/// <summary>
/// Initializes this alpha handler to accept insights from the specified algorithm
/// </summary>
/// <param name="job">The algorithm job</param>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="messagingHandler">Handler used for sending insights</param>
/// <param name="api">Api instance</param>
public virtual void Initialize(AlgorithmNodePacket job, IAlgorithm algorithm, IMessagingHandler messagingHandler, IApi api)
{
// initializing these properties just in case, doens't hurt to have them populated
Job = job;
Algorithm = algorithm;
MessagingHandler = messagingHandler;
_fitnessScore = new FitnessScoreManager();
_securityValuesProvider = new AlgorithmSecurityValuesProvider(algorithm);
InsightManager = CreateInsightManager();
// send scored insights to messaging handler
InsightManager.AddExtension(CreateAlphaResultPacketSender());
var statistics = new StatisticsInsightManagerExtension(algorithm);
RuntimeStatistics = statistics.Statistics;
InsightManager.AddExtension(statistics);
_charting = new ChartingInsightManagerExtension(algorithm, statistics);
InsightManager.AddExtension(_charting);
// when insight is generated, take snapshot of securities and place in queue for insight manager to process on alpha thread
algorithm.InsightsGenerated += (algo, collection) => InsightManager.Step(collection.DateTimeUtc, CreateSecurityValuesSnapshot(), collection);
}
/// <summary>
/// Initializes this alpha handler to accept insights from the specified algorithm
/// </summary>
/// <param name="job">The algorithm job</param>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="messagingHandler">Handler used for sending insights</param>
/// <param name="api">Api instance</param>
public virtual void Initialize(AlgorithmNodePacket job, IAlgorithm algorithm, IMessagingHandler messagingHandler, IApi api)
{
// initializing these properties just in case, doens't hurt to have them populated
Job = job;
Algorithm = algorithm;
_messagingHandler = messagingHandler;
_isNotFrameworkAlgorithm = !algorithm.IsFrameworkAlgorithm;
if (_isNotFrameworkAlgorithm)
{
return;
}
_securityValuesProvider = new AlgorithmSecurityValuesProvider(algorithm);
InsightManager = CreateInsightManager();
var statistics = new StatisticsInsightManagerExtension();
RuntimeStatistics = statistics.Statistics;
InsightManager.AddExtension(statistics);
_charting = new ChartingInsightManagerExtension(algorithm, statistics);
InsightManager.AddExtension(_charting);
// when insight is generated, take snapshot of securities and place in queue for insight manager to process on alpha thread
algorithm.InsightsGenerated += (algo, collection) => _insightQueue.Enqueue(new InsightQueueItem(collection.DateTimeUtc, CreateSecurityValuesSnapshot(), collection));
}
/// <summary>
/// Initializes this alpha handler to accept insights from the specified algorithm
/// </summary>
/// <param name="job">The algorithm job</param>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="messagingHandler">Handler used for sending insights</param>
/// <param name="api">Api instance</param>
public virtual void Initialize(AlgorithmNodePacket job, IAlgorithm algorithm, IMessagingHandler messagingHandler, IApi api)
{
// initializing these properties just in case, doesn't hurt to have them populated
Job = job;
Algorithm = algorithm;
MessagingHandler = messagingHandler;
_fitnessScore = new FitnessScoreManager();
_insights = new List <Insight>();
_securityValuesProvider = new AlgorithmSecurityValuesProvider(algorithm);
InsightManager = CreateInsightManager();
var statistics = new StatisticsInsightManagerExtension(algorithm);
RuntimeStatistics = statistics.Statistics;
InsightManager.AddExtension(statistics);
AddInsightManagerCustomExtensions(statistics);
// when insight is generated, take snapshot of securities and place in queue for insight manager to process on alpha thread
algorithm.InsightsGenerated += (algo, collection) =>
{
lock (_insights)
{
_insights.AddRange(collection.Insights);
}
};
}