private void UpdateRegressionStatisticsInSourceFile(BacktestResultPacket result)
{
if (!result.Results.Statistics.Any())
{
Log.Error("Messaging.UpdateRegressionStatisticsInSourceFile(): No statistics generated. Skipping update.");
return;
}
var algorithmSource = Directory.EnumerateFiles("../../../Algorithm.CSharp", $"{_job.AlgorithmId}.cs", SearchOption.AllDirectories).SingleOrDefault();
if (algorithmSource == null)
{
algorithmSource = Directory.EnumerateFiles("../../../Algorithm.CSharp", $"*{_job.AlgorithmId}.cs", SearchOption.AllDirectories).Single();
}
var file = File.ReadAllLines(algorithmSource).ToList().GetEnumerator();
var lines = new List <string>();
while (file.MoveNext())
{
var line = file.Current;
if (line == null)
{
continue;
}
if (line.Contains("Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>") ||
line.Contains("Dictionary<string, string> ExpectedStatistics => new()"))
{
lines.Add(line);
lines.Add(" {");
foreach (var pair in result.Results.Statistics)
{
lines.Add($" {{\"{pair.Key}\", \"{pair.Value}\"}},");
}
// remove trailing comma
var lastLine = lines[lines.Count - 1];
lines[lines.Count - 1] = lastLine.Substring(0, lastLine.Length - 1);
// now we skip existing expected statistics in file
while (file.MoveNext())
{
line = file.Current;
if (line != null && line.Contains("};"))
{
lines.Add(line);
break;
}
}
}
else
{
lines.Add(line);
}
}
file.DisposeSafely();
File.WriteAllLines(algorithmSource, lines);
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statistics">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings, Dictionary <string, string> statistics, Dictionary <string, string> banner)
{
try
{
//Convert local dictionary:
var charts = new Dictionary <string, Chart>(Charts);
_processingFinalPacket = true;
//Create a result packet to send to the browser.
BacktestResultPacket result = new BacktestResultPacket((BacktestNodePacket)job,
new BacktestResult(charts, orders, profitLoss, statistics), 1m)
{
ProcessingTime = (DateTime.Now - _startTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
//Place result into storage.
StoreResult(result);
//Truncate packet to fit within 32kb of messaging limits.
result.Results = new BacktestResult();
//Second, send the truncated packet:
Engine.Notify.BacktestResult(result, finalPacket: true);
Log.Trace("BacktestingResultHandler.SendAnalysisResult(): Processed final packet");
}
catch (Exception err)
{
Log.Error("Algorithm.Worker.SendResult(): " + err.Message);
}
}
/// <summary>
/// Raise a backtest result event safely.
/// </summary>
protected virtual void OnBacktestResultEvent(BacktestResultPacket packet)
{
var handler = BacktestResultEvent;
if (handler != null)
{
handler(packet);
}
}
/// <summary>
/// Backtest result packet
/// </summary>
/// <param name="packet"></param>
private void MessagingOnBacktestResultEvent(BacktestResultPacket packet)
{
if (packet.Progress != 1)
{
return;
}
//Remove previous event handler:
var url = GetUrl(_job, _liveMode, true);
//Generate JSON:
var jObj = new JObject();
var dateFormat = "yyyy-MM-dd HH:mm:ss";
dynamic final = jObj;
final.dtPeriodStart = packet.PeriodStart.ToString(dateFormat);
final.dtPeriodFinished = packet.PeriodFinish.AddDays(1).ToString(dateFormat);
dynamic resultData = new JObject();
resultData.version = "3";
resultData.results = JObject.FromObject(packet.Results);
resultData.statistics = JObject.FromObject(packet.Results.Statistics);
resultData.iTradeableDates = 1;
resultData.ranking = null;
final.oResultData = resultData;
var json = JsonConvert.SerializeObject(final);
//GECKO RESULT SET:
#if !__MonoCS__
_geckoBrowser.DOMContentLoaded += (sender, args) =>
{
var executor = new JQueryExecutor(_geckoBrowser.Window);
executor.ExecuteJQuery("window.jnBacktest = JSON.parse('" + json + "');");
executor.ExecuteJQuery("$.holdReady(false)");
};
_geckoBrowser.Navigate(url);
#else
//MONO WEB BROWSER RESULT SET:
_monoBrowser.DocumentCompleted += (sender, args) =>
{
if (_monoBrowser.Document == null)
{
return;
}
_monoBrowser.Document.InvokeScript("eval", new object[] { "window.jnBacktest = JSON.parse('" + json + "');" });
_monoBrowser.Document.InvokeScript("eval", new object[] { "$.holdReady(false)" });
};
_monoBrowser.Navigate(url);
#endif
