/// <summary>
/// Get an instance of the data feed handler we're requesting for this work.
/// </summary>
/// <param name="job">Algorithm Node Packet</param>
/// <returns>Class Matching IResultHandler Inteface</returns>
private static IResultHandler GetResultHandler(AlgorithmNodePacket job)
{
var rh = default(IResultHandler);
if (IsLocal)
{
return(new ConsoleResultHandler(job));
}
switch (job.ResultEndpoint)
{
//Local backtesting and live trading result handler route messages to the local console.
case ResultHandlerEndpoint.Console:
Log.Trace("Engine.GetResultHandler(): Selected Console Output.");
rh = new ConsoleResultHandler((BacktestNodePacket)job);
break;
// Backtesting route messages to user browser.
case ResultHandlerEndpoint.Backtesting:
Log.Trace("Engine.GetResultHandler(): Selected Backtesting API Result Endpoint.");
rh = new BacktestingResultHandler((BacktestNodePacket)job);
break;
// Live trading route messages to user's browser.
case ResultHandlerEndpoint.LiveTrading:
Log.Trace("Engine.GetResultHandler(): Selected Live Trading API Result Endpoint.");
rh = new LiveTradingResultHandler((LiveNodePacket)job);
break;
}
return(rh);
}
public void AppliesDividendsOnce()
{
// init algorithm
var algorithm = new AlgorithmStub();
algorithm.SetLiveMode(true);
var dividend = new Dividend(Symbols.SPY, DateTime.UtcNow, 10m, 100m);
var feed = new TestDividendDataFeed(algorithm, dividend);
var dataManager = new DataManager(feed, new UniverseSelection(feed, algorithm), algorithm.Settings, algorithm.TimeKeeper);
algorithm.SubscriptionManager.SetDataManager(dataManager);
algorithm.AddSecurities(equities: new List <string> {
"SPY"
});
algorithm.Securities[Symbols.SPY].Holdings.SetHoldings(100m, 1);
algorithm.PostInitialize();
var initializedCash = algorithm.Portfolio.CashBook["USD"].Amount;
// init algorithm manager
var manager = new AlgorithmManager(true);
var job = new LiveNodePacket
{
UserId = 1,
ProjectId = 2,
DeployId = $"{nameof(PaperBrokerageTests)}.{nameof(AppliesDividendsOnce)}"
};
var results = new LiveTradingResultHandler();
var transactions = new BacktestingTransactionHandler();
var brokerage = new PaperBrokerage(algorithm, job);
// initialize results and transactions
results.Initialize(job, new EventMessagingHandler(), new Api.Api(), feed, new BrokerageSetupHandler(), transactions);
results.SetAlgorithm(algorithm);
transactions.Initialize(algorithm, brokerage, results);
// run algorithm manager
manager.Run(job,
algorithm,
dataManager,
transactions,
results,
new BacktestingRealTimeHandler(),
new AlgorithmManagerTests.NullLeanManager(),
new AlgorithmManagerTests.NullAlphaHandler(),
new CancellationToken()
);
var postDividendCash = algorithm.Portfolio.CashBook["USD"].Amount;
Assert.AreEqual(initializedCash + dividend.Distribution, postDividendCash);
}
public void DailySampleValueBasedOnMarketHour(bool extendedMarketHoursEnabled)
{
var referenceDate = new DateTime(2020, 11, 25);
var resultHandler = new LiveTradingResultHandler();
resultHandler.Initialize(new LiveNodePacket(),
new QuantConnect.Messaging.Messaging(),
new Api.Api(),
new BacktestingTransactionHandler());
var algo = new AlgorithmStub(createDataManager: false);
algo.SetFinishedWarmingUp();
var dataManager = new DataManagerStub(new TestDataFeed(), algo);
algo.SubscriptionManager.SetDataManager(dataManager);
var aapl = algo.AddEquity("AAPL", extendedMarketHours: extendedMarketHoursEnabled);
algo.PostInitialize();
resultHandler.SetAlgorithm(algo, 100000);
resultHandler.OnSecuritiesChanged(SecurityChangesTests.AddedNonInternal(aapl));
// Add values during market hours, should always update
algo.Portfolio.CashBook["USD"].AddAmount(1000);
algo.Portfolio.InvalidateTotalPortfolioValue();
resultHandler.Sample(referenceDate.AddHours(15));
Assert.IsTrue(resultHandler.Charts.ContainsKey("Strategy Equity"));
Assert.AreEqual(1, resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Count);
var currentEquityValue = resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Last().y;
Assert.AreEqual(101000, currentEquityValue);
// Add value to portfolio, see if portfolio updates with new sample
// will be changed to 'extendedMarketHoursEnabled' = true
algo.Portfolio.CashBook["USD"].AddAmount(10000);
algo.Portfolio.InvalidateTotalPortfolioValue();
resultHandler.Sample(referenceDate.AddHours(22));
Assert.AreEqual(2, resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Count);
currentEquityValue = resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Last().y;
Assert.AreEqual(extendedMarketHoursEnabled ? 111000 : 101000, currentEquityValue);
resultHandler.Exit();
}
public void AppliesDividendsOnce()
{
// init algorithm
var algorithm = new AlgorithmStub(new MockDataFeed());
algorithm.SetLiveMode(true);
var dividend = new Dividend(Symbols.SPY, DateTime.UtcNow, 10m, 100m);
var feed = new MockDataFeed();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataPermissionManager = new DataPermissionManager();
var dataManager = new DataManager(feed,
new UniverseSelection(
algorithm,
new SecurityService(algorithm.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algorithm, RegisteredSecurityDataTypesProvider.Null, new SecurityCacheProvider(algorithm.Portfolio)),
dataPermissionManager,
new DefaultDataProvider()),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
true,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
var synchronizer = new NullSynchronizer(algorithm, dividend);
algorithm.SubscriptionManager.SetDataManager(dataManager);
algorithm.AddSecurities(equities: new List <string> {
"SPY"
});
algorithm.Securities[Symbols.SPY].Holdings.SetHoldings(100m, 1);
algorithm.PostInitialize();
var initializedCash = algorithm.Portfolio.CashBook[Currencies.USD].Amount;
// init algorithm manager
var manager = new AlgorithmManager(true);
var job = new LiveNodePacket
{
UserId = 1,
ProjectId = 2,
DeployId = $"{nameof(PaperBrokerageTests)}.{nameof(AppliesDividendsOnce)}"
};
var results = new LiveTradingResultHandler();
var transactions = new BacktestingTransactionHandler();
var brokerage = new PaperBrokerage(algorithm, job);
// initialize results and transactions
results.Initialize(job, new EventMessagingHandler(), new Api.Api(), transactions);
results.SetAlgorithm(algorithm, algorithm.Portfolio.TotalPortfolioValue);
transactions.Initialize(algorithm, brokerage, results);
var realTime = new BacktestingRealTimeHandler();
// run algorithm manager
manager.Run(job,
algorithm,
synchronizer,
transactions,
results,
realTime,
new AlgorithmManagerTests.NullLeanManager(),
new AlgorithmManagerTests.NullAlphaHandler(),
new CancellationToken()
);
var postDividendCash = algorithm.Portfolio.CashBook[Currencies.USD].Amount;
realTime.Exit();
results.Exit();
Assert.AreEqual(initializedCash + dividend.Distribution, postDividendCash);
}
