Improve error messages for unsupported Python objects in user-facing APIs

Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj

@@ -32,7 +32,7 @@
     <DebugType>portable</DebugType>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
     <PackageReference Include="Accord" Version="3.6.0" />
     <PackageReference Include="Accord.Fuzzy" Version="3.6.0" />
     <PackageReference Include="Accord.MachineLearning" Version="3.6.0" />

Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj

@@ -29,7 +29,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
     <PackageReference Include="Accord" Version="3.6.0" />
     <PackageReference Include="Accord.Math" Version="3.6.0" />
     <PackageReference Include="Accord.Statistics" Version="3.6.0" />

Algorithm.Framework/Selection/ScheduledUniverseSelectionModel.cs

@@ -90,7 +90,12 @@ public ScheduledUniverseSelectionModel(IDateRule dateRule, ITimeRule timeRule, P
         public ScheduledUniverseSelectionModel(DateTimeZone timeZone, IDateRule dateRule, ITimeRule timeRule, PyObject selector, UniverseSettings settings = null)
         {
             Func<DateTime, object> func;
-            selector.TrySafeAs(out func);
+            if (!selector.TrySafeAs(out func))
+            {
+                throw new ArgumentException(
+                    $"Unable to create a scheduled universe selector from {selector.ToDisplayString()}: it is not a function. " +
+                    "Please provide a function that takes the firing date time and returns the selected symbols.");
+            }
             _timeZone = timeZone;
             _dateRule = dateRule;
             _timeRule = timeRule;

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -37,7 +37,7 @@
     <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs" Link="Properties\SharedAssemblyInfo.cs" />
   </ItemGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
   </ItemGroup>
   <ItemGroup>
     <Content Include="OptionUniverseFilterGreeksShortcutsRegressionAlgorithm.py" />

Algorithm/QCAlgorithm.Python.cs

@@ -1375,7 +1375,18 @@ public void SetBenchmark(PyObject benchmark)
                     SetBenchmark(pyBenchmark);
                     return;
                 }
-                SetBenchmark((Symbol)benchmark.AsManagedObject(typeof(Symbol)));
+
+                try
+                {
+                    SetBenchmark((Symbol)benchmark.AsManagedObject(typeof(Symbol)));
+                }
+                catch (InvalidCastException exception)
+                {
+                    throw new ArgumentException(
+                        $"Unable to set the benchmark from {benchmark.ToDisplayString()}: it is not a supported benchmark type. " +
+                        MethodSignatureFormatter.FormatOverloads(typeof(QCAlgorithm).GetMethods().Where(m => m.Name == nameof(SetBenchmark))),
+                        exception);
+                }
             }
         }
 

Algorithm/QuantConnect.Algorithm.csproj

@@ -29,7 +29,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
     <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />
     <PackageReference Include="NodaTime" Version="3.0.5" />

AlgorithmFactory/QuantConnect.AlgorithmFactory.csproj

@@ -28,7 +28,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
     <PackageReference Include="NodaTime" Version="3.0.5" />
   </ItemGroup>
   <ItemGroup>

Common/Data/Consolidators/BaseDataConsolidator.cs

@@ -25,7 +25,7 @@ namespace QuantConnect.Data.Consolidators
     public class BaseDataConsolidator : TradeBarConsolidatorBase<BaseData>
     {
         /// <summary>
-        /// Create a new TickConsolidator for the desired resolution
+        /// Create a new BaseDataConsolidator for the desired resolution
         /// </summary>
         /// <param name="resolution">The resolution desired</param>
         /// <returns>A consolidator that produces data on the resolution interval</returns>

Common/Data/Consolidators/PeriodCountConsolidatorBase.cs

@@ -103,8 +103,20 @@ protected PeriodCountConsolidatorBase(Func<DateTime, CalendarInfo> func)
         /// </summary>
         /// <param name="pyObject">Python object that defines either a function object that defines the start time of a consolidated data or a timespan</param>
         protected PeriodCountConsolidatorBase(PyObject pyObject)
-            : this(GetPeriodSpecificationFromPyObject(pyObject))
         {
+            try
+            {
+                _periodSpecification = GetPeriodSpecificationFromPyObject(pyObject);
+            }
+            catch (InvalidCastException exception)
+            {
+                var type = GetType();
+                throw new ArgumentException(
+                    $"Unable to create a consolidator period from {pyObject.ToDisplayString()}: it is not a supported period type. " +
+                    MethodSignatureFormatter.FormatOverloads(type.GetConstructors(), displayName: type.Name),
+                    exception);
+            }
+            _period = _periodSpecification.Period;
         }
 