foreach (var pair in packet.Results.Statistics)
{
_logging.Trace("STATISTICS:: " + pair.Key + " " + pair.Value);
}
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
protected void SendFinalResult()
{
try
{
BacktestResultPacket result;
// could happen if algorithm failed to init
if (Algorithm != null)
{
//Convert local dictionary:
var charts = new Dictionary <string, Chart>(Charts);
var orders = new Dictionary <int, Order>(TransactionHandler.Orders);
var profitLoss = new SortedDictionary <DateTime, decimal>(Algorithm.Transactions.TransactionRecord);
var statisticsResults = GenerateStatisticsResults(charts, profitLoss, _capacityEstimate);
var runtime = GetAlgorithmRuntimeStatistics(statisticsResults.Summary, capacityEstimate: _capacityEstimate);
FinalStatistics = statisticsResults.Summary;
// clear the trades collection before placing inside the backtest result
foreach (var ap in statisticsResults.RollingPerformances.Values)
{
ap.ClosedTrades.Clear();
}
var orderEvents = TransactionHandler.OrderEvents.ToList();
//Create a result packet to send to the browser.
result = new BacktestResultPacket(_job,
new BacktestResult(new BacktestResultParameters(charts, orders, profitLoss, statisticsResults.Summary, runtime, statisticsResults.RollingPerformances, orderEvents, statisticsResults.TotalPerformance, AlphaRuntimeStatistics)),
Algorithm.EndDate, Algorithm.StartDate);
}
else
{
result = BacktestResultPacket.CreateEmpty(_job);
}
var utcNow = DateTime.UtcNow;
result.ProcessingTime = (utcNow - StartTime).TotalSeconds;
result.DateFinished = DateTime.Now;
result.Progress = 1;
//Place result into storage.
StoreResult(result);
result.Results.ServerStatistics = GetServerStatistics(utcNow);
//Second, send the truncated packet:
MessagingHandler.Send(result);
Log.Trace("BacktestingResultHandler.SendAnalysisResult(): Processed final packet");
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
public void SendFinalResult()
{
try
{
_processingFinalPacket = true;
//Convert local dictionary:
var charts = new Dictionary <string, Chart>(Charts);
var orders = new Dictionary <int, Order>(TransactionHandler.Orders);
var profitLoss = new SortedDictionary <DateTime, decimal>(Algorithm.Transactions.TransactionRecord);
var statisticsResults = GenerateStatisticsResults(charts, profitLoss);
var runtime = GetAlgorithmRuntimeStatistics(statisticsResults.Summary);
FinalStatistics = statisticsResults.Summary;
// clear the trades collection before placing inside the backtest result
foreach (var ap in statisticsResults.RollingPerformances.Values)
{
ap.ClosedTrades.Clear();
}
//Create a result packet to send to the browser.
var result = new BacktestResultPacket(_job,
new BacktestResult(charts, orders, profitLoss, statisticsResults.Summary, runtime, statisticsResults.RollingPerformances, statisticsResults.TotalPerformance)
{
AlphaRuntimeStatistics = AlphaRuntimeStatistics
})
{
ProcessingTime = (DateTime.UtcNow - StartTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
//Place result into storage.
StoreResult(result);
//Second, send the truncated packet:
MessagingHandler.Send(result);
Log.Trace("BacktestingResultHandler.SendAnalysisResult(): Processed final packet");
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="cashbook">Cashbook for the holdingss</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings, CashBook cashbook, StatisticsResults statisticsResults, Dictionary <string, string> banner)
{
try
{
FinalStatistics = statisticsResults.Summary;
//Convert local dictionary:
var charts = new Dictionary <string, Chart>(Charts);
_processingFinalPacket = true;
// clear the trades collection before placing inside the backtest result
foreach (var ap in statisticsResults.RollingPerformances.Values)
{
ap.ClosedTrades.Clear();
}
//Create a result packet to send to the browser.
var result = new BacktestResultPacket((BacktestNodePacket)job,
new BacktestResult(Algorithm.IsFrameworkAlgorithm, charts, orders, profitLoss, statisticsResults.Summary, banner, statisticsResults.RollingPerformances, statisticsResults.TotalPerformance)
{
AlphaRuntimeStatistics = AlphaRuntimeStatistics
})
{
ProcessingTime = (DateTime.UtcNow - _startTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
//Place result into storage.
