/// DB Ping Run Method:
public static void Run()
{
//Don't run at all if local.
if (Engine.IsLocal)
{
return;
}
while (!_exitTriggered)
{
if (AlgorithmManager.AlgorithmId != "" && AlgorithmManager.QuitState == false)
{
try
{
//Get the state from the central server:
var state = Engine.Api.GetAlgorithmStatus(AlgorithmManager.AlgorithmId);
AlgorithmManager.SetStatus(state.Status);
//Set which chart the user is look at, so we can reduce excess messaging (e.g. trading 100 symbols, only send 1).
Engine.ResultHandler.SetChartSubscription(state.ChartSubscription);
Log.Debug("StateCheck.Ping.Run(): Algorithm Status: " + state.Status + " Subscription: " + state.ChartSubscription);
}
catch
{
Log.Debug("StateCheck.Run(): Error in state check.");
}
}
else
{
Log.Debug("StateCheck.Ping.Run(): Opted to not ping: " + AlgorithmManager.AlgorithmId + " " + AlgorithmManager.QuitState);
}
Thread.Sleep(1000);
}
}
/// DB Ping Run Method:
public static void Run()
{
//Don't run at all if local.
if (_local)
{
return;
}
while (!_exitTriggered)
{
if (AlgorithmManager.AlgorithmId != "" && AlgorithmManager.QuitState == false)
{
try
{
//Get the state from the central server:
var state = Controls.GetAlgorithmStatus(AlgorithmManager.AlgorithmId);
AlgorithmManager.SetStatus(state);
Log.Debug("StateCheck.Ping.Run(): Algorithm Status: " + state);
}
catch
{
Log.Debug("StateCheck.Run(): Error in state check.");
}
}
else
{
Log.Debug("StateCheck.Ping.Run(): Opted to not ping: " + AlgorithmManager.AlgorithmId + " " + AlgorithmManager.QuitState);
}
Thread.Sleep(1000);
}
}
/// DB Ping Run Method:
public static void Run()
{
while (!_exitTriggered)
{
if (AlgorithmManager.AlgorithmId != "" && AlgorithmManager.QuitState == false)
{
try
{
//Get the state from the central server:
var state = Engine.Api.GetAlgorithmStatus(AlgorithmManager.AlgorithmId);
//Set state via get/set method:
AlgorithmManager.SetStatus(state.Status);
//Set which chart the user is look at, so we can reduce excess messaging (e.g. trading 100 symbols, only send 1).
Engine.ResultHandler.SetChartSubscription(state.ChartSubscription);
}
catch (ThreadAbortException err)
{
return;
}
catch (Exception err)
{
Log.Error("StateCheck.Run(): Error in state check: " + err.Message);
}
}
Thread.Sleep(500);
}
}
public Ping(AlgorithmManager algorithmManager, IApi api, IResultHandler resultHandler)
{
_api = api;
_resultHandler = resultHandler;
_algorithmManager = algorithmManager;
_exitEvent = new ManualResetEventSlim(false);
}
public Ping(AlgorithmManager algorithmManager, IApi api, IResultHandler resultHandler)
{
_api = api;
_resultHandler = resultHandler;
_algorithmManager = algorithmManager;
_exitEvent = new ManualResetEventSlim(false);
}
/// <summary>
/// Creates an instance of the <see cref="Ping"/> class
/// </summary>
public Ping(AlgorithmManager algorithmManager, IApi api, IResultHandler resultHandler, IMessagingHandler messagingHandler, AlgorithmNodePacket job)
{
_api = api;
_job = job;
_resultHandler = resultHandler;
_messagingHandler = messagingHandler;
_algorithmManager = algorithmManager;
_exitEvent = new ManualResetEventSlim(false);
}
public Ping(AlgorithmManager algorithmManager, IApi api, IResultHandler resultHandler, IMessagingHandler messagingHandler, AlgorithmNodePacket job)
{
_api = api;
_job = job;
_resultHandler = resultHandler;
_messagingHandler = messagingHandler;
_algorithmManager = algorithmManager;
_exitEvent = new ManualResetEventSlim(false);
}
/// <summary>
/// Runs a single backtest/live job from the job queue
/// </summary>
/// <param name="job">The algorithm job to be processed</param>
/// <param name="assemblyPath">The path to the algorithm's assembly</param>
public void Run(AlgorithmNodePacket job, string assemblyPath)
{
var algorithm = default(IAlgorithm);
var algorithmManager = new AlgorithmManager(_liveMode);
//Start monitoring the backtest active status:
var statusPing = new StateCheck.Ping(algorithmManager, _systemHandlers.Api, _algorithmHandlers.Results);
var statusPingThread = new Thread(statusPing.Run);
statusPingThread.Start();
try
{
//Reset thread holders.
var initializeComplete = false;
Thread threadFeed = null;
Thread threadTransactions = null;
Thread threadResults = null;
Thread threadRealTime = null;
//-> Initialize messaging system
_systemHandlers.Notify.SetChannel(job.Channel);
//-> Set the result handler type for this algorithm job, and launch the associated result thread.
_algorithmHandlers.Results.Initialize(job, _systemHandlers.Notify, _systemHandlers.Api, _algorithmHandlers.DataFeed, _algorithmHandlers.Setup, _algorithmHandlers.Transactions);
threadResults = new Thread(_algorithmHandlers.Results.Run, 0) {Name = "Result Thread"};
threadResults.Start();
IBrokerage brokerage = null;
try
{
// Save algorithm to cache, load algorithm instance:
algorithm = _algorithmHandlers.Setup.CreateAlgorithmInstance(assemblyPath, job.Language);
//Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
initializeComplete = _algorithmHandlers.Setup.Setup(algorithm, out brokerage, job, _algorithmHandlers.Results, _algorithmHandlers.Transactions);
//If there are any reasons it failed, pass these back to the IDE.
if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || _algorithmHandlers.Setup.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(",", _algorithmHandlers.Setup.Errors);
_algorithmHandlers.Results.RuntimeError(errorMessage);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage);
}
}
catch (Exception err)
{
var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err.StackTrace;
_algorithmHandlers.Results.RuntimeError(runtimeMessage, err.StackTrace);
_systemHandlers.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.
var 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:
_algorithmHandlers.Results.SetAlgorithm(algorithm);
_algorithmHandlers.DataFeed.Initialize(algorithm, job, _algorithmHandlers.Results);
_algorithmHandlers.Transactions.Initialize(algorithm, brokerage, _algorithmHandlers.Results);
_algorithmHandlers.RealTime.Initialize(algorithm, job, _algorithmHandlers.Results, _systemHandlers.Api);
//Set the error handlers for the brokerage asynchronous errors.
_algorithmHandlers.Setup.SetupErrorHandler(_algorithmHandlers.Results, brokerage);
//Send status to user the algorithm is now executing.
