/// <summary>
/// Get the setup handler for this algorithm, depending on its use case.
/// </summary>
/// <param name="setupMethod">Setup handler</param>
/// <returns>Instance of a setup handler:</returns>
private static ISetupHandler GetSetupHandler(SetupHandlerEndpoint setupMethod)
{
var sh = default(ISetupHandler);
if (IsLocal) return new ConsoleSetupHandler();
switch (setupMethod)
{
//Setup console handler:
case SetupHandlerEndpoint.Console:
sh = new ConsoleSetupHandler();
Log.Trace("Engine.GetSetupHandler(): Selected Console Algorithm Setup Handler.");
break;
//Default, backtesting result handler:
case SetupHandlerEndpoint.Backtesting:
sh = new BacktestingSetupHandler();
Log.Trace("Engine.GetSetupHandler(): Selected Backtesting Algorithm Setup Handler.");
break;
case SetupHandlerEndpoint.PaperTrading:
sh = new PaperTradingSetupHandler();
Log.Trace("Engine.GetSetupHandler(): Selected PaperTrading Algorithm Setup Handler.");
break;
}
return sh;
}
/// <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>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob)
{
var initializeComplete = false;
brokerage = new BacktestingBrokerage(algorithm);
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.SubscriptionManager, algorithm.Securities);
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Endpoints:
backtestJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
backtestJob.ResultEndpoint = ResultHandlerEndpoint.Console;
backtestJob.DataEndpoint = DataFeedEndpoint.FileSystem;
backtestJob.RealTimeEndpoint = RealTimeEndpoint.Backtesting;
backtestJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingCapital = algorithm.Portfolio.Cash;
}
else
{
var liveJob = baseJob as LiveNodePacket;
//Live Job Parameters:
liveJob.DeployId = "LOCALHOST";
liveJob.IssuedAt = DateTime.Now.Subtract(TimeSpan.FromSeconds(86399 - 60)); //For testing, first access token expires in 60 sec. refresh.
liveJob.LifeTime = TimeSpan.FromSeconds(86399);
liveJob.AccessToken = "123456";
liveJob.AccountId = "123456";
liveJob.RefreshToken = "";
liveJob.Type = PacketType.LiveNode;
//Endpoints:
liveJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
liveJob.ResultEndpoint = ResultHandlerEndpoint.LiveTrading;
liveJob.DataEndpoint = DataFeedEndpoint.LiveTrading;
liveJob.RealTimeEndpoint = RealTimeEndpoint.LiveTrading;
liveJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Call in the paper trading setup:
var setup = new PaperTradingSetupHandler();
setup.Setup(algorithm, out brokerage, baseJob);
//Live Specific Parameters:
StartingDate = DateTime.Now;
StartingCapital = algorithm.Portfolio.Cash;
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
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>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob)
{
var initializeComplete = false;
brokerage = new BacktestingBrokerage(algorithm);
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Setup Base Algorithm:
algorithm.Initialize();
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Endpoints:
backtestJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
backtestJob.ResultEndpoint = ResultHandlerEndpoint.Console;
backtestJob.DataEndpoint = DataFeedEndpoint.FileSystem;
backtestJob.RealTimeEndpoint = RealTimeEndpoint.Backtesting;
backtestJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingCapital = algorithm.Portfolio.Cash;
}
else
{
var liveJob = baseJob as LiveNodePacket;
//Live Job Parameters:
liveJob.UserId = liveJob.UserId;
liveJob.DeployId = "LOCALHOST";
liveJob.IssuedAt = DateTime.Now.Subtract(TimeSpan.FromSeconds(86399 - 60)); //For testing, first access token expires in 60 sec. refresh.
liveJob.LifeTime = TimeSpan.FromSeconds(86399);
liveJob.AccessToken = "123456";
liveJob.AccountId = 123456;
liveJob.RefreshToken = "";
liveJob.Type = PacketType.LiveNode;
//Endpoints:
liveJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
liveJob.ResultEndpoint = ResultHandlerEndpoint.LiveTrading;
bool testLiveTradingEnabled = Config.GetBool("test-live-trading-enabled", defaultValue: false);
liveJob.DataEndpoint = testLiveTradingEnabled ? DataFeedEndpoint.Test : DataFeedEndpoint.LiveTrading;
liveJob.RealTimeEndpoint = RealTimeEndpoint.LiveTrading;
liveJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Call in the paper trading setup:
var setup = new PaperTradingSetupHandler();
setup.Setup(algorithm, out brokerage, baseJob);
//Live Specific Parameters:
StartingDate = DateTime.Now;
StartingCapital = algorithm.Portfolio.Cash;
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
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>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob)
{
var initializeComplete = false;
brokerage = new BacktestingBrokerage(algorithm);
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);
//Setup Base Algorithm:
algorithm.Initialize();
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Endpoints:
backtestJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
backtestJob.ResultEndpoint = ResultHandlerEndpoint.Console;
backtestJob.DataEndpoint = DataFeedEndpoint.FileSystem;
backtestJob.RealTimeEndpoint = RealTimeEndpoint.Backtesting;
backtestJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingCapital = algorithm.Portfolio.Cash;
}
else
{
var liveJob = baseJob as LiveNodePacket;
//Live Job Parameters:
liveJob.UserId = liveJob.UserId;
liveJob.DeployId = "LOCALHOST";
liveJob.IssuedAt = DateTime.Now.Subtract(TimeSpan.FromSeconds(86399 - 60)); //For testing, first access token expires in 60 sec. refresh.
liveJob.LifeTime = TimeSpan.FromSeconds(86399);
liveJob.AccessToken = "123456";
liveJob.AccountId = 123456;
liveJob.RefreshToken = "";
liveJob.Type = PacketType.LiveNode;
//Endpoints:
liveJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
liveJob.ResultEndpoint = ResultHandlerEndpoint.LiveTrading;
bool testLiveTradingEnabled = Config.GetBool("test-live-trading-enabled", defaultValue: false);
liveJob.DataEndpoint = testLiveTradingEnabled ? DataFeedEndpoint.Test : DataFeedEndpoint.LiveTrading;
liveJob.RealTimeEndpoint = RealTimeEndpoint.LiveTrading;
liveJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Call in the paper trading setup:
var setup = new PaperTradingSetupHandler();
setup.Setup(algorithm, out brokerage, baseJob);
//Live Specific Parameters:
StartingDate = DateTime.Now;
StartingCapital = algorithm.Portfolio.Cash;
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
return initializeComplete;
}