StoreResult(result);
//Second, send the truncated packet:
_messagingHandler.Send(result);
Log.Trace("BacktestingResultHandler.SendAnalysisResult(): Processed final packet");
}
catch (Exception err)
{
Log.Error(err);
}
}
private static void CalcPeriods(BacktestResultPacket packet)
{
if (packet.PeriodStart > DateTime.MinValue && packet.PeriodFinish > DateTime.MinValue)
{
return;
}
long _startDate = long.MaxValue, _endDate = -1;
foreach (var chart in packet.Results.Charts.Values)
{
foreach (var series in chart.Series.Values)
{
if (series.Values.Count == 0)
{
continue;
}
var mindt = series.Values.Min(x => x.x);
var maxdt = series.Values.Max(x => x.x);
if (_startDate > mindt)
{
_startDate = mindt;
}
if (_endDate < maxdt)
{
_endDate = maxdt;
}
}
}
if (_endDate < 0)
{
return;
}
packet.PeriodStart = new DateTime(1970, 1, 1, 0, 0, 0, 0).AddSeconds(_startDate);
packet.PeriodFinish = new DateTime(1970, 1, 1, 0, 0, 0, 0).AddSeconds(_endDate);
}
} // End Run();
/// <summary>
/// Send a backtest update to the browser taking a latest snapshot of the charting data.
/// </summary>
public void ProcessSeriesUpdate()
{
try
{
//Sometimes don't run the update, if not ready or we're ending.
if (Algorithm == null || Algorithm.Transactions == null || _processingFinalPacket)
{
return;
}
if (DateTime.Now <= _nextUpdate || !(_daysProcessed > (_lastDaysProcessed + 1)))
{
return;
}
//Debugging..
//Logging.Log.Debug("BacktestingResultHandler.ProcessSeriesUpdate(): Sending Update (" + _lastDaysProcessed + ") : " + DateTime.Now.ToLongTimeString());
//Extract the orders since last update
var deltaOrders = new Dictionary <int, Order>();
try
{
deltaOrders = (from order in Algorithm.Transactions.Orders
where order.Value.Time.Date >= _lastUpdate && order.Value.Status == OrderStatus.Filled
select order).ToDictionary(t => t.Key, t => t.Value);
}
catch (Exception err)
{
Log.Error("BacktestingResultHandler().ProcessSeriesUpdate(): Transactions: " + err.Message);
}
//Limit length of orders we pass back dynamically to avoid flooding.
if (deltaOrders.Count > 50)
{
deltaOrders.Clear();
}
//Reset loop variables:
try
{
_lastUpdate = AlgorithmManager.Frontier.Date;
_lastDaysProcessed = _daysProcessed;
_nextUpdate = DateTime.Now.AddSeconds(0.5);
}
catch (Exception err)
{
Log.Error("BacktestingResultHandler.ProcessSeriesUpdate(): Can't update variables: " + err.Message);
}
var deltaCharts = new Dictionary <string, Chart>();
lock (_chartLock)
{
//Get the updates since the last chart
foreach (var chart in Charts.Values)
{
deltaCharts.Add(chart.Name, chart.GetUpdates());
}
}
//Profit Loss Changes:
var deltaProfitLoss = new Dictionary <DateTime, decimal>();
var deltaStatistics = new Dictionary <string, string>();
var progress = Convert.ToDecimal(_daysProcessed / _jobDays);
if (progress > 0.999m)
{
progress = 0.999m;
}
//1. Cloud Upload -> Upload the whole packet to S3 Immediately:
var completeResult = new BacktestResult(Charts, Algorithm.Transactions.Orders, Algorithm.Transactions.TransactionRecord, new Dictionary <string, string>());
var complete = new BacktestResultPacket(_job, completeResult, progress);
if (DateTime.Now > _nextS3Update)
{
_nextS3Update = DateTime.Now.AddSeconds(30);
StoreResult(complete, false);
}
//2. Backtest Update -> Send the truncated packet to the backtester:
var packet = new BacktestResultPacket(_job, new BacktestResult(deltaCharts, deltaOrders, deltaProfitLoss, deltaStatistics), progress);
packet.DateRequested = _timeRequested;
Engine.Notify.BacktestResult(packet);
}
catch (Exception err)
{
Log.Error("BacktestingResultHandler().ProcessSeriesUpdate(): " + err.Message + " >> " + err.StackTrace);
}
}
} // End Run();
/// <summary>
/// Send a backtest update to the browser taking a latest snapshot of the charting data.