_algorithmHandlers.Results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Running);
//Launch the data, transaction and realtime handlers into dedicated threads
threadFeed = new Thread(_algorithmHandlers.DataFeed.Run) {Name = "DataFeed Thread"};
threadTransactions = new Thread(_algorithmHandlers.Transactions.Run) {Name = "Transaction Thread"};
threadRealTime = new Thread(_algorithmHandlers.RealTime.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)
_algorithmHandlers.Results.DebugMessage(string.Format("Launching analysis for {0} with LEAN Engine v{1}", job.AlgorithmId, Constants.Version));
try
{
//Create a new engine isolator class
var isolator = new Isolator();
// Execute the Algorithm Code:
var complete = isolator.ExecuteWithTimeLimit(_algorithmHandlers.Setup.MaximumRuntime, algorithmManager.TimeLoopWithinLimits, () =>
{
try
{
//Run Algorithm Job:
// -> Using this Data Feed,
// -> Send Orders to this TransactionHandler,
// -> Send Results to ResultHandler.
algorithmManager.Run(job, algorithm, _algorithmHandlers.DataFeed, _algorithmHandlers.Transactions, _algorithmHandlers.Results, _algorithmHandlers.RealTime, isolator.CancellationToken);
}
catch (Exception err)
{
//Debugging at this level is difficult, stack trace needed.
Log.Error("Engine.Run", err);
algorithm.RunTimeError = err;
algorithmManager.SetStatus(AlgorithmStatus.RuntimeError);
return;
}
Log.Trace("Engine.Run(): Exiting Algorithm Manager");
}, job.RamAllocation);
if (!complete)
{
Log.Error("Engine.Main(): Failed to complete in time: " + _algorithmHandlers.Setup.MaximumRuntime.ToString("F"));
throw new Exception("Failed to complete algorithm within " + _algorithmHandlers.Setup.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 (_algorithmHandlers.DataFeed != null) _algorithmHandlers.DataFeed.Exit();
if (_algorithmHandlers.Results != null)
{
var message = "Runtime Error: " + err.Message;
Log.Trace("Engine.Run(): Sending runtime error to user...");
_algorithmHandlers.Results.LogMessage(message);
_algorithmHandlers.Results.RuntimeError(message, err.StackTrace);
_systemHandlers.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>(_algorithmHandlers.Results.Charts);
var orders = new Dictionary<int, Order>(_algorithmHandlers.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";
const string benchmarkKey = "Benchmark";
// 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);
var numberOfTrades = algorithm.Transactions.GetOrders(x => x.Status.IsFill()).Count();
var benchmark = charts[benchmarkKey].Series[benchmarkKey].Values.ToDictionary(chartPoint => Time.UnixTimeStampToDateTime(chartPoint.x), chartPoint => chartPoint.y);
statistics = Statistics.Statistics.Generate(equity, profitLoss, performance, benchmark,
_algorithmHandlers.Setup.StartingPortfolioValue, algorithm.Portfolio.TotalFees, numberOfTrades, 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;
_algorithmHandlers.Results.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")));
_algorithmHandlers.Results.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
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.RealTime.Exit();
}
//Close result handler:
_algorithmHandlers.Results.Exit();
statusPing.Exit();
//Wait for the threads to complete:
var ts = Stopwatch.StartNew();
while ((_algorithmHandlers.Results.IsActive
|| (_algorithmHandlers.Transactions != null && _algorithmHandlers.Transactions.IsActive)
|| (_algorithmHandlers.DataFeed != null && _algorithmHandlers.DataFeed.IsActive)
|| (_algorithmHandlers.RealTime != null && _algorithmHandlers.RealTime.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 (_algorithmHandlers.Setup != null)
{
_algorithmHandlers.Setup.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)
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, algorithmManager.State);
_algorithmHandlers.Results.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.RealTime.Exit();
}
}
/// <summary>
/// Runs a single backtest/live job from the job queue
/// </summary>
/// <param name="job">The algorithm job to be processed</param>
/// <param name="assemblyPath">The path to the algorithm's assembly</param>
public void Run(AlgorithmNodePacket job, string assemblyPath)
{
var algorithm = default(IAlgorithm);
var algorithmManager = new AlgorithmManager(_liveMode);
//Start monitoring the backtest active status:
var statusPing = new StateCheck.Ping(algorithmManager, _systemHandlers.Api, _algorithmHandlers.Results, _systemHandlers.Notify, job);
var statusPingThread = new Thread(statusPing.Run);
statusPingThread.Start();
try
{
//Reset thread holders.
var initializeComplete = false;
Thread threadFeed = null;
Thread threadTransactions = null;
Thread threadResults = null;
Thread threadRealTime = null;
//-> Initialize messaging system
_systemHandlers.Notify.SetAuthentication(job);
//-> Set the result handler type for this algorithm job, and launch the associated result thread.
_algorithmHandlers.Results.Initialize(job, _systemHandlers.Notify, _systemHandlers.Api, _algorithmHandlers.DataFeed, _algorithmHandlers.Setup, _algorithmHandlers.Transactions);
threadResults = new Thread(_algorithmHandlers.Results.Run, 0) {Name = "Result Thread"};
threadResults.Start();
IBrokerage brokerage = null;
try
{
// Save algorithm to cache, load algorithm instance:
algorithm = _algorithmHandlers.Setup.CreateAlgorithmInstance(assemblyPath, job.Language);
// Initialize the brokerage
brokerage = _algorithmHandlers.Setup.CreateBrokerage(job, algorithm);
// Initialize the data feed before we initialize so he can intercept added securities/universes via events
_algorithmHandlers.DataFeed.Initialize(algorithm, job, _algorithmHandlers.Results, _algorithmHandlers.MapFileProvider, _algorithmHandlers.FactorFileProvider);
// initialize command queue system
_algorithmHandlers.CommandQueue.Initialize(job, algorithm);
// set the history provider before setting up the algorithm
_algorithmHandlers.HistoryProvider.Initialize(job, _algorithmHandlers.MapFileProvider, _algorithmHandlers.FactorFileProvider, progress =>
{
// send progress updates to the result handler only during initialization
if (!algorithm.GetLocked() || algorithm.IsWarmingUp)
{
_algorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.History,
string.Format("Processing history {0}%...", progress));
}
});
algorithm.HistoryProvider = _algorithmHandlers.HistoryProvider;
// initialize the default brokerage message handler
algorithm.BrokerageMessageHandler = new DefaultBrokerageMessageHandler(algorithm, job, _algorithmHandlers.Results, _systemHandlers.Api);
//Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
initializeComplete = _algorithmHandlers.Setup.Setup(algorithm, brokerage, job, _algorithmHandlers.Results, _algorithmHandlers.Transactions, _algorithmHandlers.RealTime);
// set this again now that we've actually added securities
_algorithmHandlers.Results.SetAlgorithm(algorithm);
//If there are any reasons it failed, pass these back to the IDE.
if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || _algorithmHandlers.Setup.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(",", _algorithmHandlers.Setup.Errors);
Log.Error("Engine.Run(): " + errorMessage);
_algorithmHandlers.Results.RuntimeError(errorMessage);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage);
}
}
catch (Exception err)
{
Log.Error(err);
var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err.StackTrace;
_algorithmHandlers.Results.RuntimeError(runtimeMessage, err.StackTrace);
_systemHandlers.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.
var 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.SetLocked();
//Load the associated handlers for transaction and realtime events:
_algorithmHandlers.Transactions.Initialize(algorithm, brokerage, _algorithmHandlers.Results);
_algorithmHandlers.RealTime.Setup(algorithm, job, _algorithmHandlers.Results, _systemHandlers.Api);
// wire up the brokerage message handler
brokerage.Message += (sender, message) =>
{
algorithm.BrokerageMessageHandler.Handle(message);
// fire brokerage message events
algorithm.OnBrokerageMessage(message);
switch (message.Type)
{
case BrokerageMessageType.Disconnect:
algorithm.OnBrokerageDisconnect();
break;
case BrokerageMessageType.Reconnect:
algorithm.OnBrokerageReconnect();
break;
}
};
//Send status to user the algorithm is now executing.
_algorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.Running);
//Launch the data, transaction and realtime handlers into dedicated threads
threadFeed = new Thread(_algorithmHandlers.DataFeed.Run) {Name = "DataFeed Thread"};
threadTransactions = new Thread(_algorithmHandlers.Transactions.Run) {Name = "Transaction Thread"};
threadRealTime = new Thread(_algorithmHandlers.RealTime.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)
_algorithmHandlers.Results.DebugMessage(string.Format("Launching analysis for {0} with LEAN Engine v{1}", job.AlgorithmId, Globals.Version));
try
{
//Create a new engine isolator class
var isolator = new Isolator();
// Execute the Algorithm Code:
var complete = isolator.ExecuteWithTimeLimit(_algorithmHandlers.Setup.MaximumRuntime, algorithmManager.TimeLoopWithinLimits, () =>
{
try
{
//Run Algorithm Job:
// -> Using this Data Feed,
// -> Send Orders to this TransactionHandler,
// -> Send Results to ResultHandler.
algorithmManager.Run(job, algorithm, _algorithmHandlers.DataFeed, _algorithmHandlers.Transactions, _algorithmHandlers.Results, _algorithmHandlers.RealTime, _algorithmHandlers.CommandQueue, isolator.CancellationToken);
}
catch (Exception err)
{
//Debugging at this level is difficult, stack trace needed.
Log.Error(err);
algorithm.RunTimeError = err;
algorithmManager.SetStatus(AlgorithmStatus.RuntimeError);
return;
}
Log.Trace("Engine.Run(): Exiting Algorithm Manager");
}, job.RamAllocation);
if (!complete)
{
Log.Error("Engine.Main(): Failed to complete in time: " + _algorithmHandlers.Setup.MaximumRuntime.ToString("F"));
throw new Exception("Failed to complete algorithm within " + _algorithmHandlers.Setup.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(err, "Breaking out of parent try catch:");
if (_algorithmHandlers.DataFeed != null) _algorithmHandlers.DataFeed.Exit();
if (_algorithmHandlers.Results != null)
{
var message = "Runtime Error: " + err.Message;
Log.Trace("Engine.Run(): Sending runtime error to user...");
_algorithmHandlers.Results.LogMessage(message);
_algorithmHandlers.Results.RuntimeError(message, err.StackTrace);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, message + " Stack Trace: " + err.StackTrace);
}
}
try
{
var trades = algorithm.TradeBuilder.ClosedTrades;
var charts = new Dictionary<string, Chart>(_algorithmHandlers.Results.Charts);
var orders = new Dictionary<int, Order>(_algorithmHandlers.Transactions.Orders);
var holdings = new Dictionary<string, Holding>();
var banner = new Dictionary<string, string>();
var statisticsResults = new StatisticsResults();
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";
const string benchmarkKey = "Benchmark";
// 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);
var totalTransactions = algorithm.Transactions.GetOrders(x => x.Status.IsFill()).Count();
var benchmark = charts[benchmarkKey].Series[benchmarkKey].Values;
statisticsResults = StatisticsBuilder.Generate(trades, profitLoss, equity, performance, benchmark,
_algorithmHandlers.Setup.StartingPortfolioValue, algorithm.Portfolio.TotalFees, totalTransactions);
//Some users have $0 in their brokerage account / starting cash of $0. Prevent divide by zero errors
var netReturn = _algorithmHandlers.Setup.StartingPortfolioValue > 0 ?
(algorithm.Portfolio.TotalPortfolioValue - _algorithmHandlers.Setup.StartingPortfolioValue) / _algorithmHandlers.Setup.StartingPortfolioValue
: 0;
//Add other fixed parameters.
banner.Add("Unrealized:", "$" + algorithm.Portfolio.TotalUnrealizedProfit.ToString("N2"));
banner.Add("Fees:", "-$" + algorithm.Portfolio.TotalFees.ToString("N2"));
banner.Add("Net Profit:", "$" + algorithm.Portfolio.TotalProfit.ToString("N2"));
banner.Add("Return:", netReturn.ToString("P"));
banner.Add("Equity:", "$" + algorithm.Portfolio.TotalPortfolioValue.ToString("N2"));
banner.Add("Holdings:", "$" + algorithm.Portfolio.TotalHoldingsValue.ToString("N2"));
banner.Add("Volume:", "$" + algorithm.Portfolio.TotalSaleVolume.ToString("N2"));
}
}
catch (Exception err)
{
Log.Error(err, "Error generating statistics packet");
}
//Diagnostics Completed, Send Result Packet:
var totalSeconds = (DateTime.Now - startTime).TotalSeconds;
var dataPoints = algorithmManager.DataPoints + _algorithmHandlers.HistoryProvider.DataPointCount;
_algorithmHandlers.Results.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"), ((dataPoints/(double) 1000)/totalSeconds).ToString("F0"),
dataPoints.ToString("N0")));
_algorithmHandlers.Results.SendFinalResult(job, orders, algorithm.Transactions.TransactionRecord, holdings, statisticsResults, banner);
}
catch (Exception err)
{
Log.Error(err, "Error sending analysis results");
}
//Before we return, send terminate commands to close up the threads
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.RealTime.Exit();
}
//Close result handler:
_algorithmHandlers.Results.Exit();
statusPing.Exit();
//Wait for the threads to complete:
var ts = Stopwatch.StartNew();
while ((_algorithmHandlers.Results.IsActive
|| (_algorithmHandlers.Transactions != null && _algorithmHandlers.Transactions.IsActive)
|| (_algorithmHandlers.DataFeed != null && _algorithmHandlers.DataFeed.IsActive)
|| (_algorithmHandlers.RealTime != null && _algorithmHandlers.RealTime.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)
{
Log.Trace("Engine.Run(): Disconnecting from brokerage...");
brokerage.Disconnect();
}
if (_algorithmHandlers.Setup != null)
{
Log.Trace("Engine.Run(): Disposing of setup handler...");
_algorithmHandlers.Setup.Dispose();
}
Log.Trace("Engine.Main(): Analysis Completed and Results Posted.");
}
catch (Exception err)
{
Log.Error(err, "Error running algorithm");
}
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)
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, algorithmManager.State);
_algorithmHandlers.Results.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.RealTime.Exit();
}
}
/// <summary>
/// Runs a single backtest/live job from the job queue
/// </summary>
/// <param name="job">The algorithm job to be processed</param>
/// <param name="manager">The algorithm manager instance</param>
/// <param name="assemblyPath">The path to the algorithm's assembly</param>
/// <param name="workerThread">The worker thread instance</param>
public void Run(AlgorithmNodePacket job, AlgorithmManager manager, string assemblyPath, WorkerThread workerThread)
{
var marketHoursDatabaseTask = Task.Run(() => StaticInitializations());
var algorithm = default(IAlgorithm);
var algorithmManager = manager;
try
{
//Reset thread holders.
