static TransactionContextFactory()
{
if (_th == null)
{
lock (syncRoot)
{
if (_th == null)
{
try
{
transactionHandlingSettings settings =
(transactionHandlingSettings)ConfigurationManager.GetSection("dataAccess/transactionHandlingSettings");
Type handlerType = Type.GetType(settings.transactionHandler.handlerType);
if (handlerType == null)
throw new ApplicationException(ResourceStringLoader.GetResourceString(
"handlertype_cannot_be_loaded", settings.transactionHandler.handlerType,
settings.transactionHandler.name));
_th = (ITransactionHandler)Activator.CreateInstance(handlerType);
ContextCreated += new TCCreatedEventHandler(_th.HandleTCCreated);
}
catch (Exception e)
{
throw new TransactionHandlingException(ResourceStringLoader.GetResourceString(
"error_loading_transactionhandler", e.Message));
}
}
}
}
}
private void LaunchLean()
{
Config.Set ("environment", "desktop");
string algorithm = "EMATest";
Config.Set("algorithm-type-name", algorithm);
_jobQueue = new JobQueue ();
_notify = new Messaging ();
_api = new Api();
_resultshandler = new DesktopResultHandler ();
_dataFeed = new FileSystemDataFeed ();
_setup = new ConsoleSetupHandler ();
_realTime = new BacktestingRealTimeHandler ();
_historyProvider = new SubscriptionDataReaderHistoryProvider ();
_transactions = new BacktestingTransactionHandler ();
var systemHandlers = new LeanEngineSystemHandlers (_jobQueue, _api, _notify);
systemHandlers.Initialize ();
var algorithmHandlers = new LeanEngineAlgorithmHandlers (_resultshandler, _setup, _dataFeed, _transactions, _realTime, _historyProvider);
var _engine = new Engine (systemHandlers, algorithmHandlers, Config.GetBool ("live-mode"));
string algorithmPath;
var job = systemHandlers.JobQueue.NextJob(out algorithmPath);
_engine.Run(job, algorithmPath);
}
public void Initialize(AlgorithmNodePacket job,
IMessagingHandler messagingHandler,
IApi api,
IDataFeed dataFeed,
ISetupHandler setupHandler,
ITransactionHandler transactionHandler)
{
_job = job;
}
/// <summary>
/// Initializes a new instance of the <see cref="LeanEngineAlgorithmHandlers"/> class from the specified handlers
/// </summary>
/// <param name="results">The result handler for communicating results from the algorithm</param>
/// <param name="setup">The setup handler used to initialize algorithm state</param>
/// <param name="dataFeed">The data feed handler used to pump data to the algorithm</param>
/// <param name="transactions">The transaction handler used to process orders from the algorithm</param>
/// <param name="realTime">The real time handler used to process real time events</param>
/// <param name="historyProvider">The history provider used to process historical data requests</param>
/// <param name="commandQueue">The command queue handler used to receive external commands for the algorithm</param>
/// <param name="mapFileProvider">The map file provider used to retrieve map files for the data feed</param>
public LeanEngineAlgorithmHandlers(IResultHandler results,
ISetupHandler setup,
IDataFeed dataFeed,
ITransactionHandler transactions,
IRealTimeHandler realTime,
IHistoryProvider historyProvider,
ICommandQueueHandler commandQueue,
IMapFileProvider mapFileProvider
)
{
if (results == null)
{
throw new ArgumentNullException("results");
}
if (setup == null)
{
throw new ArgumentNullException("setup");
}
if (dataFeed == null)
{
throw new ArgumentNullException("dataFeed");
}
if (transactions == null)
{
throw new ArgumentNullException("transactions");
}
if (realTime == null)
{
throw new ArgumentNullException("realTime");
}
if (historyProvider == null)
{
throw new ArgumentNullException("realTime");
}
if (commandQueue == null)
{
throw new ArgumentNullException("commandQueue");
}
if (mapFileProvider == null)
{
throw new ArgumentNullException("mapFileProvider");
}
_results = results;
_setup = setup;
_dataFeed = dataFeed;
_transactions = transactions;
_realTime = realTime;
_historyProvider = historyProvider;
_commandQueue = commandQueue;
_mapFileProvider = mapFileProvider;
}
public DefaultDatabaseEngine(
IDatabaseComponentFactory databaseEngineFactory,
IDatabase database)
{
this.compiler = databaseEngineFactory.CreateQueryCompiler();
this.executor = databaseEngineFactory.CreateQueryExecutor();
this.concurrencyManager = databaseEngineFactory.CreateConcurrencyManager();
this.transactionHandler = databaseEngineFactory.CreateTransactionHandler();
this.loggingPort = databaseEngineFactory.CreateLoggingPort();
this.serviceProvider = databaseEngineFactory.CreateServiceProvider();
foreach (IDatabaseComponent component in
this.Components.OfType<IDatabaseComponent>())
{
component.Initialize(database);
}
}
/// <summary>
/// Creates a new instance
/// </summary>
/// <param name="universeSelection">The universe selection instance</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">New brokerage output instance</param>
/// <param name="algorithmNodePacket">Algorithm job task</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configured transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <param name="objectStore">The configured object store</param>
public SetupHandlerParameters(UniverseSelection universeSelection,
IAlgorithm algorithm,
IBrokerage brokerage,
AlgorithmNodePacket algorithmNodePacket,
IResultHandler resultHandler,
ITransactionHandler transactionHandler,
IRealTimeHandler realTimeHandler,
IObjectStore objectStore
)
{
UniverseSelection = universeSelection;
Algorithm = algorithm;
Brokerage = brokerage;
AlgorithmNodePacket = algorithmNodePacket;
ResultHandler = resultHandler;
TransactionHandler = transactionHandler;
RealTimeHandler = realTimeHandler;
ObjectStore = objectStore;
}
/// <summary>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="job">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler">The handler responsible for communicating messages to listeners</param>
/// <param name="api">The api instance used for handling logs</param>
/// <param name="dataFeed"></param>
/// <param name="setupHandler"></param>
/// <param name="transactionHandler"></param>
public void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, IDataFeed dataFeed, ISetupHandler setupHandler, ITransactionHandler transactionHandler)
{
_api = api;
_messagingHandler = messagingHandler;
_transactionHandler = transactionHandler;
_job = (BacktestNodePacket)job;
if (_job == null)
{
throw new Exception("BacktestingResultHandler.Constructor(): Submitted Job type invalid.");
}
_compileId = _job.CompileId;
_backtestId = _job.BacktestId;
//Get the resample period:
var totalMinutes = (_job.PeriodFinish - _job.PeriodStart).TotalMinutes;
var resampleMinutes = (totalMinutes < (_minimumSamplePeriod * _samples)) ? _minimumSamplePeriod : (totalMinutes / _samples); // Space out the sampling every
_resamplePeriod = TimeSpan.FromMinutes(resampleMinutes);
Log.Trace("BacktestingResultHandler(): Sample Period Set: " + resampleMinutes.ToString("00.00"));
}
protected override void PerformOperation()
{
base.PerformOperation();
JkDetailDataSet dataset = new JkDetailDataSet();
JkFormParameter param = new JkFormParameter();
ITransactionHandler VTransactionHandler = new ITransactionHandler();
int SelectionIdIndex = dataGridView.GetCellIndex("SelectionId");
int ReportFilterTypeIdIndex = dataGridView.GetCellIndex("ReportFilterTypeId");
int SelectedIndex = dataGridView.GetCellIndex("Selected");
dataset.CommandText =
"SELECT Id, SystemUserId, ReportFilterTypeId, SelectionId " +
"FROM tblReportFilter " +
"WHERE SystemUserId = @SystemUserId";
param.Name = "SystemUserId";
param.Value = ISecurityHandler.SecurityUserId.ToString();
dataset.Parameters.Add(param);
dataset.DataTable = VTransactionHandler.LoadData(dataset.CommandText, dataset.Parameters);
foreach (DataRow row in dataset.DataTable.Rows)
{
row.Delete();
}
foreach (DataGridViewRow row in dataGridView.Rows)
{
if (bool.Parse(row.Cells[SelectedIndex].Value.ToString()))
{
DataRow newRow = dataset.DataTable.NewRow();
newRow["SystemUserId"] = ISecurityHandler.SecurityUserId;
newRow["ReportFilterTypeId"] = row.Cells[ReportFilterTypeIdIndex].Value;
newRow["SelectionId"] = row.Cells[SelectionIdIndex].Value;
dataset.DataTable.Rows.Add(newRow);
}
}
VTransactionHandler.Connect();
VTransactionHandler.EditMaster(dataset.CommandText, dataset.Parameters);
VTransactionHandler.Disconnect();
}
public BundleHandler(IHttpContextAccessor httpContextAccessor, IFhirRequestContextAccessor fhirRequestContextAccessor, FhirJsonSerializer fhirJsonSerializer, FhirJsonParser fhirJsonParser, ITransactionHandler transactionHandler, ILogger <BundleHandler> logger)
{
EnsureArg.IsNotNull(httpContextAccessor, nameof(httpContextAccessor));
EnsureArg.IsNotNull(fhirRequestContextAccessor, nameof(fhirRequestContextAccessor));
EnsureArg.IsNotNull(fhirJsonSerializer, nameof(fhirJsonSerializer));
EnsureArg.IsNotNull(fhirJsonParser, nameof(fhirJsonParser));
EnsureArg.IsNotNull(transactionHandler, nameof(transactionHandler));
EnsureArg.IsNotNull(logger, nameof(logger));
_fhirRequestContextAccessor = fhirRequestContextAccessor;
_fhirJsonSerializer = fhirJsonSerializer;
_fhirJsonParser = fhirJsonParser;
_transactionHandler = transactionHandler;
_logger = logger;
// Not all versions support the same enum values, so do the dictionary creation in the version specific partial.
_requests = GenerateRequestDictionary();
_httpAuthenticationFeature = httpContextAccessor.HttpContext.Features.First(x => x.Key == typeof(IHttpAuthenticationFeature)).Value as IHttpAuthenticationFeature;
_router = httpContextAccessor.HttpContext.GetRouteData().Routers.First();
_requestServices = httpContextAccessor.HttpContext.RequestServices;
}
public DeleteService(
IIndexDataStore indexDataStore,
IMetadataStore metadataStore,
IFileStore fileStore,
IOptions <DeletedInstanceCleanupConfiguration> deletedInstanceCleanupConfiguration,
ITransactionHandler transactionHandler,
ILogger <DeleteService> logger)
{
EnsureArg.IsNotNull(indexDataStore, nameof(indexDataStore));
EnsureArg.IsNotNull(metadataStore, nameof(metadataStore));
EnsureArg.IsNotNull(fileStore, nameof(fileStore));
EnsureArg.IsNotNull(deletedInstanceCleanupConfiguration?.Value, nameof(deletedInstanceCleanupConfiguration));
EnsureArg.IsNotNull(transactionHandler, nameof(transactionHandler));
EnsureArg.IsNotNull(logger, nameof(logger));
_indexDataStore = indexDataStore;
_metadataStore = metadataStore;
_fileStore = fileStore;
_deletedInstanceCleanupConfiguration = deletedInstanceCleanupConfiguration.Value;
_transactionHandler = transactionHandler;
_logger = logger;
}
/// <summary>
/// Initializes a new instance of the <see cref="LeanEngineAlgorithmHandlers"/> class from the specified handlers
/// </summary>
/// <param name="results">The result handler for communicating results from the algorithm</param>
/// <param name="setup">The setup handler used to initialize algorithm state</param>
/// <param name="dataFeed">The data feed handler used to pump data to the algorithm</param>
/// <param name="transactions">The transaction handler used to process orders from the algorithm</param>
/// <param name="realTime">The real time handler used to process real time events</param>
/// <param name="historyProvider">The history provider used to process historical data requests</param>
public LeanEngineAlgorithmHandlers(IResultHandler results,
ISetupHandler setup,
IDataFeed dataFeed,
ITransactionHandler transactions,
IRealTimeHandler realTime,
IHistoryProvider historyProvider)
{
if (results == null)
{
throw new ArgumentNullException("results");
}
if (setup == null)
{
throw new ArgumentNullException("setup");
}
if (dataFeed == null)
{
throw new ArgumentNullException("dataFeed");
}
if (transactions == null)
{
throw new ArgumentNullException("transactions");
}
if (realTime == null)
{
throw new ArgumentNullException("realTime");
}
if (historyProvider == null)
{
throw new ArgumentNullException("realTime");
}
_results = results;
_setup = setup;
_dataFeed = dataFeed;
_transactions = transactions;
_realTime = realTime;
_historyProvider = historyProvider;
}
/// <summary>
/// Creates a new instance
/// </summary>
/// <param name="universeSelection">The universe selection instance</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">New brokerage output instance</param>
/// <param name="algorithmNodePacket">Algorithm job task</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configured transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <param name="objectStore">The configured object store</param>
/// <param name="dataCacheProvider">The configured data cache provider</param>
/// <param name="mapFileProvider">The map file provider</param>
public SetupHandlerParameters(UniverseSelection universeSelection,
IAlgorithm algorithm,
IBrokerage brokerage,
AlgorithmNodePacket algorithmNodePacket,
IResultHandler resultHandler,
ITransactionHandler transactionHandler,
IRealTimeHandler realTimeHandler,
IObjectStore objectStore,