         /// <summary>

Common/Data/Consolidators/QuoteBarConsolidator.cs

@@ -25,6 +25,16 @@ namespace QuantConnect.Data.Consolidators
     /// </summary>
     public class QuoteBarConsolidator : PeriodCountConsolidatorBase<QuoteBar, QuoteBar>
     {
+        /// <summary>
+        /// Create a new QuoteBarConsolidator for the desired resolution
+        /// </summary>
+        /// <param name="resolution">The resolution desired</param>
+        /// <returns>A consolidator that produces data on the resolution interval</returns>
+        public static QuoteBarConsolidator FromResolution(Resolution resolution)
+        {
+            return new QuoteBarConsolidator(resolution.ToTimeSpan());
+        }
+
         /// <summary>
         /// Initializes a new instance of the <see cref="QuoteBarConsolidator"/> class
         /// </summary>

Common/Data/DynamicData.cs

@@ -59,7 +59,7 @@ public object SetProperty(string name, object value)
             {
                 if (value is PyObject pyobject)
                 {
-                    Time = pyobject.As<DateTime>();
+                    Time = ConvertPropertyValue<DateTime>(pyobject, name);
                 }
                 else
                 {
@@ -70,7 +70,7 @@ public object SetProperty(string name, object value)
             {
                 if (value is PyObject pyobject)
                 {
-                    EndTime = pyobject.As<DateTime>();
+                    EndTime = ConvertPropertyValue<DateTime>(pyobject, name);
                 }
                 else
                 {
@@ -81,7 +81,7 @@ public object SetProperty(string name, object value)
             {
                 if (value is PyObject pyobject)
                 {
-                    Value = pyobject.As<decimal>();
+                    Value = ConvertPropertyValue<decimal>(pyobject, name);
                 }
                 else
                 {
@@ -98,7 +98,7 @@ public object SetProperty(string name, object value)
                 {
                     if (value is PyObject pyobject)
                     {
-                        Symbol = pyobject.As<Symbol>();
+                        Symbol = ConvertPropertyValue<Symbol>(pyobject, name);
                     }
                     else
                     {
@@ -196,5 +196,22 @@ public override BaseData Clone()
             }
             return clone;
         }
+
+        /// <summary>
+        /// Converts the given Python value into the type expected by the reserved property with the given name
+        /// </summary>
+        private static T ConvertPropertyValue<T>(PyObject value, string name)
+        {
+            try
+            {
+                return value.As<T>();
+            }
+            catch (InvalidCastException exception)
+            {
+                throw new ArgumentException(
+                    $"Unable to set the '{name}' property from {value.ToDisplayString()}: it is not a supported {typeof(T).Name} value.",
+                    exception);
+            }
+        }
     }
 }

Common/Data/UniverseSelection/ScheduledUniverse.cs

@@ -72,7 +72,12 @@ public ScheduledUniverse(IDateRule dateRule, ITimeRule timeRule, Func<DateTime,
         public ScheduledUniverse(DateTimeZone timeZone, IDateRule dateRule, ITimeRule timeRule, PyObject selector, UniverseSettings settings = null)
             : base(CreateConfiguration(timeZone, dateRule, timeRule))
         {
-            selector.TrySafeAs<Func<DateTime, object>>(out var func);
+            if (!selector.TrySafeAs<Func<DateTime, object>>(out var func))
+            {
+                throw new ArgumentException(
+                    $"Unable to create a scheduled universe selector from {selector.ToDisplayString()}: it is not a function. " +
+                    "Please provide a function that takes the firing date time and returns the selected symbols.");
+            }
             _dateRule = dateRule;
             _timeRule = timeRule;
             _selector = func.ConvertSelectionSymbolDelegate();