var initializeComplete = false;
//-> Initialize messaging system
SystemHandlers.Notify.SetAuthentication(job);
//-> Set the result handler type for this algorithm job, and launch the associated result thread.
AlgorithmHandlers.Results.Initialize(job, SystemHandlers.Notify, SystemHandlers.Api, AlgorithmHandlers.Transactions);
IBrokerage brokerage = null;
DataManager dataManager = null;
var synchronizer = _liveMode ? new LiveSynchronizer() : new Synchronizer();
try
{
// we get the mhdb before creating the algorithm instance,
// since the algorithm constructor will use it
var marketHoursDatabase = marketHoursDatabaseTask.Result;
AlgorithmHandlers.Setup.WorkerThread = workerThread;
// Save algorithm to cache, load algorithm instance:
algorithm = AlgorithmHandlers.Setup.CreateAlgorithmInstance(job, assemblyPath);
// Set algorithm in ILeanManager
SystemHandlers.LeanManager.SetAlgorithm(algorithm);
// initialize the alphas handler with the algorithm instance
AlgorithmHandlers.Alphas.Initialize(job, algorithm, SystemHandlers.Notify, SystemHandlers.Api);
// initialize the object store
AlgorithmHandlers.ObjectStore.Initialize(algorithm.Name, job.UserId, job.ProjectId, job.UserToken, job.Controls);
// notify the user of any errors w/ object store persistence
AlgorithmHandlers.ObjectStore.ErrorRaised += (sender, args) => algorithm.Debug($"ObjectStore Persistence Error: {args.Error.Message}");
// Initialize the brokerage
IBrokerageFactory factory;
brokerage = AlgorithmHandlers.Setup.CreateBrokerage(job, algorithm, out factory);
var symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder();
var registeredTypesProvider = new RegisteredSecurityDataTypesProvider();
var securityService = new SecurityService(algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDatabase,
algorithm,
registeredTypesProvider,
new SecurityCacheProvider(algorithm.Portfolio));
algorithm.Securities.SetSecurityService(securityService);
dataManager = new DataManager(AlgorithmHandlers.DataFeed,
new UniverseSelection(
algorithm,
securityService),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
_liveMode,
registeredTypesProvider);
AlgorithmHandlers.Results.SetDataManager(dataManager);
algorithm.SubscriptionManager.SetDataManager(dataManager);
synchronizer.Initialize(algorithm, dataManager);
// Initialize the data feed before we initialize so he can intercept added securities/universes via events
AlgorithmHandlers.DataFeed.Initialize(
algorithm,
job,
AlgorithmHandlers.Results,
AlgorithmHandlers.MapFileProvider,
AlgorithmHandlers.FactorFileProvider,
AlgorithmHandlers.DataProvider,
dataManager,
(IDataFeedTimeProvider)synchronizer);
// set the order processor on the transaction manager (needs to be done before initializing BrokerageHistoryProvider)
algorithm.Transactions.SetOrderProcessor(AlgorithmHandlers.Transactions);
algorithm.SetOrderEventProvider(AlgorithmHandlers.Transactions);
// set the history provider before setting up the algorithm
var historyProvider = GetHistoryProvider(job.HistoryProvider);
if (historyProvider is BrokerageHistoryProvider)
{
(historyProvider as BrokerageHistoryProvider).SetBrokerage(brokerage);
}
var historyDataCacheProvider = new ZipDataCacheProvider(AlgorithmHandlers.DataProvider, isDataEphemeral: _liveMode);
historyProvider.Initialize(
new HistoryProviderInitializeParameters(
job,
SystemHandlers.Api,
AlgorithmHandlers.DataProvider,
historyDataCacheProvider,
AlgorithmHandlers.MapFileProvider,
AlgorithmHandlers.FactorFileProvider,
progress =>
{
// send progress updates to the result handler only during initialization
if (!algorithm.GetLocked() || algorithm.IsWarmingUp)
{
AlgorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.History,
Invariant($"Processing history {progress}%..."));
}
},
// disable parallel history requests for live trading
parallelHistoryRequestsEnabled: !_liveMode
)
);
historyProvider.InvalidConfigurationDetected += (sender, args) => { AlgorithmHandlers.Results.ErrorMessage(args.Message); };
historyProvider.NumericalPrecisionLimited += (sender, args) => { AlgorithmHandlers.Results.DebugMessage(args.Message); };
historyProvider.DownloadFailed += (sender, args) => { AlgorithmHandlers.Results.ErrorMessage(args.Message, args.StackTrace); };
historyProvider.ReaderErrorDetected += (sender, args) => { AlgorithmHandlers.Results.RuntimeError(args.Message, args.StackTrace); };
algorithm.HistoryProvider = historyProvider;
// initialize the default brokerage message handler
algorithm.BrokerageMessageHandler = factory.CreateBrokerageMessageHandler(algorithm, job, SystemHandlers.Api);
//Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
initializeComplete = AlgorithmHandlers.Setup.Setup(new SetupHandlerParameters(dataManager.UniverseSelection, algorithm, brokerage, job, AlgorithmHandlers.Results, AlgorithmHandlers.Transactions, AlgorithmHandlers.RealTime, AlgorithmHandlers.ObjectStore));
// set this again now that we've actually added securities
AlgorithmHandlers.Results.SetAlgorithm(algorithm, AlgorithmHandlers.Setup.StartingPortfolioValue);
// alpha handler needs start/end dates to determine sample step sizes
AlgorithmHandlers.Alphas.OnAfterAlgorithmInitialized(algorithm);
//If there are any reasons it failed, pass these back to the IDE.