IDataCacheProvider dataCacheProvider,
IMapFileProvider mapFileProvider
)
{
UniverseSelection = universeSelection;
Algorithm = algorithm;
Brokerage = brokerage;
AlgorithmNodePacket = algorithmNodePacket;
ResultHandler = resultHandler;
TransactionHandler = transactionHandler;
RealTimeHandler = realTimeHandler;
ObjectStore = objectStore;
DataCacheProvider = dataCacheProvider;
MapFileProvider = mapFileProvider;
}
private void CreateMasterColumns()
{
ITransactionHandler VTransactionHandler = new ITransactionHandler();
DataTable table = new DataTable();
VTransactionHandler.LoadData(CommandText, ref table, this.Parameters);
foreach (DataColumn dc in table.Columns)
{
if (!dc.AutoIncrement)
{
JkMasterColumn column = new JkMasterColumn();
column.Name = dc.ColumnName;
column.DataType = IAppHandler.ConvertTypeToSqlType(dc.DataType);
column.Required = !dc.AllowDBNull;
column.DefaultValue = IAppHandler.SetColumnsDefaultValue(dc.ColumnName);
if (MasterColumns.Find(col => col.Name == column.Name) == null)
{
_MasterColumns.Add(column);
}
}
}
}
public async Task Save(ITransactionHandler transactionHandler, Func <ITransactionHandler, Task> save)
{
try
{
await save(transactionHandler);
if (transactionHandler.Transaction != null)
{
transactionHandler.Transaction.Commit();
}
if (transactionHandler.Connection != null)
{
transactionHandler.Connection.Close();
}
}
catch
{
if (transactionHandler.Transaction != null)
{
transactionHandler.Transaction.Rollback();
}
throw;
}
finally
{
if (transactionHandler.Transaction != null)
{
transactionHandler.Transaction.Dispose();
transactionHandler.Transaction = null;
}
if (transactionHandler.Connection != null)
{
transactionHandler.Connection.Dispose();
transactionHandler.Connection = null;
}
}
}
public void Save(ITransactionHandler transactionHandler, Action <ITransactionHandler> save)
{
try
{
save(transactionHandler);
if (transactionHandler.DatabaseTransaction != null)
{
transactionHandler.DatabaseTransaction.Commit();
}
if (transactionHandler.DatabaseConnection != null &&
transactionHandler.DatabaseConnection.State == ConnectionState.Open)
{
transactionHandler.DatabaseConnection.Close();
}
}
catch
{
if (transactionHandler.DatabaseTransaction != null)
{
transactionHandler.DatabaseTransaction.Rollback();
}
throw;
}
finally
{
if (transactionHandler.DatabaseTransaction != null)
{
transactionHandler.DatabaseTransaction.Dispose();
transactionHandler.DatabaseTransaction = null;
}
if (transactionHandler.DatabaseConnection != null)
{
transactionHandler.DatabaseConnection.Dispose();
transactionHandler.DatabaseConnection = null;
}
}
}
protected override void SetupTransaction(IDataSource dataSource)
{
_transactionContext = new TransactionContext();
TransactionContext txContext = (TransactionContext)_transactionContext;
txContext.DataSouce = dataSource;
txContext.IsolationLevel = this.IsolationLevel;
Type dataSourceType = dataSource.GetType();
if (typeof(SelectableDataSourceProxyWithDictionary).IsAssignableFrom(dataSourceType))
{
SelectableDataSourceProxyWithDictionary dataSourceProxyWithDictionary = (SelectableDataSourceProxyWithDictionary)dataSource;
if (!string.IsNullOrEmpty(DataSourceName))
{
IDataSource usingDataSource = dataSourceProxyWithDictionary.GetDataSource(DataSourceName);
if (usingDataSource is TxDataSource)
{
((TxDataSource)usingDataSource).Context = txContext;
}
}
else // when only one dataSource
{
dataSourceProxyWithDictionary.SetTransactionContext(txContext);
}
}
else if (typeof(TxDataSource).IsAssignableFrom(dataSourceType))
{
((TxDataSource)dataSource).Context = txContext;
}
ITransactionHandler handler = CreateTransactionHandler(txContext);
_transactionInterceptor = CreateTransactionInterceptor(handler);
((TransactionInterceptor)_transactionInterceptor).TransactionStateHandler = txContext;
}
public DeleteServiceTests()
{
_indexDataStore = Substitute.For <IIndexDataStore>();
_metadataStore = Substitute.For <IMetadataStore>();
_fileDataStore = Substitute.For <IFileStore>();
_deleteConfiguration = new DeletedInstanceCleanupConfiguration
{
DeleteDelay = TimeSpan.FromDays(1),
BatchSize = 10,
MaxRetries = 5,
PollingInterval = TimeSpan.FromSeconds(1),
RetryBackOff = TimeSpan.FromDays(4),
};
IOptions <DeletedInstanceCleanupConfiguration> deletedInstanceCleanupConfigurationOptions = Substitute.For <IOptions <DeletedInstanceCleanupConfiguration> >();
deletedInstanceCleanupConfigurationOptions.Value.Returns(_deleteConfiguration);
ITransactionHandler transactionHandler = Substitute.For <ITransactionHandler>();
_transactionScope = Substitute.For <ITransactionScope>();
transactionHandler.BeginTransaction().Returns(_transactionScope);
_deleteService = new DeleteService(_indexDataStore, _metadataStore, _fileDataStore, deletedInstanceCleanupConfigurationOptions, transactionHandler, NullLogger <DeleteService> .Instance);
}
/// <summary>
/// Get the open orders from a brokerage. Adds <see cref="Orders.Order"/> and <see cref="Orders.OrderTicket"/> to the transaction handler
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <param name="brokerage">Brokerage output instance</param>
protected void GetOpenOrders(IAlgorithm algorithm, IResultHandler resultHandler, ITransactionHandler transactionHandler, IBrokerage brokerage)
{
// populate the algorithm with the account's outstanding orders resultHandler
var openOrders = brokerage.GetOpenOrders();
foreach (var order in openOrders)
{
// be sure to assign order IDs such that we increment from the SecurityTransactionManager to avoid ID collisions
Log.Trace("BrokerageSetupHandler.Setup(): Has open order: " + order.Symbol.Value + " - " + order.Quantity);
resultHandler.DebugMessage($"BrokerageSetupHandler.Setup(): Open order detected. Creating order tickets for open order {order.Symbol.Value} with quantity {order.Quantity}. Beware that this order ticket may not accurately reflect the quantity of the order if the open order is partially filled.");
order.Id = algorithm.Transactions.GetIncrementOrderId();
transactionHandler.Orders.AddOrUpdate(order.Id, order, (i, o) => order);
transactionHandler.OrderTickets.AddOrUpdate(order.Id, order.ToOrderTicket(algorithm.Transactions));
}
}
/// <summary>
/// Launches a Lean Engine using a parameter
/// </summary>
/// <param name="val">The paramater to use when launching lean. </param>
private void LaunchLean(string val)
{
Config.Set("environment", "backtesting");
string algorithm = val;
// Set the algorithm in Config. Here is where you can customize Config settings
Config.Set("algorithm-type-name", algorithm);
_jobQueue = new JobQueue();
_notify = new Messaging();
_api = new Api();
/************ Comment one of the two following lines to select which ResultHandler to use ***********/
_resultshandler = new OptimizationResultHandler();
//_resultshandler = new ConsoleResultHandler();
_dataFeed = new FileSystemDataFeed();
_setup = new ConsoleSetupHandler();
_realTime = new BacktestingRealTimeHandler();
_historyProvider = new SubscriptionDataReaderHistoryProvider();
_transactions = new BacktestingTransactionHandler();
// Set the Log.LogHandler to only write to the log.txt file.
// This setting avoids writing Log messages to the console.
Log.LogHandler = (ILogHandler)new FileLogHandler();
Log.DebuggingEnabled = false; // Set this property to true for lots of messages
Log.DebuggingLevel = 1; // A reminder that the default level for Log.Debug message is 1
var systemHandlers = new LeanEngineSystemHandlers(_jobQueue, _api, _notify);
systemHandlers.Initialize();
var algorithmHandlers = new LeanEngineAlgorithmHandlers(_resultshandler, _setup, _dataFeed, _transactions, _realTime, _historyProvider);
string algorithmPath;
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out algorithmPath);
try
{
var _engine = new Engine(systemHandlers, algorithmHandlers, Config.GetBool("live-mode"));
_engine.Run(job, algorithmPath);
}
finally
{
/* The JobQueue.AcknowledgeJob only asks for any key to close the window.
* We do not want that behavior, so we comment out this line so that multiple Leans will run
*
* The alternative is to comment out Console.Read(); the line in JobQueue class.
*/
//systemHandlers.JobQueue.AcknowledgeJob(job);
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
// clean up resources
systemHandlers.Dispose();
algorithmHandlers.Dispose();
Log.LogHandler.Dispose();
}
}
/// <summary>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="job">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler">The handler responsible for communicating messages to listeners</param>
/// <param name="api">The api instance used for handling logs</param>
/// <param name="transactionHandler">The transaction handler used to get the algorithms <see cref="Order"/> information</param>
public override void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, ITransactionHandler transactionHandler)
{
_algorithmId = job.AlgorithmId;
_projectId = job.ProjectId;
_job = (BacktestNodePacket)job;
if (_job == null)
{
throw new Exception("BacktestingResultHandler.Constructor(): Submitted Job type invalid.");
}
base.Initialize(job, messagingHandler, api, transactionHandler);
}
/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configuration transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
var initializeComplete = false;
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
algorithm.SetMaximumOrders(int.MaxValue);
// set our parameters
algorithm.SetParameters(baseJob.Parameters);
algorithm.SetLiveMode(false);
algorithm.SetAvailableDataTypes(GetConfiguredDataFeeds());
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
// set the option chain provider
algorithm.SetOptionChainProvider(new CachingOptionChainProvider(new BacktestingOptionChainProvider()));
// set the future chain provider
algorithm.SetFutureChainProvider(new CachingFutureChainProvider(new BacktestingFutureChainProvider()));
//Setup Base Algorithm:
algorithm.Initialize();
//Finalize Initialization
algorithm.PostInitialize();
//Set the time frontier of the algorithm
algorithm.SetDateTime(algorithm.StartDate.ConvertToUtc(algorithm.TimeZone));
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = algorithm.GetType().Name;
backtestJob.Type = PacketType.BacktestNode;
backtestJob.UserId = baseJob.UserId;
backtestJob.Channel = baseJob.Channel;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
else
{
throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
}
}
catch (Exception err)
{
Log.Error(err);
Errors.Add(new AlgorithmSetupException("During the algorithm initialization, the following exception has occurred: ", err));
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
return(initializeComplete);
}
public EndowmentHandlers(
IEntityRepository<IEndowmentEntity> entityRepository,
IUserHandler user,
IPersonHandler person,
IContactHandler contact,
IProjectHandler project,
IProjectPriceHandler projectPrice,
IComplianceRoleHandler complianceRole,
IDepositoryHandler depository,
IModeratorHandler moderator,
ITransactionHandler transaction,
IQueueProjectHandler queueProject,
IServiceDataHandler serviceData,
IAcceptedProjectHandler acceptedProject,
IHistoryProjectHandler historyProject,
ILevelModeratorHandler levelModerator,
ITempDepositoryHandler tempDepository,
IVotingPeriodHandler votingPeriod,
ITempDepositoryHistoryHandler tempDepositoryHistory,
ITransactionHistoryHandler transactionHistory,
IVotingPeriodReportHandler votingPeriodReport)
{
User = user;
Person = person;
Contact = contact;
Project = project;
ProjectPrice = projectPrice;
ComplianceRole = complianceRole;
Depository = depository;
Moderator = moderator;
Transaction = transaction;
QueueProject = queueProject;
_entityRepository = entityRepository;
ServiceData = serviceData;
AcceptedProject = acceptedProject;
HistoryProject = historyProject;
LevelModerator = levelModerator;
TempDepository = tempDepository;
VotingPeriod = votingPeriod;
TempDepositoryHistory = tempDepositoryHistory;
TransactionHistory = transactionHistory;
VotingPeriodReport = votingPeriodReport;
}
/// <summary>
/// Setup the algorithm cash, dates and data subscriptions as desired.
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">Brokerage instance</param>
/// <param name="baseJob">Algorithm job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <returns>Boolean true on successfully initializing the algorithm</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler)
{
var job = baseJob as BacktestNodePacket;
if (job == null)
{
throw new ArgumentException("Expected BacktestNodePacket but received " + baseJob.GetType().Name);
}
Log.Trace(string.Format("BacktestingSetupHandler.Setup(): Setting up job: Plan: {0}, UID: {1}, PID: {2}, Version: {3}, Source: {4}", job.UserPlan, job.UserId, job.ProjectId, job.Version, job.RequestSource));
brokerage = null;
if (algorithm == null)
{
Errors.Add("Could not create instance of algorithm");
return false;
}
//Make sure the algorithm start date ok.
