UniverseSelectionModelPythonWrapper(py)
+            );
             AddUniverseSelection(model);
         }
 
@@ -138,15 +117,10 @@ public void AddUniverseSelection(PyObject universeSelection)
         [DocumentationAttribute(TradingAndOrders)]
         public void SetRiskManagement(PyObject riskManagement)
         {
-            IRiskManagementModel model;
-            if (riskManagement.TryConvert(out model))
-            {
-                SetRiskManagement(model);
-            }
-            else
-            {
-                RiskManagement = new RiskManagementModelPythonWrapper(riskManagement);
-            }
+            RiskManagement = PythonUtil.CreateInstanceOrWrapper<IRiskManagementModel>(
+                riskManagement,
+                py => new RiskManagementModelPythonWrapper(py)
+            );
         }
 
         /// <summary>
@@ -157,11 +131,10 @@ public void SetRiskManagement(PyObject riskManagement)
         [DocumentationAttribute(TradingAndOrders)]
         public void AddRiskManagement(PyObject riskManagement)
         {
-            IRiskManagementModel model;
-            if (!riskManagement.TryConvert(out model))
-            {
-                model = new RiskManagementModelPythonWrapper(riskManagement);
-            }
+            var model = PythonUtil.CreateInstanceOrWrapper<IRiskManagementModel>(
+                riskManagement,
+                py => new RiskManagementModelPythonWrapper(py)
+            );
             AddRiskManagement(model);
         }
     }

Algorithm/QCAlgorithm.Python.cs

@@ -1372,12 +1372,10 @@ public void SetBenchmark(PyObject benchmark)
         [DocumentationAttribute(Modeling)]
         public void SetBrokerageModel(PyObject model)
         {
-            IBrokerageModel brokerageModel;
-            if (!model.TryConvert(out brokerageModel))
-            {
-                brokerageModel = new BrokerageModelPythonWrapper(model);
-            }
-
+            var brokerageModel = PythonUtil.CreateInstanceOrWrapper<IBrokerageModel>(
+                model,
+                py => new BrokerageModelPythonWrapper(py)
+            );
             SetBrokerageModel(brokerageModel);
         }
 
@@ -1392,11 +1390,10 @@ public void SetBrokerageModel(PyObject model)
         [DocumentationAttribute(Logging)]
         public void SetBrokerageMessageHandler(PyObject handler)
         {
-            if (!handler.TryConvert(out IBrokerageMessageHandler brokerageMessageHandler))
-            {
-                brokerageMessageHandler = new BrokerageMessageHandlerPythonWrapper(handler);
-            }
-
+            var brokerageMessageHandler = PythonUtil.CreateInstanceOrWrapper<IBrokerageMessageHandler>(
+                handler,
+                py => new BrokerageMessageHandlerPythonWrapper(py)
+            );
             SetBrokerageMessageHandler(brokerageMessageHandler);
         }
 
@@ -1407,7 +1404,11 @@ public void SetBrokerageMessageHandler(PyObject handler)
         [DocumentationAttribute(Modeling)]
         public void SetRiskFreeInterestRateModel(PyObject model)
         {
-            SetRiskFreeInterestRateModel(RiskFreeInterestRateModelPythonWrapper.FromPyObject(model));
+            var riskFreeInterestRateModel = PythonUtil.CreateInstanceOrWrapper<IRiskFreeInterestRateModel>(
+                model,
+                py => new RiskFreeInterestRateModelPythonWrapper(py)
+            );
+            SetRiskFreeInterestRateModel(riskFreeInterestRateModel);
         }
 
         /// <summary>

Algorithm/Risk/CompositeRiskManagementModel.cs

@@ -49,7 +49,7 @@ public CompositeRiskManagementModel(params IRiskManagementModel[] riskManagement
         /// Initializes a new instance of the <see cref="CompositeRiskManagementModel"/> class
         /// </summary>
         /// <param name="riskManagementModels">The individual risk management models defining this composite model</param>
-        public CompositeRiskManagementModel(IEnumerable<IRiskManagementModel>riskManagementModels)
+        public CompositeRiskManagementModel(IEnumerable<IRiskManagementModel> riskManagementModels)
         {
             foreach (var riskManagementModel in riskManagementModels)
             {
@@ -129,11 +129,10 @@ public void AddRiskManagement(IRiskManagementModel riskManagementModel)
         /// <param name="pyRiskManagementModel">The risk management model to add</param>
         public void AddRiskManagement(PyObject pyRiskManagementModel)
         {
-            IRiskManagementModel riskManagementModel;
-            if (!pyRiskManagementModel.TryConvert(out riskManagementModel))
-            {
-                riskManagementModel = new RiskManagementModelPythonWrapper(pyRiskManagementModel);
-            }
+            var riskManagementModel = PythonUtil.CreateInstanceOrWrapper<IRiskManagementModel>(
+                pyRiskManagementModel,
+                py => new RiskManagementModelPythonWrapper(py)
+            );
             _riskManagementModels.Add(riskManagementModel);
         }
     }