if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || AlgorithmHandlers.Setup.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(",", AlgorithmHandlers.Setup.Errors.Select(e =>
{
var message = e.Message;
if (e.InnerException != null)
{
var err = _exceptionInterpreter.Value.Interpret(e.InnerException, _exceptionInterpreter.Value);
message += _exceptionInterpreter.Value.GetExceptionMessageHeader(err);
}
return(message);
}));
Log.Error("Engine.Run(): " + errorMessage);
AlgorithmHandlers.Results.RuntimeError(errorMessage);
SystemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage);
}
}
catch (Exception err)
{
Log.Error(err);
var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err;
AlgorithmHandlers.Results.RuntimeError(runtimeMessage, err.ToString());
SystemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, runtimeMessage);
}
// log the job endpoints
Log.Trace("JOB HANDLERS: ");
Log.Trace(" DataFeed: " + AlgorithmHandlers.DataFeed.GetType().FullName);
Log.Trace(" Setup: " + AlgorithmHandlers.Setup.GetType().FullName);
Log.Trace(" RealTime: " + AlgorithmHandlers.RealTime.GetType().FullName);
Log.Trace(" Results: " + AlgorithmHandlers.Results.GetType().FullName);
Log.Trace(" Transactions: " + AlgorithmHandlers.Transactions.GetType().FullName);
Log.Trace(" Alpha: " + AlgorithmHandlers.Alphas.GetType().FullName);
Log.Trace(" ObjectStore: " + AlgorithmHandlers.ObjectStore.GetType().FullName);
if (algorithm?.HistoryProvider != null)
{
Log.Trace(" History Provider: " + algorithm.HistoryProvider.GetType().FullName);
}
if (job is LiveNodePacket)
{
Log.Trace(" Brokerage: " + brokerage?.GetType().FullName);
}
//-> Using the job + initialization: load the designated handlers:
if (initializeComplete)
{
// notify the LEAN manager that the algorithm is initialized and starting
SystemHandlers.LeanManager.OnAlgorithmStart();
//-> Reset the backtest stopwatch; we're now running the algorithm.
var 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.SetLocked();
//Load the associated handlers for transaction and realtime events:
AlgorithmHandlers.Transactions.Initialize(algorithm, brokerage, AlgorithmHandlers.Results);
AlgorithmHandlers.RealTime.Setup(algorithm, job, AlgorithmHandlers.Results, SystemHandlers.Api, algorithmManager.TimeLimit);
// wire up the brokerage message handler
brokerage.Message += (sender, message) =>
{
algorithm.BrokerageMessageHandler.Handle(message);
// fire brokerage message events
algorithm.OnBrokerageMessage(message);
switch (message.Type)
{
case BrokerageMessageType.Disconnect:
algorithm.OnBrokerageDisconnect();
break;
case BrokerageMessageType.Reconnect:
algorithm.OnBrokerageReconnect();
break;
}
};
//Send status to user the algorithm is now executing.
AlgorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.Running);
// Result manager scanning message queue: (started earlier)
AlgorithmHandlers.Results.DebugMessage(
$"Launching analysis for {job.AlgorithmId} with LEAN Engine v{Globals.Version}");
try
{
//Create a new engine isolator class
var isolator = new Isolator();
// Execute the Algorithm Code:
var complete = isolator.ExecuteWithTimeLimit(AlgorithmHandlers.Setup.MaximumRuntime, algorithmManager.TimeLimit.IsWithinLimit, () =>
{
try
{
//Run Algorithm Job:
// -> Using this Data Feed,
// -> Send Orders to this TransactionHandler,
// -> Send Results to ResultHandler.
algorithmManager.Run(job, algorithm, synchronizer, AlgorithmHandlers.Transactions, AlgorithmHandlers.Results, AlgorithmHandlers.RealTime, SystemHandlers.LeanManager, AlgorithmHandlers.Alphas, isolator.CancellationToken);
}
catch (Exception err)
{
//Debugging at this level is difficult, stack trace needed.
Log.Error(err);
algorithm.RunTimeError = err;
algorithmManager.SetStatus(AlgorithmStatus.RuntimeError);
return;
}
Log.Trace("Engine.Run(): Exiting Algorithm Manager");
}, job.Controls.RamAllocation, workerThread: workerThread);
if (!complete)
{
Log.Error("Engine.Main(): Failed to complete in time: " + AlgorithmHandlers.Setup.MaximumRuntime.ToStringInvariant("F"));
throw new Exception("Failed to complete algorithm within " + AlgorithmHandlers.Setup.MaximumRuntime.ToStringInvariant("F")
+ " seconds. Please make it run faster.");
}
// Algorithm runtime error:
if (algorithm.RunTimeError != null)
{
HandleAlgorithmError(job, algorithm.RunTimeError);
}
}
catch (Exception err)
{
//Error running the user algorithm: purge datafeed, send error messages, set algorithm status to failed.
algorithm.RunTimeError = err;
algorithm.SetStatus(AlgorithmStatus.RuntimeError);
HandleAlgorithmError(job, err);
}
// notify the LEAN manager that the algorithm has finished
SystemHandlers.LeanManager.OnAlgorithmEnd();
try
{
var csvTransactionsFileName = Config.Get("transaction-log");
if (!string.IsNullOrEmpty(csvTransactionsFileName))
{
SaveListOfTrades(AlgorithmHandlers.Transactions, csvTransactionsFileName);
}
if (!_liveMode)
{
//Diagnostics Completed, Send Result Packet:
var totalSeconds = (DateTime.Now - startTime).TotalSeconds;
var dataPoints = algorithmManager.DataPoints + algorithm.HistoryProvider.DataPointCount;
var kps = dataPoints / (double)1000 / totalSeconds;
AlgorithmHandlers.Results.DebugMessage($"Algorithm Id:({job.AlgorithmId}) completed in {totalSeconds:F2} seconds at {kps:F0}k data points per second. Processing total of {dataPoints:N0} data points.");
}
}
catch (Exception err)
{
Log.Error(err, "Error sending analysis results");
}
//Before we return, send terminate commands to close up the threads
AlgorithmHandlers.Transactions.Exit();
AlgorithmHandlers.RealTime.Exit();
dataManager?.RemoveAllSubscriptions();
workerThread?.Dispose();
}
// Close data feed, alphas. Could be running even if algorithm initialization failed
AlgorithmHandlers.DataFeed.Exit();
AlgorithmHandlers.Alphas.Exit();
//Close result handler:
AlgorithmHandlers.Results.Exit();
//Wait for the threads to complete:
var millisecondInterval = 10;
var millisecondTotalWait = 0;
while ((AlgorithmHandlers.Results.IsActive ||
(AlgorithmHandlers.Transactions != null && AlgorithmHandlers.Transactions.IsActive) ||
(AlgorithmHandlers.DataFeed != null && AlgorithmHandlers.DataFeed.IsActive) ||
(AlgorithmHandlers.RealTime != null && AlgorithmHandlers.RealTime.IsActive) ||
(AlgorithmHandlers.Alphas != null && AlgorithmHandlers.Alphas.IsActive)) &&
millisecondTotalWait < 30 * 1000)
{
Thread.Sleep(millisecondInterval);
if (millisecondTotalWait % (millisecondInterval * 10) == 0)
{
Log.Trace("Waiting for threads to exit...");
}
millisecondTotalWait += millisecondInterval;
}
if (brokerage != null)
{
Log.Trace("Engine.Run(): Disconnecting from brokerage...");
brokerage.Disconnect();
brokerage.Dispose();
}
if (AlgorithmHandlers.Setup != null)
{
Log.Trace("Engine.Run(): Disposing of setup handler...");
AlgorithmHandlers.Setup.Dispose();
}
Log.Trace("Engine.Main(): Analysis Completed and Results Posted.");
}
catch (Exception err)
{
Log.Error(err, "Error running algorithm");
}
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)
{
SystemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, algorithmManager.State);
}
AlgorithmHandlers.Results.Exit();
AlgorithmHandlers.DataFeed.Exit();
AlgorithmHandlers.Transactions.Exit();
AlgorithmHandlers.RealTime.Exit();
}
}
/// <summary>
/// Runs a single backtest/live job from the job queue
/// </summary>
/// <param name="job">The algorithm job to be processed</param>
/// <param name="manager"></param>
/// <param name="assemblyPath">The path to the algorithm's assembly</param>
public void Run(AlgorithmNodePacket job, AlgorithmManager manager, string assemblyPath)
{
var marketHoursDatabaseTask = Task.Run(() => StaticInitializations());
var algorithm = default(IAlgorithm);
var algorithmManager = manager;
try
{
//Reset thread holders.