if (job.PeriodStart == default(DateTime))
{
Errors.Add("Algorithm start date was never set");
return false;
}
//Execute the initialize code:
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(10), () =>
{
try
{
//Algorithm is backtesting, not live:
algorithm.SetLiveMode(false);
//Set the backtest level asset ram allocation limits
algorithm.SetAssetLimits(500, 100, 30);
//Set the algorithm time before we even initialize:
algorithm.SetDateTime(job.PeriodStart);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager);
}
catch (Exception err)
{
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
});
//Before continuing, detect if this is ready:
if (!initializeComplete) return false;
// this needs to be done after algorithm initialization
brokerage = new BacktestingBrokerage(algorithm);
SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
//Calculate the max runtime for the strategy
_maxRuntime = GetMaximumRuntime(job.PeriodStart, job.PeriodFinish, algorithm.SubscriptionManager.Count);
//Get starting capital:
_startingCaptial = algorithm.Portfolio.Cash;
//Max Orders: 10k per backtest:
if (job.UserPlan == UserPlan.Free)
{
_maxOrders = 10000;
}
else
{
_maxOrders = int.MaxValue;
_maxRuntime += _maxRuntime;
}
//Set back to the algorithm,
algorithm.SetMaximumOrders(_maxOrders);
//Starting date of the algorithm:
_startingDate = job.PeriodStart;
//Put into log for debugging:
Log.Trace("SetUp Backtesting: User: "******" ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
Log.Trace("Dates: Start: " + job.PeriodStart.ToShortDateString() + " End: " + job.PeriodFinish.ToShortDateString() + " Cash: " + _startingCaptial.ToString("C"));
if (Errors.Count > 0)
{
initializeComplete = false;
}
return initializeComplete;
}
/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configuration transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
var initializeComplete = false;
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Set the limits on the algorithm assets (for local no limits)
algorithm.SetAssetLimits(999, 999, 999);
algorithm.SetMaximumOrders(int.MaxValue);
algorithm.SetLiveMode(false);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Setup Base Algorithm:
algorithm.Initialize();
//Set the time frontier of the algorithm
algorithm.SetDateTime(algorithm.StartDate.ConvertToUtc(algorithm.TimeZone));
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
else
{
throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
// we need to do this after algorithm initialization
brokerage = new BacktestingBrokerage(algorithm);
// set the transaction models base on the requested brokerage properties
SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
return(initializeComplete);
}
/// <summary>
/// Primary entry point to setup a new algorithm
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">New brokerage output instance</param>
/// <param name="job">Algorithm job task</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket job, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
_algorithm = algorithm;
// verify we were given the correct job packet type
var liveJob = job as LiveNodePacket;
if (liveJob == null)
{
AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
return(false);
}
// verify the brokerage was specified
if (string.IsNullOrWhiteSpace(liveJob.Brokerage))
{
AddInitializationError("A brokerage must be specified");
return(false);
}
// attach to the message event to relay brokerage specific initialization messages
EventHandler <BrokerageMessageEvent> brokerageOnMessage = (sender, args) =>
{
if (args.Type == BrokerageMessageType.Error)
{
AddInitializationError(string.Format("Brokerage Error Code: {0} - {1}", args.Code, args.Message));
}
};
try
{
Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");
resultHandler.SendStatusUpdate(AlgorithmStatus.Initializing, "Initializing algorithm...");
//Execute the initialize code:
var controls = job.Controls;
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(300), () =>
{
try
{
//Set the default brokerage model before initialize
algorithm.SetBrokerageModel(_factory.BrokerageModel);
//Set our default markets
algorithm.SetDefaultMarkets(_factory.DefaultMarkets.ToDictionary());
//Set our parameters
algorithm.SetParameters(job.Parameters);
//Algorithm is live, not backtesting:
algorithm.SetLiveMode(true);
//Initialize the algorithm's starting date
algorithm.SetDateTime(DateTime.UtcNow);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
if (liveJob.Brokerage != "PaperBrokerage")
{
//Zero the CashBook - we'll populate directly from brokerage
foreach (var kvp in algorithm.Portfolio.CashBook)
{
kvp.Value.SetAmount(0);
}
}
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
});
if (!initializeComplete)
{
AddInitializationError("Initialization timed out.");
return(false);
}
// let the world know what we're doing since logging in can take a minute
resultHandler.SendStatusUpdate(AlgorithmStatus.LoggingIn, "Logging into brokerage...");
brokerage.Message += brokerageOnMessage;
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
Log.Trace("BrokerageSetupHandler.Setup(): Connecting to brokerage...");
try
{
// this can fail for various reasons, such as already being logged in somewhere else
brokerage.Connect();
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError(string.Format("Error connecting to brokerage: {0}. " +
"This may be caused by incorrect login credentials or an unsupported account type.", err.Message));
return(false);
}
if (!brokerage.IsConnected)
{
// if we're reporting that we're not connected, bail
AddInitializationError("Unable to connect to brokerage.");
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching cash balance from brokerage...");
try
{
// set the algorithm's cash balance for each currency
var cashBalance = brokerage.GetCashBalance();
foreach (var cash in cashBalance)
{
Log.Trace("BrokerageSetupHandler.Setup(): Setting " + cash.Symbol + " cash to " + cash.Amount);
algorithm.Portfolio.SetCash(cash.Symbol, cash.Amount, cash.ConversionRate);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting cash balance from brokerage: " + err.Message);
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching open orders from brokerage...");
try
{
// populate the algorithm with the account's outstanding orders
var openOrders = brokerage.GetOpenOrders();
foreach (var order in openOrders)
{
// be sure to assign order IDs such that we increment from the SecurityTransactionManager to avoid ID collisions
Log.Trace("BrokerageSetupHandler.Setup(): Has open order: " + order.Symbol.ToString() + " - " + order.Quantity);
order.Id = algorithm.Transactions.GetIncrementOrderId();
transactionHandler.Orders.AddOrUpdate(order.Id, order, (i, o) => order);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting open orders from brokerage: " + err.Message);
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching holdings from brokerage...");
try
{
// populate the algorithm with the account's current holdings
var holdings = brokerage.GetAccountHoldings();
var supportedSecurityTypes = new HashSet <SecurityType> {
SecurityType.Equity, SecurityType.Forex
};
var minResolution = new Lazy <Resolution>(() => algorithm.Securities.Select(x => x.Value.Resolution).DefaultIfEmpty(Resolution.Second).Min());
foreach (var holding in holdings)
{
Log.Trace("BrokerageSetupHandler.Setup(): Has existing holding: " + holding);
// verify existing holding security type
if (!supportedSecurityTypes.Contains(holding.Type))
{
Log.Error("BrokerageSetupHandler.Setup(): Unsupported security type: " + holding.Type + "-" + holding.Symbol.Value);
AddInitializationError("Found unsupported security type in existing brokerage holdings: " + holding.Type + ". " +
"QuantConnect currently supports the following security types: " + string.Join(",", supportedSecurityTypes));
// keep aggregating these errors
continue;
}
if (!algorithm.Portfolio.ContainsKey(holding.Symbol))
{
Log.Trace("BrokerageSetupHandler.Setup(): Adding unrequested security: " + holding.Symbol.ToString());
// for items not directly requested set leverage to 1 and at the min resolution
algorithm.AddSecurity(holding.Type, holding.Symbol.Value, minResolution.Value, null, true, 1.0m, false);
}
algorithm.Portfolio[holding.Symbol].SetHoldings(holding.AveragePrice, (int)holding.Quantity);
algorithm.Securities[holding.Symbol].SetMarketPrice(new TradeBar
{
Time = DateTime.Now,
Open = holding.MarketPrice,
High = holding.MarketPrice,
Low = holding.MarketPrice,
Close = holding.MarketPrice,
Volume = 0,
Symbol = holding.Symbol,
DataType = MarketDataType.TradeBar
});
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting account holdings from brokerage: " + err.Message);
return(false);
}
//Set the starting portfolio value for the strategy to calculate performance:
StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
StartingDate = DateTime.Now;
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
finally
{
if (brokerage != null)
{
brokerage.Message -= brokerageOnMessage;
}
}
return(Errors.Count == 0);
}
private void LaunchLean()
{
Config.Set("environment", "backtesting");
string algorithm = "EMATest";
Config.Set("algorithm-type-name", algorithm);
//string datapath = Config.Get("data-folder");
_jobQueue = new JobQueue();
_notify = new Messaging();
_api = new Api();
_resultshandler = new OptimizationResultHandler();
//_resultshandler = new ConsoleResultHandler();
_dataFeed = new FileSystemDataFeed();
_setup = new ConsoleSetupHandler();
_realTime = new BacktestingRealTimeHandler();
_historyProvider = new SubscriptionDataReaderHistoryProvider();
_transactions = new BacktestingTransactionHandler();
Log.LogHandler = (ILogHandler)new FileLogHandler();
Log.DebuggingEnabled = false;
Log.DebuggingLevel = 1;
var systemHandlers = new LeanEngineSystemHandlers(_jobQueue, _api, _notify);
systemHandlers.Initialize();
var algorithmHandlers = new LeanEngineAlgorithmHandlers(_resultshandler, _setup, _dataFeed, _transactions, _realTime, _historyProvider);
string algorithmPath;
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out algorithmPath);
try
{
var _engine = new Engine(systemHandlers, algorithmHandlers, Config.GetBool("live-mode"));
_engine.Run(job, algorithmPath);
}
finally
{
//Delete the message from the job queue:
//systemHandlers.JobQueue.AcknowledgeJob(job);
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
// clean up resources
systemHandlers.Dispose();
algorithmHandlers.Dispose();
Log.LogHandler.Dispose();
}
}
/// <summary>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="packet">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler"></param>
/// <param name="api"></param>
/// <param name="dataFeed"></param>
/// <param name="setupHandler"></param>
/// <param name="transactionHandler"></param>
public void Initialize(AlgorithmNodePacket packet, IMessagingHandler messagingHandler, IApi api, IDataFeed dataFeed, ISetupHandler setupHandler, ITransactionHandler transactionHandler)
{
// we expect one of two types here, the backtest node packet or the live node packet
var job = packet as BacktestNodePacket;
if (job != null)
{
_algorithmNode = new BacktestConsoleStatusHandler(job);
}
else
{
var live = packet as LiveNodePacket;
if (live == null)
{
throw new ArgumentException("Unexpected AlgorithmNodeType: " + packet.GetType().Name);
}
_algorithmNode = new LiveConsoleStatusHandler(live);
}
_resamplePeriod = _algorithmNode.ComputeSampleEquityPeriod();
var time = DateTime.Now.ToString("yyyy-MM-dd-HH-mm");
_chartDirectory = Path.Combine("../../../Charts/", packet.AlgorithmId, time);
if (Directory.Exists(_chartDirectory))
{
foreach (var file in Directory.EnumerateFiles(_chartDirectory, "*.csv", SearchOption.AllDirectories))
{
File.Delete(file);
}
Directory.Delete(_chartDirectory, true);
}
Directory.CreateDirectory(_chartDirectory);
_messagingHandler = messagingHandler;
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="feed">Datafeed object</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="setup">Setup handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <remarks>Modify with caution</remarks>
public static void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, ITransactionHandler transactions, IResultHandler results, ISetupHandler setup, IRealTimeHandler realtime)
{
//Initialize:
var backwardsCompatibilityMode = false;
var tradebarsType = typeof(TradeBars);
var ticksType = typeof(Ticks);
var startingPerformance = setup.StartingCapital;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary <Type, MethodInvoker>();
//Initialize Properties:
_frontier = setup.StartingDate;
_runtimeError = null;
_algorithmId = job.AlgorithmId;
_algorithmState = AlgorithmStatus.Running;
_previousTime = setup.StartingDate.Date;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
//Algorithm 1.0 Data Accessors.
//If the users defined these methods, add them in manually. This allows keeping backwards compatibility to algorithm 1.0.
var oldTradeBarsMethodInfo = (algorithm.GetType()).GetMethod("OnTradeBar", new[] { typeof(Dictionary <string, TradeBar>) });
var oldTicksMethodInfo = (algorithm.GetType()).GetMethod("OnTick", new[] { typeof(Dictionary <string, List <Tick> >) });
//Algorithm 2.0 Data Generics Accessors.
//New hidden access to tradebars with custom type.
var newTradeBarsMethodInfo = (algorithm.GetType()).GetMethod("OnData", new[] { tradebarsType });
var newTicksMethodInfo = (algorithm.GetType()).GetMethod("OnData", new[] { ticksType });
if (newTradeBarsMethodInfo == null && newTicksMethodInfo == null)
{
backwardsCompatibilityMode = true;
if (oldTradeBarsMethodInfo != null)
{
methodInvokers.Add(tradebarsType, oldTradeBarsMethodInfo.DelegateForCallMethod());
}
if (oldTradeBarsMethodInfo != null)
{
methodInvokers.Add(ticksType, oldTicksMethodInfo.DelegateForCallMethod());
}
}
else
{
backwardsCompatibilityMode = false;
if (newTradeBarsMethodInfo != null)
{
methodInvokers.Add(tradebarsType, newTradeBarsMethodInfo.DelegateForCallMethod());
}
if (newTicksMethodInfo != null)
{
methodInvokers.Add(ticksType, newTicksMethodInfo.DelegateForCallMethod());
}
}
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in feed.Subscriptions)
{
//If type is a tradebar, combine tradebars and ticks into unified array:
if (config.Type.Name != "TradeBar" && config.Type.Name != "Tick")
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//Is we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type))
{
continue;
}
//If we couldnt find the event handler, let the user know we can't fire that event.
if (genericMethod == null)
{
_runtimeError = new Exception("Data event handler not found, please create a function matching this template: public void OnData(" + config.Type.Name + " data) { }");
_algorithmState = AlgorithmStatus.RuntimeError;
return;
}
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Debug("AlgorithmManager.Run(): Algorithm initialized, launching time loop.");
foreach (var newData in DataStream.GetData(feed, setup.StartingDate))
{
//Check this backtest is still running:
if (_algorithmState != AlgorithmStatus.Running)
{
break;
}
//Go over each time stamp we've collected, pass it into the algorithm in order:
foreach (var time in newData.Keys)
{
//Set the time frontier:
_frontier = time;
//Execute with TimeLimit Monitor:
if (Isolator.IsCancellationRequested)
{
return;
}
//Refresh the realtime event monitor:
realtime.SetTime(time);
//Fire EOD if the time packet we just processed is greater
if (backtestMode && _previousTime.Date != time.Date)
{
//Sample the portfolio value over time for chart.
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
if (startingPerformance == 0)
{
results.SamplePerformance(_previousTime.Date, 0);
}
else
{
results.SamplePerformance(_previousTime.Date, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPerformance) * 100 / startingPerformance, 10));
}
startingPerformance = algorithm.Portfolio.TotalPortfolioValue;
}
//Check if the user's signalled Quit: loop over data until day changes.
if (algorithm.GetQuit())
{
_algorithmState = AlgorithmStatus.Quit;
break;
}
//Pass in the new time first:
algorithm.SetDateTime(time);
//Trigger the data events: Invoke the types we have data for:
var oldBars = new Dictionary <string, TradeBar>();
var oldTicks = new Dictionary <string, List <Tick> >();
var newBars = new TradeBars(time);
var newTicks = new Ticks(time);
//Invoke all non-tradebars, non-ticks methods:
// --> i == Subscription Configuration Index, so we don't need to compare types.
foreach (var i in newData[time].Keys)
{
//Data point and config of this point:
var dataPoints = newData[time][i];
var config = feed.Subscriptions[i];
//Create TradeBars Unified Data --> OR --> invoke generic data event. One loop.