/// </summary>
public void Update()
{
try
{
//Sometimes don't run the update, if not ready or we're ending.
if (Algorithm == null || Algorithm.Transactions == null || _processingFinalPacket)
{
return;
}
if (DateTime.Now <= _nextUpdate || !(_daysProcessed > (_lastDaysProcessed + 1)))
{
return;
}
//Extract the orders since last update
var deltaOrders = new Dictionary <int, Order>();
try
{
deltaOrders = (from order in _transactionHandler.Orders
where order.Value.Time.Date >= _lastUpdate && order.Value.Status == OrderStatus.Filled
select order).ToDictionary(t => t.Key, t => t.Value);
}
catch (Exception err)
{
Log.Error(err, "Transactions");
}
//Limit length of orders we pass back dynamically to avoid flooding.
if (deltaOrders.Count > 50)
{
deltaOrders.Clear();
}
//Reset loop variables:
try
{
_lastUpdate = Algorithm.Time.Date;
_lastDaysProcessed = _daysProcessed;
_nextUpdate = DateTime.Now.AddSeconds(0.5);
}
catch (Exception err)
{
Log.Error(err, "Can't update variables");
}
var deltaCharts = new Dictionary <string, Chart>();
lock (_chartLock)
{
//Get the updates since the last chart
foreach (var chart in Charts.Values)
{
deltaCharts.Add(chart.Name, chart.GetUpdates());
}
}
//Get the runtime statistics from the user algorithm:
var runtimeStatistics = new Dictionary <string, string>();
lock (_runtimeLock)
{
foreach (var pair in _runtimeStatistics)
{
runtimeStatistics.Add(pair.Key, pair.Value);
}
}
runtimeStatistics.Add("Unrealized", "$" + _algorithm.Portfolio.TotalUnrealizedProfit.ToString("N2"));
runtimeStatistics.Add("Fees", "-$" + _algorithm.Portfolio.TotalFees.ToString("N2"));
runtimeStatistics.Add("Net Profit", "$" + (_algorithm.Portfolio.TotalProfit - _algorithm.Portfolio.TotalFees).ToString("N2"));
runtimeStatistics.Add("Return", ((_algorithm.Portfolio.TotalPortfolioValue - _setupHandler.StartingPortfolioValue) / _setupHandler.StartingPortfolioValue).ToString("P"));
runtimeStatistics.Add("Equity", "$" + _algorithm.Portfolio.TotalPortfolioValue.ToString("N2"));
//Profit Loss Changes:
var progress = Convert.ToDecimal(_daysProcessed / _jobDays);
if (progress > 0.999m)
{
progress = 0.999m;
}
//1. Cloud Upload -> Upload the whole packet to S3 Immediately:
var completeResult = new BacktestResult(Charts, _transactionHandler.Orders, Algorithm.Transactions.TransactionRecord, new Dictionary <string, string>(), runtimeStatistics, new Dictionary <string, AlgorithmPerformance>());
var complete = new BacktestResultPacket(_job, completeResult, progress);
if (DateTime.Now > _nextS3Update)
{
_nextS3Update = DateTime.Now.AddSeconds(30);
StoreResult(complete, false);
}
//2. Backtest Update -> Send the truncated packet to the backtester:
var splitPackets = SplitPackets(deltaCharts, deltaOrders, runtimeStatistics, progress);
foreach (var backtestingPacket in splitPackets)
{
_messagingHandler.Send(backtestingPacket);
}
}
catch (Exception err)
{
Log.Error(err);
}
}
public void MessageHandler_SendsCorrectPackets_ToCorrectRoutes()
{
//Allow proper decoding of orders.