var initializeComplete = false;
Thread threadResults = null;
Thread threadRealTime = null;
Thread threadAlphas = null;
WorkerThread workerThread = null;
//-> Initialize messaging system
SystemHandlers.Notify.SetAuthentication(job);
//-> Set the result handler type for this algorithm job, and launch the associated result thread.
AlgorithmHandlers.Results.Initialize(job, SystemHandlers.Notify, SystemHandlers.Api, AlgorithmHandlers.Transactions);
threadResults = new Thread(AlgorithmHandlers.Results.Run, 0)
{
IsBackground = true, Name = "Result Thread"
};
threadResults.Start();
IBrokerage brokerage = null;
DataManager dataManager = null;
var synchronizer = _liveMode ? new LiveSynchronizer() : new Synchronizer();
try
{
// we get the mhdb before creating the algorithm instance,
// since the algorithm constructor will use it
var marketHoursDatabase = marketHoursDatabaseTask.Result;
// start worker thread
workerThread = new WorkerThread();
AlgorithmHandlers.Setup.WorkerThread = workerThread;
// Save algorithm to cache, load algorithm instance:
algorithm = AlgorithmHandlers.Setup.CreateAlgorithmInstance(job, assemblyPath);
// Set algorithm in ILeanManager
SystemHandlers.LeanManager.SetAlgorithm(algorithm);
// initialize the alphas handler with the algorithm instance
AlgorithmHandlers.Alphas.Initialize(job, algorithm, SystemHandlers.Notify, SystemHandlers.Api);
// Initialize the brokerage
IBrokerageFactory factory;
brokerage = AlgorithmHandlers.Setup.CreateBrokerage(job, algorithm, out factory);
var symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder();
var securityService = new SecurityService(algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDatabase,
(ISecurityInitializerProvider)algorithm);
algorithm.Securities.SetSecurityService(securityService);
dataManager = new DataManager(AlgorithmHandlers.DataFeed,
new UniverseSelection(
algorithm,
securityService),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
_liveMode);
AlgorithmHandlers.Results.SetDataManager(dataManager);
algorithm.SubscriptionManager.SetDataManager(dataManager);
synchronizer.Initialize(algorithm, dataManager);
// Initialize the data feed before we initialize so he can intercept added securities/universes via events
AlgorithmHandlers.DataFeed.Initialize(
algorithm,
job,
AlgorithmHandlers.Results,
AlgorithmHandlers.MapFileProvider,
AlgorithmHandlers.FactorFileProvider,
AlgorithmHandlers.DataProvider,
dataManager,
(IDataFeedTimeProvider)synchronizer);
// set the order processor on the transaction manager (needs to be done before initializing BrokerageHistoryProvider)
algorithm.Transactions.SetOrderProcessor(AlgorithmHandlers.Transactions);
algorithm.SetOrderEventProvider(AlgorithmHandlers.Transactions);
// set the history provider before setting up the algorithm
var historyProvider = GetHistoryProvider(job.HistoryProvider);
if (historyProvider is BrokerageHistoryProvider)
{
(historyProvider as BrokerageHistoryProvider).SetBrokerage(brokerage);
}
var historyDataCacheProvider = new ZipDataCacheProvider(AlgorithmHandlers.DataProvider, isDataEphemeral: _liveMode);
historyProvider.Initialize(
new HistoryProviderInitializeParameters(
job,
SystemHandlers.Api,
AlgorithmHandlers.DataProvider,
historyDataCacheProvider,
AlgorithmHandlers.MapFileProvider,
AlgorithmHandlers.FactorFileProvider,
progress =>
{
// send progress updates to the result handler only during initialization
if (!algorithm.GetLocked() || algorithm.IsWarmingUp)
{
AlgorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.History,
$"Processing history {progress}%...");
}
}
)
);
historyProvider.InvalidConfigurationDetected += (sender, args) => { AlgorithmHandlers.Results.ErrorMessage(args.Message); };
historyProvider.NumericalPrecisionLimited += (sender, args) => { AlgorithmHandlers.Results.DebugMessage(args.Message); };
historyProvider.DownloadFailed += (sender, args) => { AlgorithmHandlers.Results.ErrorMessage(args.Message, args.StackTrace); };
historyProvider.ReaderErrorDetected += (sender, args) => { AlgorithmHandlers.Results.RuntimeError(args.Message, args.StackTrace); };
algorithm.HistoryProvider = historyProvider;
// initialize the default brokerage message handler
algorithm.BrokerageMessageHandler = factory.CreateBrokerageMessageHandler(algorithm, job, SystemHandlers.Api);
//Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
initializeComplete = AlgorithmHandlers.Setup.Setup(new SetupHandlerParameters(dataManager.UniverseSelection, algorithm, brokerage, job, AlgorithmHandlers.Results, AlgorithmHandlers.Transactions, AlgorithmHandlers.RealTime));
// set this again now that we've actually added securities
AlgorithmHandlers.Results.SetAlgorithm(algorithm, AlgorithmHandlers.Setup.StartingPortfolioValue);
// alpha handler needs start/end dates to determine sample step sizes
AlgorithmHandlers.Alphas.OnAfterAlgorithmInitialized(algorithm);
//If there are any reasons it failed, pass these back to the IDE.