foreach (var dataPoint in dataPoints)
{
//Update the securities properties: first before calling user code to avoid issues with data
algorithm.Securities.Update(time, dataPoint);
//Update registered consolidators for this symbol index
for (var j = 0; j < config.Consolidators.Count; j++)
{
config.Consolidators[j].Update(dataPoint);
}
switch (config.Type.Name)
{
case "TradeBar":
var bar = dataPoint as TradeBar;
try
{
if (bar != null)
{
if (backwardsCompatibilityMode)
{
if (!oldBars.ContainsKey(bar.Symbol))
{
oldBars.Add(bar.Symbol, bar);
}
}
else
{
if (!newBars.ContainsKey(bar.Symbol))
{
newBars.Add(bar.Symbol, bar);
}
}
}
}
catch (Exception err)
{
Log.Error(time.ToLongTimeString() + " >> " + bar.Time.ToLongTimeString() + " >> " + bar.Symbol + " >> " + bar.Value.ToString("C"));
Log.Error("AlgorithmManager.Run(): Failed to add TradeBar (" + bar.Symbol + ") Time: (" + time.ToLongTimeString() + ") Count:(" + newBars.Count + ") " + err.Message);
}
break;
case "Tick":
var tick = dataPoint as Tick;
if (tick != null)
{
if (backwardsCompatibilityMode)
{
if (!oldTicks.ContainsKey(tick.Symbol))
{
oldTicks.Add(tick.Symbol, new List <Tick>());
}
oldTicks[tick.Symbol].Add(tick);
}
else
{
if (!newTicks.ContainsKey(tick.Symbol))
{
newTicks.Add(tick.Symbol, new List <Tick>());
}
newTicks[tick.Symbol].Add(tick);
}
}
break;
default:
//Send data into the generic algorithm event handlers
try
{
methodInvokers[config.Type](algorithm, dataPoint);
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
break;
}
}
}
//After we've fired all other events in this second, fire the pricing events:
if (backwardsCompatibilityMode)
{
//Log.Debug("AlgorithmManager.Run(): Invoking v1.0 Event Handlers...");
try
{
if (oldTradeBarsMethodInfo != null && oldBars.Count > 0)
{
methodInvokers[tradebarsType](algorithm, oldBars);
}
if (oldTicksMethodInfo != null && oldTicks.Count > 0)
{
methodInvokers[ticksType](algorithm, oldTicks);
}
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Backwards Compatibility Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
else
{
//Log.Debug("AlgorithmManager.Run(): Invoking v2.0 Event Handlers...");
try
{
if (newTradeBarsMethodInfo != null && newBars.Count > 0)
{
methodInvokers[tradebarsType](algorithm, newBars);
}
if (newTicksMethodInfo != null && newTicks.Count > 0)
{
methodInvokers[ticksType](algorithm, newTicks);
}
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
//Save the previous time for the sample calculations
_previousTime = time;
} // End of Time Loop
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
} // End of ForEach DataStream
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
_runtimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
_algorithmState = AlgorithmStatus.RuntimeError;
return;
}
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
//Liquidate Holdings for Calculations:
if (_algorithmState == AlgorithmStatus.Liquidated || !Engine.LiveMode)
{
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithmState == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithmState == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Completed);
//Take final samples:
results.SampleRange(algorithm.GetChartUpdates());
results.SampleEquity(_frontier, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
results.SamplePerformance(_frontier, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPerformance) * 100 / startingPerformance, 10));
} // End of Run();
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Primary Analysis Thread:
/// </summary>
public static void Main(string[] args)
{
//Initialize:
var algorithmPath = "";
string mode = "RELEASE";
AlgorithmNodePacket job = null;
var algorithm = default(IAlgorithm);
var startTime = DateTime.Now;
Log.LogHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
#if DEBUG
mode = "DEBUG";
#endif
//Name thread for the profiler:
Thread.CurrentThread.Name = "Algorithm Analysis Thread";
Log.Trace("Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v" + Constants.Version + " Mode: " + mode);
Log.Trace("Engine.Main(): Started " + DateTime.Now.ToShortTimeString());
Log.Trace("Engine.Main(): Memory " + OS.ApplicationMemoryUsed + "Mb-App " + +OS.TotalPhysicalMemoryUsed + "Mb-Used " + OS.TotalPhysicalMemory + "Mb-Total");
//Import external libraries specific to physical server location (cloud/local)
try
{
// grab the right export based on configuration
Api = Composer.Instance.GetExportedValueByTypeName<IApi>(Config.Get("api-handler"));
Notify = Composer.Instance.GetExportedValueByTypeName<IMessagingHandler>(Config.Get("messaging-handler"));
JobQueue = Composer.Instance.GetExportedValueByTypeName<IJobQueueHandler>(Config.Get("job-queue-handler"));
}
catch (CompositionException compositionException)
{ Log.Error("Engine.Main(): Failed to load library: " + compositionException);
}
//Setup packeting, queue and controls system: These don't do much locally.
Api.Initialize();
Notify.Initialize();
JobQueue.Initialize();
//Start monitoring the backtest active status:
var statusPingThread = new Thread(StateCheck.Ping.Run);
statusPingThread.Start();
try
{
//Reset algo manager internal variables preparing for a new algorithm.
AlgorithmManager.ResetManager();
//Reset thread holders.
var initializeComplete = false;
Thread threadFeed = null;
Thread threadTransactions = null;
Thread threadResults = null;
Thread threadRealTime = null;
do
{
//-> Pull job from QuantConnect job queue, or, pull local build:
job = JobQueue.NextJob(out algorithmPath); // Blocking.
// if the job version doesn't match this instance version then we can't process it
// we also don't want to reprocess redelivered live jobs
if (job.Version != Constants.Version || (LiveMode && job.Redelivered))
{
Log.Error("Engine.Run(): Job Version: " + job.Version + " Deployed Version: " + Constants.Version);
//Tiny chance there was an uncontrolled collapse of a server, resulting in an old user task circulating.
//In this event kill the old algorithm and leave a message so the user can later review.
JobQueue.AcknowledgeJob(job);
Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, _collapseMessage);
Notify.SetChannel(job.Channel);
Notify.RuntimeError(job.AlgorithmId, _collapseMessage);
job = null;
}
} while (job == null);
//-> Initialize messaging system
Notify.SetChannel(job.Channel);
//-> Create SetupHandler to configure internal algorithm state:
SetupHandler = GetSetupHandler(job.SetupEndpoint);
//-> Set the result handler type for this algorithm job, and launch the associated result thread.
ResultHandler = GetResultHandler(job);
threadResults = new Thread(ResultHandler.Run, 0) {Name = "Result Thread"};
threadResults.Start();
try
{
// Save algorithm to cache, load algorithm instance:
algorithm = SetupHandler.CreateAlgorithmInstance(algorithmPath);
//Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
initializeComplete = SetupHandler.Setup(algorithm, out _brokerage, job);
//If there are any reasons it failed, pass these back to the IDE.
if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || SetupHandler.Errors.Count > 0)
{
initializeComplete = false;
//Get all the error messages: internal in algorithm and external in setup handler.
var errorMessage = String.Join(",", algorithm.ErrorMessages);
errorMessage += String.Join(",", SetupHandler.Errors);
ResultHandler.RuntimeError(errorMessage);
Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError);
}
}
catch (Exception err)
{
var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err.StackTrace;
ResultHandler.RuntimeError(runtimeMessage, err.StackTrace);
Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, runtimeMessage);
}
//-> Using the job + initialization: load the designated handlers:
if (initializeComplete)
{
//-> Reset the backtest stopwatch; we're now running the algorithm.
startTime = DateTime.Now;
//Set algorithm as locked; set it to live mode if we're trading live, and set it to locked for no further updates.
algorithm.SetAlgorithmId(job.AlgorithmId);
algorithm.SetLiveMode(LiveMode);
algorithm.SetLocked();
//Load the associated handlers for data, transaction and realtime events:
ResultHandler.SetAlgorithm(algorithm);
DataFeed = GetDataFeedHandler(algorithm, job);
TransactionHandler = GetTransactionHandler(algorithm, _brokerage, ResultHandler, job);
RealTimeHandler = GetRealTimeHandler(algorithm, _brokerage, DataFeed, ResultHandler, job);
//Set the error handlers for the brokerage asynchronous errors.
SetupHandler.SetupErrorHandler(ResultHandler, _brokerage);
//Send status to user the algorithm is now executing.
ResultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Running);
//Launch the data, transaction and realtime handlers into dedicated threads
threadFeed = new Thread(DataFeed.Run) {Name = "DataFeed Thread"};
threadTransactions = new Thread(TransactionHandler.Run) {Name = "Transaction Thread"};
threadRealTime = new Thread(RealTimeHandler.Run) {Name = "RealTime Thread"};
//Launch the data feed, result sending, and transaction models/handlers in separate threads.
threadFeed.Start(); // Data feed pushing data packets into thread bridge;
threadTransactions.Start(); // Transaction modeller scanning new order requests
threadRealTime.Start(); // RealTime scan time for time based events:
// Result manager scanning message queue: (started earlier)
ResultHandler.DebugMessage(string.Format("Launching analysis for {0} with LEAN Engine v{1}", job.AlgorithmId, Constants.Version));
try
{
// Execute the Algorithm Code:
var complete = Isolator.ExecuteWithTimeLimit(SetupHandler.MaximumRuntime, AlgorithmManager.TimeLoopWithinLimits, () =>
{
try
{
//Run Algorithm Job:
// -> Using this Data Feed,
// -> Send Orders to this TransactionHandler,
// -> Send Results to ResultHandler.
AlgorithmManager.Run(job, algorithm, DataFeed, TransactionHandler, ResultHandler, SetupHandler, RealTimeHandler);
}
catch (Exception err)
{
//Debugging at this level is difficult, stack trace needed.
Log.Error("Engine.Run", err);
}
Log.Trace("Engine.Run(): Exiting Algorithm Manager");
}, job.UserPlan == UserPlan.Free ? 1024 : MaximumRamAllocation);
if (!complete)
{
Log.Error("Engine.Main(): Failed to complete in time: " + SetupHandler.MaximumRuntime.ToString("F"));
throw new Exception("Failed to complete algorithm within " + SetupHandler.MaximumRuntime.ToString("F") + " seconds. Please make it run faster.");
}
// Algorithm runtime error:
if (algorithm.RunTimeError != null)
{
throw algorithm.RunTimeError;
}
}
catch (Exception err)
{
//Error running the user algorithm: purge datafeed, send error messages, set algorithm status to failed.
Log.Error("Engine.Run(): Breaking out of parent try-catch: " + err.Message + " " + err.StackTrace);
if (DataFeed != null) DataFeed.Exit();
if (ResultHandler != null)
{
var message = "Runtime Error: " + err.Message;
Log.Trace("Engine.Run(): Sending runtime error to user...");
ResultHandler.LogMessage(message);
ResultHandler.RuntimeError(message, err.StackTrace);
Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, message + " Stack Trace: " + err.StackTrace);
}
}
//Send result data back: this entire code block could be rewritten.
// todo: - Split up statistics class, its enormous.
// todo: - Make a dedicated Statistics.Benchmark class.
// todo: - Move all creation and transmission of statistics out of primary engine loop.
// todo: - Statistics.Generate(algorithm, resulthandler, transactionhandler);
try
{
var charts = new Dictionary<string, Chart>(ResultHandler.Charts);
var orders = new Dictionary<int, Order>(algorithm.Transactions.Orders);
var holdings = new Dictionary<string, Holding>();
var statistics = new Dictionary<string, string>();
var banner = new Dictionary<string, string>();
try
{
//Generates error when things don't exist (no charting logged, runtime errors in main algo execution)
const string strategyEquityKey = "Strategy Equity";
const string equityKey = "Equity";
const string dailyPerformanceKey = "Daily Performance";
// make sure we've taken samples for these series before just blindly requesting them
if (charts.ContainsKey(strategyEquityKey) &&
charts[strategyEquityKey].Series.ContainsKey(equityKey) &&
charts[strategyEquityKey].Series.ContainsKey(dailyPerformanceKey))
{
var equity = charts[strategyEquityKey].Series[equityKey].Values;
var performance = charts[strategyEquityKey].Series[dailyPerformanceKey].Values;
var profitLoss =
new SortedDictionary<DateTime, decimal>(algorithm.Transactions.TransactionRecord);
statistics = Statistics.Statistics.Generate(equity, profitLoss, performance,
SetupHandler.StartingPortfolioValue, algorithm.Portfolio.TotalFees, 252);
}
}
catch (Exception err)
{
Log.Error("Algorithm.Node.Engine(): Error generating statistics packet: " + err.Message);
}
//Diagnostics Completed, Send Result Packet:
var totalSeconds = (DateTime.Now - startTime).TotalSeconds;
ResultHandler.DebugMessage(string.Format("Algorithm Id:({0}) completed in {1} seconds at {2}k data points per second. Processing total of {3} data points.",
job.AlgorithmId, totalSeconds.ToString("F2"), ((AlgorithmManager.DataPoints / (double)1000) / totalSeconds).ToString("F0"), AlgorithmManager.DataPoints.ToString("N0")));
ResultHandler.SendFinalResult(job, orders, algorithm.Transactions.TransactionRecord, holdings, statistics, banner);
}
catch (Exception err)
{
Log.Error("Engine.Main(): Error sending analysis result: " + err.Message + " ST >> " + err.StackTrace);
}
//Before we return, send terminate commands to close up the threads
TransactionHandler.Exit();
DataFeed.Exit();
RealTimeHandler.Exit();
}
//Close result handler:
ResultHandler.Exit();
StateCheck.Ping.Exit();
//Wait for the threads to complete:
var ts = Stopwatch.StartNew();
while ((ResultHandler.IsActive || (TransactionHandler != null && TransactionHandler.IsActive) || (DataFeed != null && DataFeed.IsActive)) && ts.ElapsedMilliseconds < 30 * 1000)
{
Thread.Sleep(100); Log.Trace("Waiting for threads to exit...");
}
//Terminate threads still in active state.
if (threadFeed != null && threadFeed.IsAlive) threadFeed.Abort();
if (threadTransactions != null && threadTransactions.IsAlive) threadTransactions.Abort();
if (threadResults != null && threadResults.IsAlive) threadResults.Abort();
if (statusPingThread != null && statusPingThread.IsAlive) statusPingThread.Abort();
if (_brokerage != null)
{
_brokerage.Disconnect();
}
if (SetupHandler != null)
{
SetupHandler.Dispose();
}
Log.Trace("Engine.Main(): Analysis Completed and Results Posted.");
}
catch (Exception err)
{
Log.Error("Engine.Main(): Error running algorithm: " + err.Message + " >> " + err.StackTrace);
}
finally
{
//No matter what for live mode; make sure we've set algorithm status in the API for "not running" conditions:
if (LiveMode && AlgorithmManager.State != AlgorithmStatus.Running && AlgorithmManager.State != AlgorithmStatus.RuntimeError)
Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmManager.State);
//Delete the message from the job queue:
JobQueue.AcknowledgeJob(job);
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
//Attempt to clean up ram usage:
GC.Collect();
}
//Final disposals.