JsonConvert.DefaultSettings = () => new JsonSerializerSettings
{
Converters = { new OrderJsonConverter() }
};
// Create list of packets to test
var debug = new DebugPacket();
var log = new LogPacket();
var backtest = new BacktestResultPacket();
var handled = new HandledErrorPacket();
var error = new RuntimeErrorPacket();
var packetList = new List <Packet>
{
log,
debug,
backtest,
handled,
error
};
using (var pullSocket = new PullSocket(">tcp://localhost:" + _port))
{
var count = 0;
while (count < packetList.Count)
{
_messageHandler.Send(packetList[count]);
var message = pullSocket.ReceiveMultipartMessage();
var payload = message[0].ConvertToString();
var packet = JsonConvert.DeserializeObject <Packet>(payload);
Assert.IsTrue(message.FrameCount == 1);
if (PacketType.Debug == packet.Type)
{
Assert.IsTrue(payload == JsonConvert.SerializeObject(debug));
}
if (PacketType.HandledError == packet.Type)
{
Assert.IsTrue(payload == JsonConvert.SerializeObject(handled));
}
if (PacketType.BacktestResult == packet.Type)
{
Assert.IsTrue(payload == JsonConvert.SerializeObject(backtest));
}
if (PacketType.RuntimeError == packet.Type)
{
Assert.IsTrue(payload == JsonConvert.SerializeObject(error));
}
if (PacketType.Log == packet.Type)
{
Assert.IsTrue(payload == JsonConvert.SerializeObject(log));
}
count++;
}
}
}
//HACK: calculate and retain full statistics but not store result
public void SendFinalResult()
{
if (_hasError)
{
FullResults = null;
return;
}
try
{
//_processingFinalPacket = true;
_shadowType.GetField("_processingFinalPacket", _flags).SetValue(_shadow, true);
var charts = new Dictionary <string, Chart>(_shadow.Charts);
//var orders = new Dictionary<int, Order>(_shadow.TransactionHandler.Orders);
var transactionHandler = (ITransactionHandler)_shadowType.GetField("TransactionHandler", _flags).GetValue(_shadow);
var orders = new Dictionary <int, Order>(transactionHandler.Orders);
var profitLoss = new SortedDictionary <DateTime, decimal>(Algorithm.Transactions.TransactionRecord);
//var statisticsResults = GenerateStatisticsResults(charts, profitLoss);
var statisticsResults = (StatisticsResults)_shadowType.InvokeMember("GenerateStatisticsResults", _flags | BindingFlags.InvokeMethod, null, _shadow,
new object[] { charts, profitLoss });
//var runtime = GetAlgorithmRuntimeStatistics(statisticsResults.Summary);
var runtime = (Dictionary <string, string>) typeof(BaseResultsHandler).InvokeMember("GetAlgorithmRuntimeStatistics", _flags | BindingFlags.InvokeMethod, Type.DefaultBinder, _shadow,
new object[] { statisticsResults.Summary, null });
FullResults = StatisticsAdapter.Transform(statisticsResults.TotalPerformance, statisticsResults.Summary);
//FinalStatistics = statisticsResults.Summary;
_shadowType.GetProperty("FinalStatistics").SetValue(_shadow, statisticsResults.Summary, _flags, null, null, null);
foreach (var ap in statisticsResults.RollingPerformances.Values)
{
ap.ClosedTrades.Clear();
}
//var result = new BacktestResultPacket(_job,
// new BacktestResult(charts, orders, profitLoss, statisticsResults.Summary, runtime, statisticsResults.RollingPerformances, statisticsResults.TotalPerformance)
// { AlphaRuntimeStatistics = AlphaRuntimeStatistics }, Algorithm.EndDate, Algorithm.StartDate)
//{
// ProcessingTime = (DateTime.UtcNow - StartTime).TotalSeconds,
// DateFinished = DateTime.Now,
// Progress = 1
//};
var job = (BacktestNodePacket)_shadowType.GetField("_job", _flags).GetValue(_shadow);
var startTime = (DateTime)_shadowType.GetProperty("StartTime", _flags).GetValue(_shadow);
var alphaRuntimeStatistics = (AlphaRuntimeStatistics)_shadowType.GetProperty("AlphaRuntimeStatistics", _flags).GetValue(_shadow);
var result = new BacktestResultPacket(job,
new BacktestResult(charts, orders, profitLoss, statisticsResults.Summary, runtime, statisticsResults.RollingPerformances, statisticsResults.TotalPerformance)
{
AlphaRuntimeStatistics = alphaRuntimeStatistics
