StockSharp Algo.Compilation

Algo.Compilation provides runtime code compilation services for the StockSharp trading platform. It enables you to compile trading algorithms and analytics scripts written in different languages, including C#, Visual Basic, F#, and Python, directly from your application.

Features

Multi-language support – Uses Roslyn for C# and Visual Basic, the F# compiler for F# scripts, and IronPython for Python integration.
Dynamic script execution – Compile and execute code snippets or whole modules at runtime. This allows building strategies and analytics that can be modified without recompiling the entire application.
Python utilities – On initialization, common Python helper scripts are extracted to Paths.PythonUtilsPath so they can be imported from your own Python code.
Compiler registry – Registers available compilers with ConfigManager so that other StockSharp components can obtain the correct compiler based on file extension.
Custom type descriptors for Python objects – Allows Python classes to expose properties in .NET components such as property grids.
Caching support – Integrates with CompilerCache to reuse previously built assemblies when possible.

Initialization

Before compiling any code you must call CompilationExtensions.Init once during application startup:

csharp

await CompilationExtensions.Init(logs, extraPythonCommon, cancellationToken);

logs – implementation of ILogReceiver that collects output from the compilers and the Python engine.
extraPythonCommon – optional additional Python files to copy into the utilities folder.
cancellationToken – allows cancelling the initialization.

This method configures the IronPython engine, writes common Python scripts to Paths.PythonUtilsPath, and registers the compilers.

Compiling Code

The CodeInfo class represents a source file and contains helper methods to compile it. The basic workflow is:

csharp

var code = new CodeInfo
{
    Name = "MyScript",
    Text = sourceCode,           // your script text
    Language = FileExts.CSharp,  // or FileExts.FSharp, FileExts.Python, ...
};

var errors = await code.CompileAsync(type => typeof(IMyInterface).IsAssignableFrom(type), null, CancellationToken.None);

if (!errors.Any())
{
    var instance = Activator.CreateInstance(code.ObjectType!);
    // use the compiled object
}

CodeInfo manages assembly, project, and NuGet references. It also caches compiled assemblies when the compiler supports it.