Api.Dispose();
// Make the console window pause so we can read log output before exiting and killing the application completely
if (IsLocal)
{
Log.Trace("Engine.Main(): Analysis Complete. Press any key to continue.");
Console.Read();
}
Log.LogHandler.Dispose();
}
private void LaunchLean()
{
Config.Set ("environment", "backtesting");
string algorithm = "EMATest";
Config.Set("algorithm-type-name", algorithm);
_jobQueue = new JobQueue ();
_notify = new Messaging ();
_api = new Api();
_resultshandler = new DesktopResultHandler ();
_dataFeed = new FileSystemDataFeed ();
_setup = new ConsoleSetupHandler ();
_realTime = new BacktestingRealTimeHandler ();
_historyProvider = new SubscriptionDataReaderHistoryProvider ();
_transactions = new BacktestingTransactionHandler ();
var systemHandlers = new LeanEngineSystemHandlers (_jobQueue, _api, _notify);
systemHandlers.Initialize ();
// var algorithmHandlers = new LeanEngineAlgorithmHandlers (_resultshandler, _setup, _dataFeed, _transactions, _realTime, _historyProvider);
Log.LogHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
LeanEngineAlgorithmHandlers leanEngineAlgorithmHandlers;
try
{
leanEngineAlgorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
_resultshandler = leanEngineAlgorithmHandlers.Results;
}
catch (CompositionException compositionException)
{
Log.Error("Engine.Main(): Failed to load library: " + compositionException);
throw;
}
string algorithmPath;
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out algorithmPath);
try
{
var _engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, Config.GetBool("live-mode"));
_engine.Run(job, algorithmPath);
}
finally
{
//Delete the message from the job queue:
//systemHandlers.JobQueue.AcknowledgeJob(job);
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
Log.LogHandler.Dispose();
}
}
/// <summary>
/// Primary entry point to setup a new algorithm
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">New brokerage output instance</param>
/// <param name="job">Algorithm job task</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket job, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
_algorithm = algorithm;
// verify we were given the correct job packet type
var liveJob = job as LiveNodePacket;
if (liveJob == null)
{
AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
return false;
}
// verify the brokerage was specified
if (string.IsNullOrWhiteSpace(liveJob.Brokerage))
{
AddInitializationError("A brokerage must be specified");
return false;
}
// attach to the message event to relay brokerage specific initialization messages
EventHandler<BrokerageMessageEvent> brokerageOnMessage = (sender, args) =>
{
if (args.Type == BrokerageMessageType.Error)
{
AddInitializationError(string.Format("Brokerage Error Code: {0} - {1}", args.Code, args.Message));
}
};
try
{
Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");
resultHandler.SendStatusUpdate(AlgorithmStatus.Initializing, "Initializing algorithm...");
//Execute the initialize code:
var controls = job.Controls;
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(300), () =>
{
try
{
//Set the default brokerage model before initialize
algorithm.SetBrokerageModel(_factory.BrokerageModel);
//Set our parameters
algorithm.SetParameters(job.Parameters);
//Algorithm is live, not backtesting:
algorithm.SetLiveMode(true);
//Initialize the algorithm's starting date
algorithm.SetDateTime(DateTime.UtcNow);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
if (liveJob.Brokerage != "PaperBrokerage")
{
//Zero the CashBook - we'll populate directly from brokerage
foreach (var kvp in algorithm.Portfolio.CashBook)
{
kvp.Value.SetAmount(0);
}
}
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
});
if (!initializeComplete)
{
AddInitializationError("Initialization timed out.");
return false;
}
// let the world know what we're doing since logging in can take a minute
resultHandler.SendStatusUpdate(AlgorithmStatus.LoggingIn, "Logging into brokerage...");
brokerage.Message += brokerageOnMessage;
algorithm.Transactions.SetOrderProcessor(transactionHandler);
Log.Trace("BrokerageSetupHandler.Setup(): Connecting to brokerage...");
try
{
// this can fail for various reasons, such as already being logged in somewhere else
brokerage.Connect();
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError(string.Format("Error connecting to brokerage: {0}. " +
"This may be caused by incorrect login credentials or an unsupported account type.", err.Message));
return false;
}
if (!brokerage.IsConnected)
{
// if we're reporting that we're not connected, bail
AddInitializationError("Unable to connect to brokerage.");
return false;
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching cash balance from brokerage...");
try
{
// set the algorithm's cash balance for each currency
var cashBalance = brokerage.GetCashBalance();
foreach (var cash in cashBalance)
{
Log.Trace("BrokerageSetupHandler.Setup(): Setting " + cash.Symbol + " cash to " + cash.Amount);
algorithm.Portfolio.SetCash(cash.Symbol, cash.Amount, cash.ConversionRate);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting cash balance from brokerage: " + err.Message);
return false;
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching open orders from brokerage...");
try
{
// populate the algorithm with the account's outstanding orders
var openOrders = brokerage.GetOpenOrders();
foreach (var order in openOrders)
{
// be sure to assign order IDs such that we increment from the SecurityTransactionManager to avoid ID collisions
Log.Trace("BrokerageSetupHandler.Setup(): Has open order: " + order.Symbol.ToString() + " - " + order.Quantity);
order.Id = algorithm.Transactions.GetIncrementOrderId();
transactionHandler.Orders.AddOrUpdate(order.Id, order, (i, o) => order);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting open orders from brokerage: " + err.Message);
return false;
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching holdings from brokerage...");
try
{
// populate the algorithm with the account's current holdings
var holdings = brokerage.GetAccountHoldings();
var supportedSecurityTypes = new HashSet<SecurityType> { SecurityType.Equity, SecurityType.Forex, SecurityType.Cfd };
var minResolution = new Lazy<Resolution>(() => algorithm.Securities.Select(x => x.Value.Resolution).DefaultIfEmpty(Resolution.Second).Min());
foreach (var holding in holdings)
{
Log.Trace("BrokerageSetupHandler.Setup(): Has existing holding: " + holding);
// verify existing holding security type
if (!supportedSecurityTypes.Contains(holding.Type))
{
Log.Error("BrokerageSetupHandler.Setup(): Unsupported security type: " + holding.Type + "-" + holding.Symbol.Value);
AddInitializationError("Found unsupported security type in existing brokerage holdings: " + holding.Type + ". " +
"QuantConnect currently supports the following security types: " + string.Join(",", supportedSecurityTypes));
// keep aggregating these errors
continue;
}
if (!algorithm.Portfolio.ContainsKey(holding.Symbol))
{
Log.Trace("BrokerageSetupHandler.Setup(): Adding unrequested security: " + holding.Symbol.ToString());
// for items not directly requested set leverage to 1 and at the min resolution
algorithm.AddSecurity(holding.Type, holding.Symbol.Value, minResolution.Value, null, true, 1.0m, false);
}
algorithm.Portfolio[holding.Symbol].SetHoldings(holding.AveragePrice, (int) holding.Quantity);
algorithm.Securities[holding.Symbol].SetMarketPrice(new TradeBar
{
Time = DateTime.Now,
Open = holding.MarketPrice,
High = holding.MarketPrice,
Low = holding.MarketPrice,
Close = holding.MarketPrice,
Volume = 0,
Symbol = holding.Symbol,
DataType = MarketDataType.TradeBar
});
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting account holdings from brokerage: " + err.Message);
return false;
}
algorithm.PostInitialize();
//Set the starting portfolio value for the strategy to calculate performance:
StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
StartingDate = DateTime.Now;
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
finally
{
if (brokerage != null)
{
brokerage.Message -= brokerageOnMessage;
}
}
return Errors.Count == 0;
}
/// <summary>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="job">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler"></param>
/// <param name="api"></param>
/// <param name="dataFeed"></param>
/// <param name="setupHandler"></param>
/// <param name="transactionHandler"></param>
public void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, IDataFeed dataFeed, ISetupHandler setupHandler, ITransactionHandler transactionHandler)
{
//Redirect the log messages here:
_job = job;
var desktopLogging = new FunctionalLogHandler(DebugMessage, DebugMessage, ErrorMessage);
Log.LogHandler = new CompositeLogHandler(new[] { desktopLogging, Log.LogHandler });
}
/// <summary>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="job">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler">The handler responsible for communicating messages to listeners</param>
/// <param name="api">The api instance used for handling logs</param>
/// <param name="dataFeed"></param>
/// <param name="setupHandler"></param>
/// <param name="transactionHandler"></param>
public void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, IDataFeed dataFeed, ISetupHandler setupHandler, ITransactionHandler transactionHandler)
{
_api = api;
_messagingHandler = messagingHandler;
_transactionHandler = transactionHandler;
_job = (BacktestNodePacket)job;
if (_job == null) throw new Exception("BacktestingResultHandler.Constructor(): Submitted Job type invalid.");
_compileId = _job.CompileId;
_backtestId = _job.BacktestId;
//Get the resample period:
var totalMinutes = (_job.PeriodFinish - _job.PeriodStart).TotalMinutes;
var resampleMinutes = (totalMinutes < (_minimumSamplePeriod * _samples)) ? _minimumSamplePeriod : (totalMinutes / _samples); // Space out the sampling every
_resamplePeriod = TimeSpan.FromMinutes(resampleMinutes);
Log.Trace("BacktestingResultHandler(): Sample Period Set: " + resampleMinutes.ToString("00.00"));
}
public void PublicGetOpenOrders(IAlgorithm algorithm, IResultHandler resultHandler, ITransactionHandler transactionHandler, IBrokerage brokerage)
{
GetOpenOrders(algorithm, resultHandler, transactionHandler, brokerage, _supportedSecurityTypes, Resolution.Second);
}
internal void Subscribe(ITransactionHandler handler)
{
if (!this.registeredHandlers.Contains(handler))
{
this.registeredHandlers.Add(handler);
}
}
public void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, IDataFeed dataFeed, ISetupHandler setupHandler, ITransactionHandler transactionHandler)
{
_shadow.Initialize(job, messagingHandler, api, dataFeed, setupHandler, transactionHandler);
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="feed">Datafeed object</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="setup">Setup handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <remarks>Modify with caution</remarks>
public static void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, ITransactionHandler transactions, IResultHandler results, ISetupHandler setup, IRealTimeHandler realtime)
{
//Initialize:
var backwardsCompatibilityMode = false;
var tradebarsType = typeof (TradeBars);
var ticksType = typeof(Ticks);
var startingPerformance = setup.StartingCapital;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary<Type, MethodInvoker>();
//Initialize Properties:
_frontier = setup.StartingDate;
_runtimeError = null;
_algorithmId = job.AlgorithmId;
_algorithmState = AlgorithmStatus.Running;
_previousTime = setup.StartingDate.Date;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
//Algorithm 1.0 Data Accessors.
//If the users defined these methods, add them in manually. This allows keeping backwards compatibility to algorithm 1.0.
var oldTradeBarsMethodInfo = (algorithm.GetType()).GetMethod("OnTradeBar", new[] { typeof(Dictionary<string, TradeBar>) });
var oldTicksMethodInfo = (algorithm.GetType()).GetMethod("OnTick", new[] { typeof(Dictionary<string, List<Tick>>) });
//Algorithm 2.0 Data Generics Accessors.
//New hidden access to tradebars with custom type.
var newTradeBarsMethodInfo = (algorithm.GetType()).GetMethod("OnData", new[] { tradebarsType });
var newTicksMethodInfo = (algorithm.GetType()).GetMethod("OnData", new[] { ticksType });
if (newTradeBarsMethodInfo == null && newTicksMethodInfo == null)
{
backwardsCompatibilityMode = true;
if (oldTradeBarsMethodInfo != null) methodInvokers.Add(tradebarsType, oldTradeBarsMethodInfo.DelegateForCallMethod());
if (oldTradeBarsMethodInfo != null) methodInvokers.Add(ticksType, oldTicksMethodInfo.DelegateForCallMethod());
}
else
{
backwardsCompatibilityMode = false;
if (newTradeBarsMethodInfo != null) methodInvokers.Add(tradebarsType, newTradeBarsMethodInfo.DelegateForCallMethod());
if (newTicksMethodInfo != null) methodInvokers.Add(ticksType, newTicksMethodInfo.DelegateForCallMethod());
}
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in feed.Subscriptions)
{
//If type is a tradebar, combine tradebars and ticks into unified array:
if (config.Type.Name != "TradeBar" && config.Type.Name != "Tick")
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//Is we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type)) continue;
//If we couldnt find the event handler, let the user know we can't fire that event.
if (genericMethod == null)
{
_runtimeError = new Exception("Data event handler not found, please create a function matching this template: public void OnData(" + config.Type.Name + " data) { }");
_algorithmState = AlgorithmStatus.RuntimeError;
return;
}
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Debug("AlgorithmManager.Run(): Algorithm initialized, launching time loop.");
foreach (var newData in DataStream.GetData(feed, setup.StartingDate))
{
//Check this backtest is still running:
if (_algorithmState != AlgorithmStatus.Running) break;
//Go over each time stamp we've collected, pass it into the algorithm in order:
foreach (var time in newData.Keys)
{
//Set the time frontier:
_frontier = time;
//Execute with TimeLimit Monitor:
if (Isolator.IsCancellationRequested) return;
//Refresh the realtime event monitor:
realtime.SetTime(time);
//Fire EOD if the time packet we just processed is greater
if (backtestMode && _previousTime.Date != time.Date)
{
//Sample the portfolio value over time for chart.