Common/Algorithm/Framework/Alphas/Analysis/InsightManager.cs

@@ -17,6 +17,7 @@
 using Python.Runtime;
 using QuantConnect.Interfaces;
 using System.Collections.Generic;
+using QuantConnect.Util;
 
 namespace QuantConnect.Algorithm.Framework.Alphas.Analysis
 {
@@ -61,15 +62,10 @@ public void SetInsightScoreFunction(IInsightScoreFunction insightScoreFunction)
         /// <param name="insightScoreFunction">Model that scores insights</param>
         public void SetInsightScoreFunction(PyObject insightScoreFunction)
         {
-            IInsightScoreFunction model;
-            if (insightScoreFunction.TryConvert(out model))
-            {
-                SetInsightScoreFunction(model);
-            }
-            else
-            {
-                _insightScoreFunction = new InsightScoreFunctionPythonWrapper(insightScoreFunction);
-            }
+            _insightScoreFunction = PythonUtil.CreateInstanceOrWrapper<IInsightScoreFunction>(
+                insightScoreFunction,
+                py => new InsightScoreFunctionPythonWrapper(py)
+            );
         }
 
         /// <summary>

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

@@ -84,10 +84,10 @@ public void AddSignalExportProvider(ISignalExportTarget signalExport)
         /// <param name="signalExport">Signal export provider</param>
         public void AddSignalExportProvider(PyObject signalExport)
         {
-            if (!signalExport.TryConvert<ISignalExportTarget>(out var managedSignalExport))
-            {
-                managedSignalExport = new SignalExportTargetPythonWrapper(signalExport);
-            }
+            var managedSignalExport = PythonUtil.CreateInstanceOrWrapper<ISignalExportTarget>(
+                signalExport,
+                py => new SignalExportTargetPythonWrapper(py)
+            );
             AddSignalExportProvider(managedSignalExport);
         }
 
@@ -172,7 +172,7 @@ public bool SetTargetPortfolio(params PortfolioTarget[] portfolioTargets)
             }
 
             if (_signalExports.IsNullOrEmpty())
-            { 
+            {
                 return false;
             }
 

Common/Data/SubscriptionManager.cs

@@ -216,11 +216,10 @@ public void AddConsolidator(Symbol symbol, IDataConsolidator consolidator, TickT
         /// <param name="pyConsolidator">The custom python consolidator</param>
         public void AddConsolidator(Symbol symbol, PyObject pyConsolidator)
         {
-            if (!pyConsolidator.TryConvert(out IDataConsolidator consolidator))
-            {
-                consolidator = new DataConsolidatorPythonWrapper(pyConsolidator);
-            }
-
+            var consolidator = PythonUtil.CreateInstanceOrWrapper<IDataConsolidator>(
+                pyConsolidator,
+                py => new DataConsolidatorPythonWrapper(py)
+            );
             AddConsolidator(symbol, consolidator);
         }
 

Common/Python/DividendYieldModelPythonWrapper.cs

@@ -16,6 +16,7 @@
 using System;
 using Python.Runtime;
 using QuantConnect.Data;
+using QuantConnect.Util;
 
 namespace QuantConnect.Python
 {
@@ -62,11 +63,10 @@ public decimal GetDividendYield(DateTime date, decimal securityPrice)
         /// <returns>The converted <see cref="IDividendYieldModel"/> instance</returns>
         public static IDividendYieldModel FromPyObject(PyObject model)
         {
-            if (!model.TryConvert(out IDividendYieldModel dividendYieldModel))
-            {
-                dividendYieldModel = new DividendYieldModelPythonWrapper(model);
-            }
-
+            var dividendYieldModel = PythonUtil.CreateInstanceOrWrapper<IDividendYieldModel>(
+                model,
+                py => new DividendYieldModelPythonWrapper(py)
+            );
             return dividendYieldModel;
         }
     }

Common/Python/RiskFreeInterestRateModelPythonWrapper.cs

@@ -16,6 +16,7 @@
 using System;
 using Python.Runtime;
 using QuantConnect.Data;
+using QuantConnect.Util;
 
 namespace QuantConnect.Python
 {
@@ -50,11 +51,10 @@ public decimal GetInterestRate(DateTime date)
         /// <returns>The converted <see cref="IRiskFreeInterestRateModel"/> instance</returns>
         public static IRiskFreeInterestRateModel FromPyObject(PyObject model)
         {
-            if (!model.TryConvert(out IRiskFreeInterestRateModel riskFreeInterestRateModel))
-            {
-                riskFreeInterestRateModel = new RiskFreeInterestRateModelPythonWrapper(model);
-            }
-
+            var riskFreeInterestRateModel = PythonUtil.CreateInstanceOrWrapper<IRiskFreeInterestRateModel>(
+                model,
+                py => new RiskFreeInterestRateModelPythonWrapper(py)
+            );
             return riskFreeInterestRateModel;
         }
     }