Common/Extensions.cs

@@ -3039,6 +3039,20 @@ public static bool TryConvert<T>(this PyObject pyObject, out T result, bool allo
             return false;
         }
 
+        /// <summary>
+        /// Gets a string representation of the given Python object and its type
+        /// to be used in user-facing messages, e.g. "'Daily' of type 'Resolution'"
+        /// </summary>
+        /// <param name="pyObject">The Python object to represent</param>
+        /// <returns>The string representation of the Python object</returns>
+        public static string ToDisplayString(this PyObject pyObject)
+        {
+            using (Py.GIL())
+            {
+                return $"'{pyObject}' of type '{pyObject.GetPythonType().Name}'";
+            }
+        }
+
         /// <summary>
         /// Safely convert PyObject to ManagedObject using Py.GIL Lock
         /// If no type is given it will convert the PyObject's Python Type to a ManagedObject Type

Common/QuantConnect.csproj

@@ -35,7 +35,7 @@
     <Message Text="SelectedOptimization $(SelectedOptimization)" Importance="high" />
   </Target>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
     <PackageReference Include="CloneExtensions" Version="1.3.0" />
     <PackageReference Include="fasterflect" Version="3.0.0" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />

Common/Securities/Security.cs

@@ -992,7 +992,7 @@ public bool TryGet<T>(string key, out T value)
         {
             if (Cache.Properties.TryGetValue(key, out var obj))
             {
-                value = CastDynamicPropertyValue<T>(obj);
+                value = CastDynamicPropertyValue<T>(key, obj);
                 return true;
             }
             value = default;
@@ -1007,7 +1007,7 @@ public bool TryGet<T>(string key, out T value)
         /// <exception cref="KeyNotFoundException">If the property is not found</exception>
         public T Get<T>(string key)
         {
-            return CastDynamicPropertyValue<T>(Cache.Properties[key]);
+            return CastDynamicPropertyValue<T>(key, Cache.Properties[key]);
         }
 
         /// <summary>
@@ -1032,7 +1032,7 @@ public bool Remove<T>(string key, out T value)
             var result = Cache.Properties.Remove(key, out object objectValue);
             if (result)
             {
-                value = CastDynamicPropertyValue<T>(objectValue);
+                value = CastDynamicPropertyValue<T>(key, objectValue);
             }
             return result;
         }
@@ -1158,15 +1158,24 @@ private void UpdateMarketPrice(BaseData data)
         /// Casts a dynamic property value to the specified type.
         /// Useful for cases where the property value is a PyObject and we want to cast it to the underlying type.
         /// </summary>
-        private static T CastDynamicPropertyValue<T>(object obj)
+        private static T CastDynamicPropertyValue<T>(string key, object obj)
         {
             T value;
             var pyObj = obj as PyObject;
             if (pyObj != null)
             {
                 using (Py.GIL())
                 {
-                    value = pyObj.As<T>();
+                    try
+                    {
+                        value = pyObj.As<T>();
+                    }
+                    catch (InvalidCastException exception)
+                    {
+                        throw new InvalidCastException(
+                            $"Unable to get the '{key}' property from {pyObj.ToDisplayString()}: it is not a supported {typeof(T).Name} value.",
+                            exception);
+                    }
                 }
             }
             else

Engine/QuantConnect.Lean.Engine.csproj

@@ -41,7 +41,7 @@
     <Message Text="SelectedOptimization $(SelectedOptimization)" Importance="high" />
   </Target>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
     <PackageReference Include="fasterflect" Version="3.0.0" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
     <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />

Indicators/QuantConnect.Indicators.csproj

@@ -31,7 +31,7 @@
     <Message Text="SelectedOptimization $(SelectedOptimization)" Importance="high" />
   </Target>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
   </ItemGroup>
   <ItemGroup>

Report/QuantConnect.Report.csproj

@@ -39,7 +39,7 @@
     <PackageLicenseFile>LICENSE</PackageLicenseFile>
   </PropertyGroup>
   <ItemGroup>
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
     <PackageReference Include="Deedle" Version="2.1.0" />
     <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
     <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />