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
if (startingPerformance == 0)
{
results.SamplePerformance(_previousTime.Date, 0);
}
else
{
results.SamplePerformance(_previousTime.Date, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPerformance) * 100 / startingPerformance, 10));
}
startingPerformance = algorithm.Portfolio.TotalPortfolioValue;
}
//Check if the user's signalled Quit: loop over data until day changes.
if (algorithm.GetQuit())
{
_algorithmState = AlgorithmStatus.Quit;
break;
}
//Pass in the new time first:
algorithm.SetDateTime(time);
//Trigger the data events: Invoke the types we have data for:
var oldBars = new Dictionary<string, TradeBar>();
var oldTicks = new Dictionary<string, List<Tick>>();
var newBars = new TradeBars(time);
var newTicks = new Ticks(time);
//Invoke all non-tradebars, non-ticks methods:
// --> i == Subscription Configuration Index, so we don't need to compare types.
foreach (var i in newData[time].Keys)
{
//Data point and config of this point:
var dataPoints = newData[time][i];
var config = feed.Subscriptions[i];
//Create TradeBars Unified Data --> OR --> invoke generic data event. One loop.
foreach (var dataPoint in dataPoints)
{
//Update the securities properties: first before calling user code to avoid issues with data
algorithm.Securities.Update(time, dataPoint);
//Update registered consolidators for this symbol index
for (var j = 0; j < config.Consolidators.Count; j++)
{
config.Consolidators[j].Update(dataPoint);
}
switch (config.Type.Name)
{
case "TradeBar":
var bar = dataPoint as TradeBar;
try
{
if (bar != null)
{
if (backwardsCompatibilityMode)
{
if (!oldBars.ContainsKey(bar.Symbol)) oldBars.Add(bar.Symbol, bar);
}
else
{
if (!newBars.ContainsKey(bar.Symbol)) newBars.Add(bar.Symbol, bar);
}
}
}
catch (Exception err)
{
Log.Error(time.ToLongTimeString() + " >> " + bar.Time.ToLongTimeString() + " >> " + bar.Symbol + " >> " + bar.Value.ToString("C"));
Log.Error("AlgorithmManager.Run(): Failed to add TradeBar (" + bar.Symbol + ") Time: (" + time.ToLongTimeString() + ") Count:(" + newBars.Count + ") " + err.Message);
}
break;
case "Tick":
var tick = dataPoint as Tick;
if (tick != null)
{
if (backwardsCompatibilityMode) {
if (!oldTicks.ContainsKey(tick.Symbol)) { oldTicks.Add(tick.Symbol, new List<Tick>()); }
oldTicks[tick.Symbol].Add(tick);
}
else
{
if (!newTicks.ContainsKey(tick.Symbol)) { newTicks.Add(tick.Symbol, new List<Tick>()); }
newTicks[tick.Symbol].Add(tick);
}
}
break;
default:
//Send data into the generic algorithm event handlers
try
{
methodInvokers[config.Type](algorithm, dataPoint);
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
break;
}
}
}
//After we've fired all other events in this second, fire the pricing events:
if (backwardsCompatibilityMode)
{
//Log.Debug("AlgorithmManager.Run(): Invoking v1.0 Event Handlers...");
try
{
if (oldTradeBarsMethodInfo != null && oldBars.Count > 0) methodInvokers[tradebarsType](algorithm, oldBars);
if (oldTicksMethodInfo != null && oldTicks.Count > 0) methodInvokers[ticksType](algorithm, oldTicks);
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: Backwards Compatibility Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
else
{
//Log.Debug("AlgorithmManager.Run(): Invoking v2.0 Event Handlers...");
try
{
if (newTradeBarsMethodInfo != null && newBars.Count > 0) methodInvokers[tradebarsType](algorithm, newBars);
if (newTicksMethodInfo != null && newTicks.Count > 0) methodInvokers[ticksType](algorithm, newTicks);
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
//Save the previous time for the sample calculations
_previousTime = time;
} // End of Time Loop
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
} // End of ForEach DataStream
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
_algorithmState = AlgorithmStatus.RuntimeError;
_runtimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
Log.Debug("AlgorithmManager.OnEndOfAlgorithm(): " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents(forceProcess: true);
//Liquidate Holdings for Calculations:
if (_algorithmState == AlgorithmStatus.Liquidated || !Engine.LiveMode)
{
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.LogMessage("Algorithm Liquidated");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithmState == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.LogMessage("Algorithm Stopped");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithmState == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Completed);
//Take final samples:
results.SampleRange(algorithm.GetChartUpdates());
results.SampleEquity(_frontier, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
results.SamplePerformance(_frontier, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPerformance) * 100 / startingPerformance, 10));
}
protected AbstractManager(ITransactionHandler transactionHandler, IMapper mapper)
{
TransactionHandler = transactionHandler;
Mapper = mapper;
}
/// <summary>
/// Setup the algorithm cash, dates and data subscriptions as desired.
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">Brokerage instance</param>
/// <param name="baseJob">Algorithm job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <returns>Boolean true on successfully initializing the algorithm</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler)
{
var job = baseJob as BacktestNodePacket;
if (job == null)
{
throw new ArgumentException("Expected BacktestNodePacket but received " + baseJob.GetType().Name);
}
Log.Trace(string.Format("BacktestingSetupHandler.Setup(): Setting up job: Plan: {0}, UID: {1}, PID: {2}, Version: {3}, Source: {4}", job.UserPlan, job.UserId, job.ProjectId, job.Version, job.RequestSource));
brokerage = null;
if (algorithm == null)
{
Errors.Add("Could not create instance of algorithm");
return(false);
}
//Make sure the algorithm start date ok.
if (job.PeriodStart == default(DateTime))
{
Errors.Add("Algorithm start date was never set");
return(false);
}
//Execute the initialize code:
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(10), () =>
{
try
{
//Algorithm is backtesting, not live:
algorithm.SetLiveMode(false);
//Set the backtest level asset ram allocation limits
algorithm.SetAssetLimits(500, 100, 30);
//Set the algorithm time before we even initialize:
algorithm.SetDateTime(job.PeriodStart);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
}
catch (Exception err)
{
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
});
//Before continuing, detect if this is ready:
if (!initializeComplete)
{
return(false);
}
// this needs to be done after algorithm initialization
brokerage = new BacktestingBrokerage(algorithm);
SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
//Calculate the max runtime for the strategy
_maxRuntime = GetMaximumRuntime(job.PeriodStart, job.PeriodFinish, algorithm.SubscriptionManager.Count);
//Get starting capital:
_startingCaptial = algorithm.Portfolio.Cash;
//Max Orders: 10k per backtest:
if (job.UserPlan == UserPlan.Free)
{
_maxOrders = 10000;
}
else
{
_maxOrders = int.MaxValue;
_maxRuntime += _maxRuntime;
}
//Set back to the algorithm,
algorithm.SetMaximumOrders(_maxOrders);
//Starting date of the algorithm:
_startingDate = job.PeriodStart;
//Put into log for debugging:
Log.Trace("SetUp Backtesting: User: "******" ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
Log.Trace("Dates: Start: " + job.PeriodStart.ToShortDateString() + " End: " + job.PeriodFinish.ToShortDateString() + " Cash: " + _startingCaptial.ToString("C"));
if (Errors.Count > 0)
{
initializeComplete = false;
}
return(initializeComplete);
}
/// <summary>
/// Primary entry point to setup a new algorithm
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">New brokerage output instance</param>
/// <param name="job">Algorithm job task</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket job, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
_algorithm = algorithm;
brokerage = default(IBrokerage);
// verify we were given the correct job packet type
var liveJob = job as LiveNodePacket;
if (liveJob == null)
{
AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
return false;
}
// verify the brokerage was specified
if (string.IsNullOrWhiteSpace(liveJob.Brokerage))
{
AddInitializationError("A brokerage must be specified");
return false;
}
// attach to the message event to relay brokerage specific initialization messages
EventHandler<BrokerageMessageEvent> brokerageOnMessage = (sender, args) =>
{
if (args.Type == BrokerageMessageType.Error)
{
AddInitializationError(string.Format("Brokerage Error Code: {0} - {1}", args.Code, args.Message));
}
};
try
{
Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");
//Execute the initialize code:
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(10), () =>
{
try
{
//Set the live trading level asset/ram allocation limits.
//Protects algorithm from linux killing the job by excess memory:
switch (job.ServerType)
{
case ServerType.Server1024:
algorithm.SetAssetLimits(100, 20, 10);
break;
case ServerType.Server2048:
algorithm.SetAssetLimits(400, 50, 30);
break;
default: //512
algorithm.SetAssetLimits(50, 25, 15);
break;
}
//Algorithm is live, not backtesting:
algorithm.SetLiveMode(true);
//Initialize the algorithm's starting date
algorithm.SetDateTime(DateTime.UtcNow);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
});
if (!initializeComplete)
{
AddInitializationError("Initialization timed out.");
return false;
}
try
{
// find the correct brokerage factory based on the specified brokerage in the live job packet
_factory = Composer.Instance.Single<IBrokerageFactory>(factory => factory.BrokerageType.MatchesTypeName(liveJob.Brokerage));
}
catch (Exception err)
{
Log.Error("BrokerageSetupHandler.Setup(): Error resolving brokerage factory for " + liveJob.Brokerage + ". " + err.Message);
AddInitializationError("Unable to locate factory for brokerage: " + liveJob.Brokerage);
}
// let the world know what we're doing since logging in can take a minute
resultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.LoggingIn, "Logging into brokerage...");
// initialize the correct brokerage using the resolved factory
brokerage = _factory.CreateBrokerage(liveJob, algorithm);
if (brokerage == null)
{
AddInitializationError("Failed to create instance of brokerage: " + liveJob.Brokerage);
return false;
}
brokerage.Message += brokerageOnMessage;
// set the transaction models base on the brokerage properties
SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
try
{
// this can fail for various reasons, such as already being logged in somewhere else
brokerage.Connect();
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error connecting to brokerage: " + err.Message);
return false;
}
if (!brokerage.IsConnected)
{
// if we're reporting that we're not connected, bail
AddInitializationError("Unable to connect to brokerage.");
return false;
}
try
{
// set the algorithm's cash balance for each currency
var cashBalance = brokerage.GetCashBalance();
foreach (var cash in cashBalance)
{
Log.Trace("BrokerageSetupHandler.Setup(): Setting " + cash.Symbol + " cash to " + cash.Quantity);
algorithm.SetCash(cash.Symbol, cash.Quantity, cash.ConversionRate);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting cash balance from brokerage: " + err.Message);
return false;
}
try
{
// populate the algorithm with the account's outstanding orders
var openOrders = brokerage.GetOpenOrders();
foreach (var order in openOrders)
{
// be sure to assign order IDs such that we increment from the SecurityTransactionManager to avoid ID collisions
Log.Trace("BrokerageSetupHandler.Setup(): Has open order: " + order.Symbol + " - " + order.Quantity);
order.Id = algorithm.Transactions.GetIncrementOrderId();
transactionHandler.Orders.AddOrUpdate(order.Id, order, (i, o) => order);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting open orders from brokerage: " + err.Message);
return false;
}
try
{
// populate the algorithm with the account's current holdings
var holdings = brokerage.GetAccountHoldings();
var minResolution = new Lazy<Resolution>(() => algorithm.Securities.Min(x => x.Value.Resolution));
foreach (var holding in holdings)
{
Log.Trace("BrokerageSetupHandler.Setup(): Has existing holding: " + holding);
if (!algorithm.Portfolio.ContainsKey(holding.Symbol))
{
Log.Trace("BrokerageSetupHandler.Setup(): Adding unrequested security: " + holding.Symbol);
// for items not directly requested set leverage to 1 and at the min resolution
algorithm.AddSecurity(holding.Type, holding.Symbol, minResolution.Value, null, true, 1.0m, false);
}
algorithm.Portfolio[holding.Symbol].SetHoldings(holding.AveragePrice, (int) holding.Quantity);
algorithm.Securities[holding.Symbol].SetMarketPrice(new TradeBar
{
Time = DateTime.Now,
Open = holding.MarketPrice,
High = holding.MarketPrice,
Low = holding.MarketPrice,
Close = holding.MarketPrice,
Volume = 0,
Symbol = holding.Symbol,
DataType = MarketDataType.TradeBar
});
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting account holdings from brokerage: " + err.Message);
return false;
}
// call this after we've initialized everything from the brokerage since we may have added some holdings/currencies
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
//Set the starting portfolio value for the strategy to calculate performance:
StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
StartingDate = DateTime.Now;
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
finally
{
if (brokerage != null)
{
brokerage.Message -= brokerageOnMessage;
}
}
return Errors.Count == 0;
}
/// <summary>
/// Setup the algorithm cash, dates and data subscriptions as desired.
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">Brokerage instance</param>
/// <param name="baseJob">Algorithm job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>Boolean true on successfully initializing the algorithm</returns>
public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
var job = baseJob as BacktestNodePacket;
if (job == null)
{
throw new ArgumentException("Expected BacktestNodePacket but received " + baseJob.GetType().Name);
}
Log.Trace(string.Format("BacktestingSetupHandler.Setup(): Setting up job: Plan: {0}, UID: {1}, PID: {2}, Version: {3}, Source: {4}", job.UserPlan, job.UserId, job.ProjectId, job.Version, job.RequestSource));
if (algorithm == null)
{
Errors.Add("Could not create instance of algorithm");
return false;
}
//Make sure the algorithm start date ok.