}, Algorithm.EndDate, Algorithm.StartDate)
{
ProcessingTime = (DateTime.UtcNow - startTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
//StoreResult(result);
//do not store result
//MessagingHandler.Send(result);
var messagingHandler = (IMessagingHandler)_shadowType.GetField("MessagingHandler", _flags).GetValue(_shadow);
messagingHandler.Send(result);
}
catch (Exception ex)
{
LogProvider.ErrorLogger.Error(ex);
}
}
/// <summary>
/// Send a backtest result packet
/// </summary>
public void BacktestResult(BacktestResultPacket packet, bool finalPacket = false)
{
//
}
private void UpdateRegressionStatisticsInSourceFile(BacktestResultPacket result)
{
if (!result.Results.Statistics.Any())
{
Log.Error("Messaging.UpdateRegressionStatisticsInSourceFile(): No statistics generated. Skipping update.");
return;
}
var algorithmSource = $"../../../Algorithm.CSharp/{_job.AlgorithmId}.cs";
var file = File.ReadAllLines(algorithmSource).ToList().GetEnumerator();
var lines = new List <string>();
var insideStats = false;
while (file.MoveNext())
{
var line = file.Current;
if (line == null)
{
continue;
}
if (line.Contains("public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>"))
{
insideStats = true;
lines.Add(line);
lines.Add(" {");
}
if (!insideStats)
{
lines.Add(line);
}
else
{
insideStats = false;
foreach (var pair in result.Results.Statistics)
{
lines.Add($" {{\"{pair.Key}\", \"{pair.Value}\"}},");
}
// remove trailing comma
var lastLine = lines[lines.Count - 1];
lines[lines.Count - 1] = lastLine.Substring(0, lastLine.Length - 1);
while (file.MoveNext())
{
line = file.Current;
if (line == null)
{
continue;
}
if (line.Contains("};"))
{
lines.Add(line);
break;
}
}
}
}
file.DisposeSafely();
File.WriteAllLines(algorithmSource, lines);
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
protected void SendFinalResult()
{
try
{
//Convert local dictionary:
var charts = new Dictionary <string, Chart>(Charts);
var orders = new Dictionary <int, Order>(TransactionHandler.Orders);
var profitLoss = new SortedDictionary <DateTime, decimal>(Algorithm.Transactions.TransactionRecord);
var statisticsResults = GenerateStatisticsResults(charts, profitLoss);
var runtime = GetAlgorithmRuntimeStatistics(statisticsResults.Summary);
FinalStatistics = statisticsResults.Summary;
// clear the trades collection before placing inside the backtest result
foreach (var ap in statisticsResults.RollingPerformances.Values)
{
ap.ClosedTrades.Clear();
}
var orderEvents = TransactionHandler.OrderEvents.ToList();
//Create a result packet to send to the browser.
var result = new BacktestResultPacket(_job,
new BacktestResult(new BacktestResultParameters(charts, orders, profitLoss, statisticsResults.Summary, runtime, statisticsResults.RollingPerformances, orderEvents, statisticsResults.TotalPerformance, AlphaRuntimeStatistics)),
Algorithm.EndDate, Algorithm.StartDate)
{
ProcessingTime = (DateTime.UtcNow - StartTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
// Create new connection factory
var factory = new ConnectionFactory()
{
HostName = "localhost"
};
using (var connection = factory.CreateConnection())
using (var channel = connection.CreateModel())
{
// Set up queue for RabbitMQ
channel.QueueDeclare(queue: "rabbitBroker",
durable: false,
exclusive: false,
autoDelete: false,
arguments: null);
// Create test message for RabbitMQProducer
string producerMessage = JsonConvert.SerializeObject(FinalStatistics, Formatting.Indented);
var producerBody = Encoding.UTF8.GetBytes(producerMessage);
channel.BasicPublish(exchange: "",
routingKey: "rabbitBroker",
basicProperties: null,
body: producerBody);
}
//Place result into storage.
StoreResult(result);
//Second, send the truncated packet:
MessagingHandler.Send(result);
Log.Trace("BacktestingResultHandler.SendAnalysisResult(): Processed final packet");
}
catch (Exception err)
{
Log.Error(err);
}
}