if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || AlgorithmHandlers.Setup.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(",", AlgorithmHandlers.Setup.Errors.Select(e =>
{
var message = e.Message;
if (e.InnerException != null)
{
var err = _exceptionInterpreter.Value.Interpret(e.InnerException, _exceptionInterpreter.Value);
message += _exceptionInterpreter.Value.GetExceptionMessageHeader(err);
}
return(message);
}));
Log.Error("Engine.Run(): " + errorMessage);
AlgorithmHandlers.Results.RuntimeError(errorMessage);
SystemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage);
}
}
catch (Exception err)
{
Log.Error(err);
var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err;
AlgorithmHandlers.Results.RuntimeError(runtimeMessage, err.ToString());
SystemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, runtimeMessage);
}
// log the job endpoints
Log.Trace("JOB HANDLERS: ");
Log.Trace(" DataFeed: " + AlgorithmHandlers.DataFeed.GetType().FullName);
Log.Trace(" Setup: " + AlgorithmHandlers.Setup.GetType().FullName);
Log.Trace(" RealTime: " + AlgorithmHandlers.RealTime.GetType().FullName);
Log.Trace(" Results: " + AlgorithmHandlers.Results.GetType().FullName);
Log.Trace(" Transactions: " + AlgorithmHandlers.Transactions.GetType().FullName);
Log.Trace(" Alpha: " + AlgorithmHandlers.Alphas.GetType().FullName);
if (algorithm?.HistoryProvider != null)
{
Log.Trace(" History Provider: " + algorithm.HistoryProvider.GetType().FullName);
}
if (job is LiveNodePacket)
{
Log.Trace(" Brokerage: " + brokerage?.GetType().FullName);
}
//-> Using the job + initialization: load the designated handlers:
if (initializeComplete)
{
// notify the LEAN manager that the algorithm is initialized and starting
SystemHandlers.LeanManager.OnAlgorithmStart();
//-> Reset the backtest stopwatch; we're now running the algorithm.
var 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.SetLocked();
//Load the associated handlers for transaction and realtime events:
AlgorithmHandlers.Transactions.Initialize(algorithm, brokerage, AlgorithmHandlers.Results);
AlgorithmHandlers.RealTime.Setup(algorithm, job, AlgorithmHandlers.Results, SystemHandlers.Api);
// wire up the brokerage message handler
brokerage.Message += (sender, message) =>
{
algorithm.BrokerageMessageHandler.Handle(message);
// fire brokerage message events
algorithm.OnBrokerageMessage(message);
switch (message.Type)
{
case BrokerageMessageType.Disconnect:
algorithm.OnBrokerageDisconnect();
break;
case BrokerageMessageType.Reconnect:
algorithm.OnBrokerageReconnect();
break;
}
};
//Send status to user the algorithm is now executing.
AlgorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.Running);
//Launch the data, transaction and realtime handlers into dedicated threads
threadRealTime = new Thread(AlgorithmHandlers.RealTime.Run)
{
IsBackground = true, Name = "RealTime Thread"
};
threadAlphas = new Thread(() => AlgorithmHandlers.Alphas.Run())
{
IsBackground = true, Name = "Alpha Thread"
};
//Launch the data feed, result sending, and transaction models/handlers in separate threads.
threadRealTime.Start(); // RealTime scan time for time based events:
threadAlphas.Start(); // Alpha thread for processing algorithm alpha insights
// Result manager scanning message queue: (started earlier)
AlgorithmHandlers.Results.DebugMessage(
$"Launching analysis for {job.AlgorithmId} with LEAN Engine v{Globals.Version}");
try
{
//Create a new engine isolator class
var isolator = new Isolator();
// Execute the Algorithm Code:
var complete = isolator.ExecuteWithTimeLimit(AlgorithmHandlers.Setup.MaximumRuntime, algorithmManager.TimeLoopWithinLimits, () =>
{
try
{
//Run Algorithm Job:
// -> Using this Data Feed,
// -> Send Orders to this TransactionHandler,
// -> Send Results to ResultHandler.
algorithmManager.Run(job, algorithm, synchronizer, AlgorithmHandlers.Transactions, AlgorithmHandlers.Results, AlgorithmHandlers.RealTime, SystemHandlers.LeanManager, AlgorithmHandlers.Alphas, isolator.CancellationToken);
}
catch (Exception err)
{
//Debugging at this level is difficult, stack trace needed.
Log.Error(err);
algorithm.RunTimeError = err;
algorithmManager.SetStatus(AlgorithmStatus.RuntimeError);
return;
}
Log.Trace("Engine.Run(): Exiting Algorithm Manager");
}, job.Controls.RamAllocation, workerThread: workerThread);
if (!complete)
{
Log.Error("Engine.Main(): Failed to complete in time: " + AlgorithmHandlers.Setup.MaximumRuntime.ToString("F"));
throw new Exception("Failed to complete algorithm within " + AlgorithmHandlers.Setup.MaximumRuntime.ToString("F")
+ " seconds. Please make it run faster.");
}
// Algorithm runtime error:
if (algorithm.RunTimeError != null)
{
HandleAlgorithmError(job, algorithm.RunTimeError);
}
}
catch (Exception err)
{
//Error running the user algorithm: purge datafeed, send error messages, set algorithm status to failed.
HandleAlgorithmError(job, err);
}
// notify the LEAN manager that the algorithm has finished
SystemHandlers.LeanManager.OnAlgorithmEnd();
try
{
var trades = algorithm.TradeBuilder.ClosedTrades;
var charts = new Dictionary <string, Chart>(AlgorithmHandlers.Results.Charts);
var orders = new Dictionary <int, Order>(AlgorithmHandlers.Transactions.Orders);
var holdings = new Dictionary <string, Holding>();
var banner = new Dictionary <string, string>();
var statisticsResults = new StatisticsResults();
var csvTransactionsFileName = Config.Get("transaction-log");
if (!string.IsNullOrEmpty(csvTransactionsFileName))
{
SaveListOfTrades(AlgorithmHandlers.Transactions, csvTransactionsFileName);
}
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";
const string benchmarkKey = "Benchmark";
// 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) &&
charts.ContainsKey(benchmarkKey) &&
charts[benchmarkKey].Series.ContainsKey(benchmarkKey)
)
{
var equity = charts[strategyEquityKey].Series[equityKey].Values;
var performance = charts[strategyEquityKey].Series[dailyPerformanceKey].Values;
var profitLoss = new SortedDictionary <DateTime, decimal>(algorithm.Transactions.TransactionRecord);
var totalTransactions = algorithm.Transactions.GetOrders(x => x.Status.IsFill()).Count();
var benchmark = charts[benchmarkKey].Series[benchmarkKey].Values;
statisticsResults = StatisticsBuilder.Generate(trades, profitLoss, equity, performance, benchmark,
AlgorithmHandlers.Setup.StartingPortfolioValue, algorithm.Portfolio.TotalFees, totalTransactions);
//Some users have $0 in their brokerage account / starting cash of $0. Prevent divide by zero errors
var netReturn = AlgorithmHandlers.Setup.StartingPortfolioValue > 0 ?