if (job.PeriodStart == default(DateTime))
{
Errors.Add("Algorithm start date was never set");
return false;
}
var controls = job.Controls;
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromMinutes(5), () =>
{
try
{
//Set our parameters
algorithm.SetParameters(job.Parameters);
//Algorithm is backtesting, not live:
algorithm.SetLiveMode(false);
//Set the algorithm time before we even initialize:
algorithm.SetDateTime(job.PeriodStart.ConvertToUtc(algorithm.TimeZone));
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
}
catch (Exception err)
{
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
});
//Before continuing, detect if this is ready:
if (!initializeComplete) return false;
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
//Calculate the max runtime for the strategy
_maxRuntime = GetMaximumRuntime(job.PeriodStart, job.PeriodFinish, algorithm.SubscriptionManager.Count);
//Get starting capital:
_startingCaptial = algorithm.Portfolio.Cash;
//Max Orders: 10k per backtest:
if (job.UserPlan == UserPlan.Free)
{
_maxOrders = 10000;
}
else
{
_maxOrders = int.MaxValue;
_maxRuntime += _maxRuntime;
}
//Set back to the algorithm,
algorithm.SetMaximumOrders(_maxOrders);
//Starting date of the algorithm:
_startingDate = job.PeriodStart;
//Put into log for debugging:
Log.Trace("SetUp Backtesting: User: "******" ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
Log.Trace("Dates: Start: " + job.PeriodStart.ToShortDateString() + " End: " + job.PeriodFinish.ToShortDateString() + " Cash: " + _startingCaptial.ToString("C"));
if (Errors.Count > 0)
{
initializeComplete = false;
}
return initializeComplete;
}
/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configuration transaction handler</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler)
{
var initializeComplete = false;
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Set the limits on the algorithm assets (for local no limits)
algorithm.SetAssetLimits(999, 999, 999);
algorithm.SetMaximumOrders(int.MaxValue);
//Setup Base Algorithm:
algorithm.Initialize();
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
else
{
throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
// we need to do this after algorithm initialization
brokerage = new BacktestingBrokerage(algorithm);
// set the transaction models base on the requested brokerage properties
SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
return initializeComplete;
}
/// <summary>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="job">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler">The handler responsible for communicating messages to listeners</param>
/// <param name="api">The api instance used for handling logs</param>
/// <param name="setupHandler"></param>
/// <param name="transactionHandler"></param>
public virtual void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, ISetupHandler setupHandler, ITransactionHandler transactionHandler)
{
_algorithmId = job.AlgorithmId;
_projectId = job.ProjectId;
_messagingHandler = messagingHandler;
_transactionHandler = transactionHandler;
_setupHandler = setupHandler;
_job = (BacktestNodePacket)job;
if (_job == null)
{
throw new Exception("BacktestingResultHandler.Constructor(): Submitted Job type invalid.");
}
_compileId = _job.CompileId;
_backtestId = _job.BacktestId;
}
/// <summary>
/// Get the open orders from a brokerage. Adds <see cref="Orders.Order"/> and <see cref="Orders.OrderTicket"/> to the transaction handler
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <param name="brokerage">Brokerage output instance</param>
/// <param name="supportedSecurityTypes">The list of supported security types</param>
/// <param name="minResolution">The resolution for the security to add, if required</param>
protected void GetOpenOrders(IAlgorithm algorithm, IResultHandler resultHandler, ITransactionHandler transactionHandler, IBrokerage brokerage,
HashSet <SecurityType> supportedSecurityTypes, Resolution minResolution)
{
// populate the algorithm with the account's outstanding orders
var openOrders = brokerage.GetOpenOrders();
// add options first to ensure raw data normalization mode is set on the equity underlyings
foreach (var order in openOrders.OrderByDescending(x => x.SecurityType))
{
// be sure to assign order IDs such that we increment from the SecurityTransactionManager to avoid ID collisions
Log.Trace("BrokerageSetupHandler.Setup(): Has open order: " + order.Symbol.Value + " - " + order.Quantity);
resultHandler.DebugMessage($"BrokerageSetupHandler.Setup(): Open order detected. Creating order tickets for open order {order.Symbol.Value} with quantity {order.Quantity}. Beware that this order ticket may not accurately reflect the quantity of the order if the open order is partially filled.");
order.Id = algorithm.Transactions.GetIncrementOrderId();
transactionHandler.AddOpenOrder(order, order.ToOrderTicket(algorithm.Transactions));
// verify existing holding security type
if (!supportedSecurityTypes.Contains(order.SecurityType))
{
Log.Error("BrokerageSetupHandler.Setup(): Unsupported security type: " + order.SecurityType + "-" + order.Symbol.Value);
AddInitializationError("Found unsupported security type in existing brokerage open orders: " + order.SecurityType + ". " +
"QuantConnect currently supports the following security types: " + string.Join(",", supportedSecurityTypes));
// keep aggregating these errors
continue;
}
AddUnrequestedSecurity(algorithm, order.Symbol, minResolution);
}
}
/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configuration transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
var initializeComplete = false;
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Set our default markets
algorithm.SetDefaultMarkets(BacktestingBrokerageFactory.DefaultMarketMap.ToDictionary());
algorithm.SetMaximumOrders(int.MaxValue);
// set our parameters
algorithm.SetParameters(baseJob.Parameters);
algorithm.SetLiveMode(false);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Setup Base Algorithm:
algorithm.Initialize();
//Set the time frontier of the algorithm
algorithm.SetDateTime(algorithm.StartDate.ConvertToUtc(algorithm.TimeZone));
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
else
{
throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
}
}
catch (Exception err)
{
Log.Error(err);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
// set the transaction and settlement models based on the brokerage properties
algorithm.UpdateModels(algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
return initializeComplete;
}
/// <summary>
/// Primary entry point to setup a new algorithm
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">New brokerage output instance</param>
/// <param name="job">Algorithm job task</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket job, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
_algorithm = algorithm;
brokerage = default(IBrokerage);
// verify we were given the correct job packet type
var liveJob = job as LiveNodePacket;
if (liveJob == null)
{
AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
return(false);
}
// verify the brokerage was specified
if (string.IsNullOrWhiteSpace(liveJob.Brokerage))
{
AddInitializationError("A brokerage must be specified");
return(false);
}
// attach to the message event to relay brokerage specific initialization messages
EventHandler <BrokerageMessageEvent> brokerageOnMessage = (sender, args) =>
{
if (args.Type == BrokerageMessageType.Error)
{
AddInitializationError(string.Format("Brokerage Error Code: {0} - {1}", args.Code, args.Message));
}
};
try
{
Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");
resultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Initializing, "Initializing algorithm...");
//Execute the initialize code:
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(300), () =>
{
try
{
//Set the live trading level asset/ram allocation limits.
//Protects algorithm from linux killing the job by excess memory:
switch (job.ServerType)
{
case ServerType.Server1024:
algorithm.SetAssetLimits(100, 20, 10);
break;
case ServerType.Server2048:
algorithm.SetAssetLimits(400, 50, 30);
break;
default: //512
algorithm.SetAssetLimits(50, 25, 15);
break;
}
//Algorithm is live, not backtesting:
algorithm.SetLiveMode(true);
//Initialize the algorithm's starting date
algorithm.SetDateTime(DateTime.UtcNow);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
});
if (!initializeComplete)
{
AddInitializationError("Initialization timed out.");
return(false);
}
try
{
// find the correct brokerage factory based on the specified brokerage in the live job packet
_factory = Composer.Instance.Single <IBrokerageFactory>(factory => factory.BrokerageType.MatchesTypeName(liveJob.Brokerage));
}
catch (Exception err)
{
Log.Error("BrokerageSetupHandler.Setup(): Error resolving brokerage factory for " + liveJob.Brokerage + ". " + err.Message);
AddInitializationError("Unable to locate factory for brokerage: " + liveJob.Brokerage);
}
// let the world know what we're doing since logging in can take a minute
resultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.LoggingIn, "Logging into brokerage...");
// initialize the correct brokerage using the resolved factory
brokerage = _factory.CreateBrokerage(liveJob, algorithm);
if (brokerage == null)
{
AddInitializationError("Failed to create instance of brokerage: " + liveJob.Brokerage);
return(false);
}
brokerage.Message += brokerageOnMessage;
// set the transaction and settlement models based on the brokerage properties
SetupHandler.UpdateModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
Log.Trace("BrokerageSetupHandler.Setup(): Connecting to brokerage...");
try
{
// this can fail for various reasons, such as already being logged in somewhere else
brokerage.Connect();
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError(string.Format("Error connecting to brokerage: {0}. " +
"This may be caused by incorrect login credentials or an unsupported account type.", err.Message));
return(false);
}
if (!brokerage.IsConnected)
{
// if we're reporting that we're not connected, bail
AddInitializationError("Unable to connect to brokerage.");
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching cash balance from brokerage...");
try
{
// set the algorithm's cash balance for each currency
var cashBalance = brokerage.GetCashBalance();
foreach (var cash in cashBalance)
{
Log.Trace("BrokerageSetupHandler.Setup(): Setting " + cash.Symbol + " cash to " + cash.Quantity);
algorithm.SetCash(cash.Symbol, cash.Quantity, cash.ConversionRate);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting cash balance from brokerage: " + err.Message);
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching open orders from brokerage...");
try
{
// populate the algorithm with the account's outstanding orders
var openOrders = brokerage.GetOpenOrders();
foreach (var order in openOrders)
{
// be sure to assign order IDs such that we increment from the SecurityTransactionManager to avoid ID collisions
Log.Trace("BrokerageSetupHandler.Setup(): Has open order: " + order.Symbol + " - " + order.Quantity);
order.Id = algorithm.Transactions.GetIncrementOrderId();
transactionHandler.Orders.AddOrUpdate(order.Id, order, (i, o) => order);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting open orders from brokerage: " + err.Message);
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching holdings from brokerage...");
try
{
// populate the algorithm with the account's current holdings
var holdings = brokerage.GetAccountHoldings();
var supportedSecurityTypes = new HashSet <SecurityType> {
SecurityType.Equity, SecurityType.Forex
};
var minResolution = new Lazy <Resolution>(() => algorithm.Securities.Min(x => x.Value.Resolution));
foreach (var holding in holdings)
{
var symbol = new Symbol(holding.Symbol);
Log.Trace("BrokerageSetupHandler.Setup(): Has existing holding: " + holding);
// verify existing holding security type
if (!supportedSecurityTypes.Contains(holding.Type))
{
Log.Error("BrokerageSetupHandler.Setup(): Unsupported security type: " + holding.Type + "-" + holding.Symbol.ToUpper());
AddInitializationError("Found unsupported security type in existing brokerage holdings: " + holding.Type + ". " +
"QuantConnect currently supports the following security types: " + string.Join(",", supportedSecurityTypes));
// keep aggregating these errors
continue;
}
if (!algorithm.Portfolio.ContainsKey(symbol))
{
Log.Trace("BrokerageSetupHandler.Setup(): Adding unrequested security: " + holding.Symbol);
// for items not directly requested set leverage to 1 and at the min resolution
algorithm.AddSecurity(holding.Type, symbol, minResolution.Value, null, true, 1.0m, false);
}
algorithm.Portfolio[symbol].SetHoldings(holding.AveragePrice, (int)holding.Quantity);
algorithm.Securities[symbol].SetMarketPrice(new TradeBar
{
Time = DateTime.Now,
Open = holding.MarketPrice,
High = holding.MarketPrice,
Low = holding.MarketPrice,
Close = holding.MarketPrice,
Volume = 0,
Symbol = symbol,
DataType = MarketDataType.TradeBar
});
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting account holdings from brokerage: " + err.Message);
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Ensuring currency data feeds present...");
// call this after we've initialized everything from the brokerage since we may have added some holdings/currencies
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
//Set the starting portfolio value for the strategy to calculate performance:
StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
StartingDate = DateTime.Now;
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
finally
{
if (brokerage != null)
{
brokerage.Message -= brokerageOnMessage;
}
}
return(Errors.Count == 0);
}
public void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, ITransactionHandler transactionHandler)
{
_shadow.Initialize(job, messagingHandler, api, transactionHandler);
}
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="feed">Datafeed object</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <param name="commands">The command queue for relaying extenal commands to the algorithm</param>
/// <param name="token">Cancellation token</param>
/// <remarks>Modify with caution</remarks>
public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, ICommandQueueHandler commands, CancellationToken token)
{
//Initialize:
_dataPointCount = 0;
_algorithm = algorithm;
var portfolioValue = algorithm.Portfolio.TotalPortfolioValue;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary <Type, MethodInvoker>();
var marginCallFrequency = TimeSpan.FromMinutes(5);
var nextMarginCallTime = DateTime.MinValue;
var settlementScanFrequency = TimeSpan.FromMinutes(30);
var nextSettlementScanTime = DateTime.MinValue;
var delistingTickets = new List <OrderTicket>();
//Initialize Properties:
_algorithmId = job.AlgorithmId;
_algorithm.Status = AlgorithmStatus.Running;
_previousTime = algorithm.StartDate.Date;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
// Algorithm 2.0 data accessors
var hasOnDataTradeBars = AddMethodInvoker <TradeBars>(algorithm, methodInvokers);
var hasOnDataTicks = AddMethodInvoker <Ticks>(algorithm, methodInvokers);
// dividend and split events
var hasOnDataDividends = AddMethodInvoker <Dividends>(algorithm, methodInvokers);
var hasOnDataSplits = AddMethodInvoker <Splits>(algorithm, methodInvokers);
var hasOnDataDelistings = AddMethodInvoker <Delistings>(algorithm, methodInvokers);
var hasOnDataSymbolChangedEvents = AddMethodInvoker <SymbolChangedEvents>(algorithm, methodInvokers);
// Algorithm 3.0 data accessors
var hasOnDataSlice = algorithm.GetType().GetMethods()
.Where(x => x.Name == "OnData" && x.GetParameters().Length == 1 && x.GetParameters()[0].ParameterType == typeof(Slice))
.FirstOrDefault(x => x.DeclaringType == algorithm.GetType()) != null;
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in algorithm.SubscriptionManager.Subscriptions)
{
//If type is a tradebar, combine tradebars and ticks into unified array:
if (config.Type.Name != "TradeBar" && config.Type.Name != "Tick" && !config.IsInternalFeed)
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//If we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type))
{
continue;
}
//If we couldnt find the event handler, let the user know we can't fire that event.
if (genericMethod == null && !hasOnDataSlice)
{
algorithm.RunTimeError = new Exception("Data event handler not found, please create a function matching this template: public void OnData(" + config.Type.Name + " data) { }");
_algorithm.Status = AlgorithmStatus.RuntimeError;
return;
}
if (genericMethod != null)
{
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
}
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Trace("AlgorithmManager.Run(): Begin DataStream - Start: " + algorithm.StartDate + " Stop: " + algorithm.EndDate);
foreach (var timeSlice in Stream(job, algorithm, feed, results, token))
{
// reset our timer on each loop
_currentTimeStepTime = DateTime.UtcNow;
//Check this backtest is still running:
if (_algorithm.Status != AlgorithmStatus.Running)
{
Log.Error(string.Format("AlgorithmManager.Run(): Algorithm state changed to {0} at {1}", _algorithm.Status, timeSlice.Time));
break;
}
//Execute with TimeLimit Monitor:
if (token.IsCancellationRequested)
{
Log.Error("AlgorithmManager.Run(): CancellationRequestion at " + timeSlice.Time);
return;
}
// before doing anything, check our command queue
foreach (var command in commands.GetCommands())
{
if (command == null)
{
continue;
}
Log.Trace("AlgorithmManager.Run(): Executing {0}", command);
CommandResultPacket result;
try
{
result = command.Run(algorithm);
}
catch (Exception err)
{
Log.Error(err);
algorithm.Error(string.Format("{0} Error: {1}", command.GetType().Name, err.Message));
result = new CommandResultPacket(command, false);
}
// send the result of the command off to the result handler
results.Messages.Enqueue(result);
}
var time = timeSlice.Time;
_dataPointCount += timeSlice.DataPointCount;
//If we're in backtest mode we need to capture the daily performance. We do this here directly
//before updating the algorithm state with the new data from this time step, otherwise we'll
//produce incorrect samples (they'll take into account this time step's new price values)
if (backtestMode)
{
//On day-change sample equity and daily performance for statistics calculations
if (_previousTime.Date != time.Date)
{
SampleBenchmark(algorithm, results, _previousTime.Date);
//Sample the portfolio value over time for chart.
