Adds Python Support

- Adds PyObject overload to `ScheduleManager.TrainingNow` and `ScheduleManager.Training`
- Adds `QCAlgorithm.Train` helper method
- Adds Python algorithm showing how to use the helper method.

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -74,6 +74,7 @@
     <None Include="SmartInsiderDataAlgorithm.py" />
     <None Include="PandasDataFrameHistoryAlgorithm.py" />
     <None Include="CustomDataAddDataRegressionAlgorithm.py" />
+    <None Include="TrainingExampleAlgorithm.py" />
     <Content Include="Benchmarks\SECReportBenchmarkAlgorithm.py" />
     <Content Include="Benchmarks\SmartInsiderEventBenchmarkAlgorithm.py" />
     <Content Include="CustomDataAddDataOnSecuritiesChangedRegressionAlgorithm.py" />

Algorithm.Python/TrainingExampleAlgorithm.py

@@ -0,0 +1,52 @@
+# 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.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from time import sleep
+
+### <summary>
+### Example algorithm showing how to use QCAlgorithm.Train method
+### </summary>
+### <meta name="tag" content="using quantconnect" />
+### <meta name="tag" content="training" />
+class TrainingExampleAlgorithm(QCAlgorithm):
+    '''Example algorithm showing how to use QCAlgorithm.Train method'''
+
+    def Initialize(self):
+
+        self.SetStartDate(2013, 10, 7)
+        self.SetEndDate(2013, 10, 14)
+
+        self.AddEquity("SPY", Resolution.Daily)
+
+        # Set TrainingMethod to be executed immediately
+        self.Train(self.TrainingMethod)
+
+        # Set TrainingMethod to be executed at 8:00 am every Sunday
+        self.Train(self.DateRules.Every(DayOfWeek.Sunday), self.TimeRules.At(8 , 0), self.TrainingMethod)
+
+    def TrainingMethod(self):
+
+        self.Log(f'Start training at {self.Time}')
+        # Use the historical data to train the machine learning model
+        history = self.History(["SPY"], 200, Resolution.Daily)
+
+        # ML code:
+        pass

Algorithm/QCAlgorithm.Python.cs

@@ -27,6 +27,7 @@
 using QuantConnect.Data.Fundamental;
 using System.Linq;
 using QuantConnect.Brokerages;
+using QuantConnect.Scheduling;
 using QuantConnect.Util;
 
 namespace QuantConnect.Algorithm
@@ -1029,6 +1030,26 @@ public IDataConsolidator Consolidate(Symbol symbol, Func<DateTime, CalendarInfo>
             return Consolidate(symbol, calendarType, null, handler);
         }
 
+        /// <summary>
+        /// Schedules the provided training code to execute immediately
+        /// </summary>
+        /// <param name="trainingCode">The training code to be invoked</param>
+        public ScheduledEvent Train(PyObject trainingCode)
+        {
+            return Schedule.TrainingNow(trainingCode);
+        }
+
+        /// <summary>
+        /// Schedules the training code to run using the specified date and time rules
+        /// </summary>
+        /// <param name="dateRule">Specifies what dates the event should run</param>
+        /// <param name="timeRule">Specifies the times on those dates the event should run</param>
+        /// <param name="trainingCode">The training code to be invoked</param>
+        public ScheduledEvent Train(IDateRule dateRule, ITimeRule timeRule, PyObject trainingCode)
+        {
+            return Schedule.Training(dateRule, timeRule, trainingCode);
+        }
+
         /// <summary>
         /// Registers the <paramref name="handler"/> to receive consolidated data for the specified symbol
         /// </summary>

Algorithm/QCAlgorithm.cs

@@ -37,6 +37,7 @@
 using QuantConnect.Statistics;
 using QuantConnect.Util;
 using System.Collections.Concurrent;
+using Python.Runtime;
 using QuantConnect.Securities.Future;
 using QuantConnect.Securities.Crypto;
 using QuantConnect.Algorithm.Framework.Alphas;
@@ -2150,6 +2151,26 @@ public string Download(string address, IEnumerable<KeyValuePair<string, string>>
             return _api.Download(address, headers, userName, password);
         }
 
+        /// <summary>
+        /// Schedules the provided training code to execute immediately
+        /// </summary>
+        /// <param name="trainingCode">The training code to be invoked</param>
+        public ScheduledEvent Train(Action trainingCode)
+        {
+            return Schedule.TrainingNow(trainingCode);
+        }
+
+        /// <summary>
+        /// Schedules the training code to run using the specified date and time rules
+        /// </summary>
+        /// <param name="dateRule">Specifies what dates the event should run</param>
+        /// <param name="timeRule">Specifies the times on those dates the event should run</param>
+        /// <param name="trainingCode">The training code to be invoked</param>
+        public ScheduledEvent Train(IDateRule dateRule, ITimeRule timeRule, Action trainingCode)
+        {
+            return Schedule.Training(dateRule, timeRule, trainingCode);
+        }
+
         /// <summary>
         /// Event invocator for the <see cref="InsightsGenerated"/> event
         /// </summary>

Common/Scheduling/ScheduleManager.cs

@@ -242,6 +242,14 @@ public ScheduledEvent TrainingNow(Action trainingCode)
             return On($"Training: Now: {_securities.UtcTime:O}", DateRules.Today, TimeRules.Now, trainingCode);
         }
 
+        /// <summary>
+        /// Schedules the provided training code to execute immediately
+        /// </summary>
+        public ScheduledEvent TrainingNow(PyObject trainingCode)
+        {
+            return On($"Training: Now: {_securities.UtcTime:O}", DateRules.Today, TimeRules.Now, trainingCode);
+        }
+
         /// <summary>
         /// Schedules the training code to run using the specified date and time rules
         /// </summary>
@@ -254,6 +262,19 @@ public ScheduledEvent Training(IDateRule dateRule, ITimeRule timeRule, Action tr
             return On(name, dateRule, timeRule, (n, time) => trainingCode());
         }
 
+
+        /// <summary>
+        /// Schedules the training code to run using the specified date and time rules
+        /// </summary>
+        /// <param name="dateRule">Specifies what dates the event should run</param>
+        /// <param name="timeRule">Specifies the times on those dates the event should run</param>
+        /// <param name="trainingCode">The training code to be invoked</param>
+        public ScheduledEvent Training(IDateRule dateRule, ITimeRule timeRule, PyObject trainingCode)
+        {
+            var name = $"{dateRule.Name}: {timeRule.Name}";
+            return On(name, dateRule, timeRule, (n, time) => { using (Py.GIL()) trainingCode.Invoke(); });
+        }
+
         /// <summary>
         /// Schedules the training code to run using the specified date and time rules
         /// </summary>