Research/QuantConnect.Research.csproj

@@ -34,7 +34,7 @@
     <PackageReference Include="Plotly.NET" Version="5.1.0" />
     <PackageReference Include="Plotly.NET.CSharp" Version="0.13.0" />
     <PackageReference Include="Plotly.NET.Interactive" Version="5.0.0" />
-    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.60" />
+    <PackageReference Include="QuantConnect.pythonnet" Version="2.0.61" />
     <PackageReference Include="NodaTime" Version="3.0.5" />
   </ItemGroup>
   <ItemGroup>

Tests/Algorithm/AlgorithmBenchmarkTests.cs

@@ -18,6 +18,7 @@
 using System.Collections.Generic;
 using NodaTime;
 using NUnit.Framework;
+using Python.Runtime;
 using QuantConnect.Algorithm;
 using QuantConnect.Configuration;
 using QuantConnect.Interfaces;
@@ -124,6 +125,30 @@ public void MisalignedBenchmarkAndAlgorithmTimeZones(Resolution resolution, bool
             }
         }
 
+        [Test]
+        public void PythonSetBenchmarkThrowsDescriptiveErrorForUnsupportedBenchmarkType()
+        {
+            var algorithm = new QCAlgorithm();
+            var dataManager = new DataManagerStub(algorithm, new MockDataFeed());
+            algorithm.SubscriptionManager.SetDataManager(dataManager);
+
+            using (Py.GIL())
+            {
+                // Not a benchmark producing function nor a symbol
+                using var pyBenchmark = Resolution.Daily.ToPython();
+                var exception = Assert.Throws<ArgumentException>(() => algorithm.SetBenchmark(pyBenchmark));
+
+                // The value rendering is case-insensitive to support both pythonnet enum str() conventions ("Daily" and "DAILY")
+                Assert.That(exception.Message, Does.Contain("Daily").IgnoreCase);
+                Assert.That(exception.Message, Does.Contain("'Resolution'"));
+                Assert.That(exception.Message, Does.Contain("The following overloads are available:"));
+                Assert.That(exception.Message, Does.Contain("set_benchmark("));
+                // The PyObject overload that just rejected the value is not hinted
+                Assert.That(exception.Message, Does.Not.Contain("benchmark: Any"));
+                Assert.That(exception.InnerException, Is.TypeOf<InvalidCastException>());
+            }
+        }
+
         [Test]
         public void BenchmarkIsNotInitializeWithCustomSecurityInitializer()
         {

Tests/Algorithm/Framework/Alphas/BasePairsTradingAlphaModelTests.cs

@@ -44,7 +44,7 @@ protected override void InitializeAlgorithm(QCAlgorithm algorithm)
 
         protected override string GetExpectedModelName(IAlphaModel model)
         {
-            return $"{nameof(BasePairsTradingAlphaModel)}({_lookback},{_resolution},1)";
+            return $"{nameof(BasePairsTradingAlphaModel)}({_lookback},{GetEnumString(_resolution, model)},1)";
         }
 
         protected override IAlphaModel CreatePythonAlphaModel()

Tests/Algorithm/Framework/Alphas/CommonAlphaModelTests.cs

@@ -26,6 +26,7 @@
 using System;
 using System.Collections.Generic;
 using System.Linq;
+using Python.Runtime;
 using QuantConnect.Algorithm;
 using QuantConnect.Python;
 using QuantConnect.Tests.Common.Data.UniverseSelection;
@@ -262,6 +263,17 @@ public void ModelNameTest(Language language)
         /// </summary>
         protected abstract string GetExpectedModelName(IAlphaModel model);
 
+        /// <summary>
+        /// Gets the display string of the given enum value as rendered in the model's language:
+        /// Python models render enum values in the Python convention, e.g. Resolution.Daily as DAILY
+        /// </summary>
+        protected static string GetEnumString(Enum value, IAlphaModel model)
+        {
+            return model is AlphaModelPythonWrapper
+                ? value.ToString().ToSnakeCase(constant: true)
+                : value.ToString();
+        }
+
         /// <summary>
         /// Provides derived types a chance to initialize anything special they require
         /// </summary>