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
//Check for divide by zero
if (portfolioValue == 0m)
{
results.SamplePerformance(_previousTime.Date, 0);
}
else
{
results.SamplePerformance(_previousTime.Date, Math.Round((algorithm.Portfolio.TotalPortfolioValue - portfolioValue) * 100 / portfolioValue, 10));
}
portfolioValue = algorithm.Portfolio.TotalPortfolioValue;
}
}
else
{
// live mode continously sample the benchmark
SampleBenchmark(algorithm, results, time);
}
//Update algorithm state after capturing performance from previous day
//Set the algorithm and real time handler's time
algorithm.SetDateTime(time);
if (timeSlice.Slice.SymbolChangedEvents.Count != 0)
{
if (hasOnDataSymbolChangedEvents)
{
methodInvokers[typeof(SymbolChangedEvents)](algorithm, timeSlice.Slice.SymbolChangedEvents);
}
foreach (var symbol in timeSlice.Slice.SymbolChangedEvents.Keys)
{
// cancel all orders for the old symbol
foreach (var ticket in transactions.GetOrderTickets(x => x.Status.IsOpen() && x.Symbol == symbol))
{
ticket.Cancel("Open order cancelled on symbol changed event");
}
}
}
if (timeSlice.SecurityChanges != SecurityChanges.None)
{
foreach (var security in timeSlice.SecurityChanges.AddedSecurities)
{
if (!algorithm.Securities.ContainsKey(security.Symbol))
{
// add the new security
algorithm.Securities.Add(security);
}
}
}
//On each time step push the real time prices to the cashbook so we can have updated conversion rates
foreach (var kvp in timeSlice.CashBookUpdateData)
{
kvp.Key.Update(kvp.Value);
}
//Update the securities properties: first before calling user code to avoid issues with data
foreach (var kvp in timeSlice.SecuritiesUpdateData)
{
kvp.Key.SetMarketPrice(kvp.Value);
// Send market price updates to the TradeBuilder
if (kvp.Value != null)
{
algorithm.TradeBuilder.SetMarketPrice(kvp.Key.Symbol, kvp.Value.Price);
}
}
// fire real time events after we've updated based on the new data
realtime.SetTime(timeSlice.Time);
// process fill models on the updated data before entering algorithm, applies to all non-market orders
transactions.ProcessSynchronousEvents();
if (delistingTickets.Count != 0)
{
for (int i = 0; i < delistingTickets.Count; i++)
{
var ticket = delistingTickets[i];
if (ticket.Status == OrderStatus.Filled)
{
algorithm.Securities.Remove(ticket.Symbol);
delistingTickets.RemoveAt(i--);
Log.Trace("AlgorithmManager.Run(): Delisted Security removed: " + ticket.Symbol.ToString());
}
}
}
//Check if the user's signalled Quit: loop over data until day changes.
if (algorithm.Status == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Algorithm quit requested.");
break;
}
if (algorithm.RunTimeError != null)
{
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Trace(string.Format("AlgorithmManager.Run(): Algorithm encountered a runtime error at {0}. Error: {1}", timeSlice.Time, algorithm.RunTimeError));
break;
}
// perform margin calls, in live mode we can also use realtime to emit these
if (time >= nextMarginCallTime || (_liveMode && nextMarginCallTime > DateTime.UtcNow))
{
// determine if there are possible margin call orders to be executed
bool issueMarginCallWarning;
var marginCallOrders = algorithm.Portfolio.ScanForMarginCall(out issueMarginCallWarning);
if (marginCallOrders.Count != 0)
{
var executingMarginCall = false;
try
{
// tell the algorithm we're about to issue the margin call
algorithm.OnMarginCall(marginCallOrders);
executingMarginCall = true;
// execute the margin call orders
var executedTickets = algorithm.Portfolio.MarginCallModel.ExecuteMarginCall(marginCallOrders);
foreach (var ticket in executedTickets)
{
algorithm.Error(string.Format("{0} - Executed MarginCallOrder: {1} - Quantity: {2} @ {3}", algorithm.Time, ticket.Symbol, ticket.Quantity, ticket.AverageFillPrice));
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
var locator = executingMarginCall ? "Portfolio.MarginCallModel.ExecuteMarginCall" : "OnMarginCall";
Log.Error(string.Format("AlgorithmManager.Run(): RuntimeError: {0}: ", locator) + err);
return;
}
}
// we didn't perform a margin call, but got the warning flag back, so issue the warning to the algorithm
else if (issueMarginCallWarning)
{
try
{
algorithm.OnMarginCallWarning();
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: OnMarginCallWarning: " + err);
return;
}
}
nextMarginCallTime = time + marginCallFrequency;
}
// perform check for settlement of unsettled funds
if (time >= nextSettlementScanTime || (_liveMode && nextSettlementScanTime > DateTime.UtcNow))
{
algorithm.Portfolio.ScanForCashSettlement(algorithm.UtcTime);
nextSettlementScanTime = time + settlementScanFrequency;
}
// before we call any events, let the algorithm know about universe changes
if (timeSlice.SecurityChanges != SecurityChanges.None)
{
try
{
algorithm.OnSecuritiesChanged(timeSlice.SecurityChanges);
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: OnSecuritiesChanged event: " + err);
return;
}
}
// apply dividends
foreach (var dividend in timeSlice.Slice.Dividends.Values)
{
Log.Trace("AlgorithmManager.Run(): Applying Dividend for " + dividend.Symbol.ToString(), true);
algorithm.Portfolio.ApplyDividend(dividend);
}
// apply splits
foreach (var split in timeSlice.Slice.Splits.Values)
{
try
{
Log.Trace("AlgorithmManager.Run(): Applying Split for " + split.Symbol.ToString(), true);
algorithm.Portfolio.ApplySplit(split);
// apply the split to open orders as well in raw mode, all other modes are split adjusted
if (_liveMode || algorithm.Securities[split.Symbol].SubscriptionDataConfig.DataNormalizationMode == DataNormalizationMode.Raw)
{
// in live mode we always want to have our order match the order at the brokerage, so apply the split to the orders
var openOrders = transactions.GetOrderTickets(ticket => ticket.Status.IsOpen() && ticket.Symbol == split.Symbol);
algorithm.BrokerageModel.ApplySplit(openOrders.ToList(), split);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Split event: " + err);
return;
}
}
//Update registered consolidators for this symbol index
try
{
foreach (var kvp in timeSlice.ConsolidatorUpdateData)
{
var consolidators = kvp.Key.Consolidators;
foreach (var dataPoint in kvp.Value)
{
foreach (var consolidator in consolidators)
{
consolidator.Update(dataPoint);
}
}
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Consolidators update: " + err);
return;
}
// fire custom event handlers
foreach (var kvp in timeSlice.CustomData)
{
MethodInvoker methodInvoker;
var type = kvp.Key.SubscriptionDataConfig.Type;
if (!methodInvokers.TryGetValue(type, out methodInvoker))
{
continue;
}
try
{
foreach (var dataPoint in kvp.Value)
{
if (type.IsInstanceOfType(dataPoint))
{
methodInvoker(algorithm, dataPoint);
}
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err);
return;
}
}
try
{
// fire off the dividend and split events before pricing events
if (hasOnDataDividends && timeSlice.Slice.Dividends.Count != 0)
{
methodInvokers[typeof(Dividends)](algorithm, timeSlice.Slice.Dividends);
}
if (hasOnDataSplits && timeSlice.Slice.Splits.Count != 0)
{
methodInvokers[typeof(Splits)](algorithm, timeSlice.Slice.Splits);
}
if (hasOnDataDelistings && timeSlice.Slice.Delistings.Count != 0)
{
methodInvokers[typeof(Delistings)](algorithm, timeSlice.Slice.Delistings);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Dividends/Splits/Delistings: " + err);
return;
}
// run the delisting logic after firing delisting events
HandleDelistedSymbols(algorithm, timeSlice.Slice.Delistings, delistingTickets);
//After we've fired all other events in this second, fire the pricing events:
try
{
if (hasOnDataTradeBars && timeSlice.Slice.Bars.Count > 0)
{
methodInvokers[typeof(TradeBars)](algorithm, timeSlice.Slice.Bars);
}
if (hasOnDataTicks && timeSlice.Slice.Ticks.Count > 0)
{
methodInvokers[typeof(Ticks)](algorithm, timeSlice.Slice.Ticks);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err);
return;
}
try
{
if (timeSlice.Slice.HasData)
{
// EVENT HANDLER v3.0 -- all data in a single event
algorithm.OnData(timeSlice.Slice);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithm.Status = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Slice: " + err);
return;
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
//Save the previous time for the sample calculations
_previousTime = time;
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
} // End of ForEach feed.Bridge.GetConsumingEnumerable
// stop timing the loops
_currentTimeStepTime = DateTime.MinValue;
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
_algorithm.Status = AlgorithmStatus.RuntimeError;
algorithm.RunTimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
Log.Error("AlgorithmManager.OnEndOfAlgorithm(): " + err);
return;
}
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents(forceProcess: true);
//Liquidate Holdings for Calculations:
if (_algorithm.Status == AlgorithmStatus.Liquidated && _liveMode)
{
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.LogMessage("Algorithm Liquidated");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithm.Status == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.LogMessage("Algorithm Stopped");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithm.Status == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Completed);
//Take final samples:
results.SampleRange(algorithm.GetChartUpdates());
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
SampleBenchmark(algorithm, results, _previousTime);
results.SamplePerformance(_previousTime, Math.Round((algorithm.Portfolio.TotalPortfolioValue - portfolioValue) * 100 / portfolioValue, 10));
} // End of Run();
/// <summary>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="job">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler"></param>
/// <param name="api"></param>
/// <param name="dataFeed"></param>
/// <param name="setupHandler"></param>
/// <param name="transactionHandler"></param>
public void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, IDataFeed dataFeed, ISetupHandler setupHandler, ITransactionHandler transactionHandler)
{
_api = api;
_dataFeed = dataFeed;
_messagingHandler = messagingHandler;
_setupHandler = setupHandler;
_transactionHandler = transactionHandler;
_job = (LiveNodePacket)job;
if (_job == null) throw new Exception("LiveResultHandler.Constructor(): Submitted Job type invalid.");
_deployId = _job.DeployId;
_compileId = _job.CompileId;
}
/// <summary>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="job">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler">The handler responsible for communicating messages to listeners</param>
/// <param name="api">The api instance used for handling logs</param>
/// <param name="transactionHandler">The transaction handler used to get the algorithms <see cref="Order"/> information</param>
public virtual void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, ITransactionHandler transactionHandler)
{
MessagingHandler = messagingHandler;
TransactionHandler = transactionHandler;
CompileId = job.CompileId;
AlgorithmId = job.AlgorithmId;
ProjectId = job.ProjectId;
RamAllocation = job.RamAllocation.ToStringInvariant();
OrderEventJsonConverter = new OrderEventJsonConverter(AlgorithmId);
_updateRunner = new Thread(Run, 0)
{
IsBackground = true, Name = "Result Thread"
};
_updateRunner.Start();
}
/// <summary>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="job">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler"></param>
/// <param name="api"></param>
/// <param name="dataFeed"></param>
/// <param name="setupHandler"></param>
/// <param name="transactionHandler"></param>
public void Initialize(AlgorithmNodePacket job, IMessagingHandler messagingHandler, IApi api, IDataFeed dataFeed, ISetupHandler setupHandler, ITransactionHandler transactionHandler)
{
//Redirect the log messages here:
_job = job;
var desktopLogging = new FunctionalLogHandler(DebugMessage, DebugMessage, ErrorMessage);
Log.LogHandler = new CompositeLogHandler(new[] { desktopLogging, Log.LogHandler });
}
/// <summary>
/// Setup the algorithm cash, dates and data subscriptions as desired.
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">Brokerage instance</param>
/// <param name="baseJob">Algorithm job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>Boolean true on successfully initializing the algorithm</returns>
public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
var job = baseJob as BacktestNodePacket;
if (job == null)
{
throw new ArgumentException("Expected BacktestNodePacket but received " + baseJob.GetType().Name);
}
Log.Trace(string.Format("BacktestingSetupHandler.Setup(): Setting up job: Plan: {0}, UID: {1}, PID: {2}, Version: {3}, Source: {4}", job.UserPlan, job.UserId, job.ProjectId, job.Version, job.RequestSource));
if (algorithm == null)
{
Errors.Add("Could not create instance of algorithm");
return(false);
}
//Make sure the algorithm start date ok.
if (job.PeriodStart == default(DateTime))
{
Errors.Add("Algorithm start date was never set");
return(false);
}
var controls = job.Controls;
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromMinutes(5), () =>
{
try
{
//Set our parameters
algorithm.SetParameters(job.Parameters);
//Algorithm is backtesting, not live:
algorithm.SetLiveMode(false);
//Set the algorithm time before we even initialize:
algorithm.SetDateTime(job.PeriodStart.ConvertToUtc(algorithm.TimeZone));
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
}
catch (Exception err)
{
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
});
//Before continuing, detect if this is ready:
if (!initializeComplete)
{
return(false);
}
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
//Calculate the max runtime for the strategy
_maxRuntime = GetMaximumRuntime(job.PeriodStart, job.PeriodFinish, algorithm.SubscriptionManager.Count);
//Get starting capital:
_startingCaptial = algorithm.Portfolio.Cash;
//Max Orders: 10k per backtest:
if (job.UserPlan == UserPlan.Free)
{
_maxOrders = 10000;
}
else
{
_maxOrders = int.MaxValue;
_maxRuntime += _maxRuntime;
}
//Set back to the algorithm,
algorithm.SetMaximumOrders(_maxOrders);
//Starting date of the algorithm:
_startingDate = job.PeriodStart;
//Put into log for debugging:
Log.Trace("SetUp Backtesting: User: "******" ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
Log.Trace("Dates: Start: " + job.PeriodStart.ToShortDateString() + " End: " + job.PeriodFinish.ToShortDateString() + " Cash: " + _startingCaptial.ToString("C"));
if (Errors.Count > 0)
{
initializeComplete = false;
}
return(initializeComplete);
}
/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configuration transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
var initializeComplete = false;
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
algorithm.SetMaximumOrders(int.MaxValue);
// set our parameters
algorithm.SetParameters(baseJob.Parameters);
algorithm.SetLiveMode(false);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Setup Base Algorithm:
algorithm.Initialize();
//Set the time frontier of the algorithm
algorithm.SetDateTime(algorithm.StartDate.ConvertToUtc(algorithm.TimeZone));
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.Type = PacketType.BacktestNode;
backtestJob.UserId = !string.IsNullOrWhiteSpace(Config.Get("qc-user-id")) ? Convert.ToInt32(Config.Get("qc-user-id")) : 1001;
backtestJob.Channel = Config.Get("api-access-token");
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
else
{
throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
}
}
catch (Exception err)
{
Log.Error(err);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
return initializeComplete;
}