(algorithm.Portfolio.TotalPortfolioValue - AlgorithmHandlers.Setup.StartingPortfolioValue) / AlgorithmHandlers.Setup.StartingPortfolioValue
: 0;
//Add other fixed parameters.
banner.Add("Unrealized", "$" + algorithm.Portfolio.TotalUnrealizedProfit.ToString("N2"));
banner.Add("Fees", "-$" + algorithm.Portfolio.TotalFees.ToString("N2"));
banner.Add("Net Profit", "$" + algorithm.Portfolio.TotalProfit.ToString("N2"));
banner.Add("Return", netReturn.ToString("P"));
banner.Add("Equity", "$" + algorithm.Portfolio.TotalPortfolioValue.ToString("N2"));
}
}
catch (Exception err)
{
Log.Error(err, "Error generating statistics packet");
}
//Diagnostics Completed, Send Result Packet:
var totalSeconds = (DateTime.Now - startTime).TotalSeconds;
var dataPoints = algorithmManager.DataPoints + algorithm.HistoryProvider.DataPointCount;
if (!_liveMode)
{
var kps = dataPoints / (double)1000 / totalSeconds;
AlgorithmHandlers.Results.DebugMessage($"Algorithm Id:({job.AlgorithmId}) completed in {totalSeconds:F2} seconds at {kps:F0}k data points per second. Processing total of {dataPoints:N0} data points.");
}
AlgorithmHandlers.Results.SendFinalResult(job, orders, algorithm.Transactions.TransactionRecord, holdings, algorithm.Portfolio.CashBook, statisticsResults, banner);
}
catch (Exception err)
{
Log.Error(err, "Error sending analysis results");
}
//Before we return, send terminate commands to close up the threads
AlgorithmHandlers.Transactions.Exit();
AlgorithmHandlers.DataFeed.Exit();
AlgorithmHandlers.RealTime.Exit();
AlgorithmHandlers.Alphas.Exit();
dataManager?.RemoveAllSubscriptions();
workerThread?.Dispose();
}
//Close result handler:
AlgorithmHandlers.Results.Exit();
//Wait for the threads to complete:
var millisecondInterval = 10;
var millisecondTotalWait = 0;
while ((AlgorithmHandlers.Results.IsActive ||
(AlgorithmHandlers.Transactions != null && AlgorithmHandlers.Transactions.IsActive) ||
(AlgorithmHandlers.DataFeed != null && AlgorithmHandlers.DataFeed.IsActive) ||
(AlgorithmHandlers.RealTime != null && AlgorithmHandlers.RealTime.IsActive) ||
(AlgorithmHandlers.Alphas != null && AlgorithmHandlers.Alphas.IsActive)) &&
millisecondTotalWait < 30 * 1000)
{
Thread.Sleep(millisecondInterval);
if (millisecondTotalWait % (millisecondInterval * 10) == 0)
{
Log.Trace("Waiting for threads to exit...");
}
millisecondTotalWait += millisecondInterval;
}
//Terminate threads still in active state.
if (threadResults != null && threadResults.IsAlive)
{
threadResults.Abort();
}
if (threadAlphas != null && threadAlphas.IsAlive)
{
threadAlphas.Abort();
}
if (brokerage != null)
{
Log.Trace("Engine.Run(): Disconnecting from brokerage...");
brokerage.Disconnect();
brokerage.Dispose();
}
if (AlgorithmHandlers.Setup != null)
{
Log.Trace("Engine.Run(): Disposing of setup handler...");
AlgorithmHandlers.Setup.Dispose();
}
Log.Trace("Engine.Main(): Analysis Completed and Results Posted.");
}
catch (Exception err)
{
Log.Error(err, "Error running algorithm");
}
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)
{
SystemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, algorithmManager.State);
}
AlgorithmHandlers.Results.Exit();
AlgorithmHandlers.DataFeed.Exit();
AlgorithmHandlers.Transactions.Exit();
AlgorithmHandlers.RealTime.Exit();
}
}
/// <summary>
/// Runs a single backtest/live job from the job queue
/// </summary>
/// <param name="job">The algorithm job to be processed</param>
/// <param name="assemblyPath">The path to the algorithm's assembly</param>
public void Run(AlgorithmNodePacket job, string assemblyPath)
{
var algorithm = default(IAlgorithm);
var algorithmManager = new AlgorithmManager(_liveMode);
//Start monitoring the backtest active status:
var statusPing = new StateCheck.Ping(algorithmManager, _systemHandlers.Api, _algorithmHandlers.Results, _systemHandlers.Notify, job);
var statusPingThread = new Thread(statusPing.Run);
statusPingThread.Start();
try
{
//Reset thread holders.
var initializeComplete = false;
Thread threadFeed = null;
Thread threadTransactions = null;
Thread threadResults = null;
Thread threadRealTime = null;
//-> Initialize messaging system
_systemHandlers.Notify.SetChannel(job.Channel);
//-> Set the result handler type for this algorithm job, and launch the associated result thread.
_algorithmHandlers.Results.Initialize(job, _systemHandlers.Notify, _systemHandlers.Api, _algorithmHandlers.DataFeed, _algorithmHandlers.Setup, _algorithmHandlers.Transactions);
threadResults = new Thread(_algorithmHandlers.Results.Run, 0)
{
Name = "Result Thread"
};
threadResults.Start();
IBrokerage brokerage = null;
try
{
// Save algorithm to cache, load algorithm instance:
algorithm = _algorithmHandlers.Setup.CreateAlgorithmInstance(assemblyPath, job.Language);
// set the history provider before setting up the algorithm
_algorithmHandlers.HistoryProvider.Initialize(job, progress =>
{
// send progress updates to the result handler only during initialization
if (!algorithm.GetLocked() || algorithm.IsWarmingUp)
{
_algorithmHandlers.Results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.History,
string.Format("Processing history {0}%...", progress));
}
});
algorithm.HistoryProvider = _algorithmHandlers.HistoryProvider;
// initialize the default brokerage message handler
algorithm.BrokerageMessageHandler = new DefaultBrokerageMessageHandler(algorithm, job, _algorithmHandlers.Results, _systemHandlers.Api);
//Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
initializeComplete = _algorithmHandlers.Setup.Setup(algorithm, out brokerage, job, _algorithmHandlers.Results, _algorithmHandlers.Transactions, _algorithmHandlers.RealTime);
// set this again now that we've actually added securities
_algorithmHandlers.Results.SetAlgorithm(algorithm);
//If there are any reasons it failed, pass these back to the IDE.
if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || _algorithmHandlers.Setup.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(",", _algorithmHandlers.Setup.Errors);
_algorithmHandlers.Results.RuntimeError(errorMessage);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage);
}
}
catch (Exception err)
{
var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err.StackTrace;
_algorithmHandlers.Results.RuntimeError(runtimeMessage, err.StackTrace);
_systemHandlers.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.
var 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.SetLocked();
//Wire up the universe selection event handler before kicking off the data feed
var universeSelection = new UniverseSelection(_algorithmHandlers.DataFeed, algorithm, _liveMode);
_algorithmHandlers.DataFeed.UniverseSelection += (sender, args) => universeSelection.ApplyUniverseSelection(args);
//Load the associated handlers for data, transaction and realtime events:
_algorithmHandlers.DataFeed.Initialize(algorithm, job, _algorithmHandlers.Results);
_algorithmHandlers.Transactions.Initialize(algorithm, brokerage, _algorithmHandlers.Results);
_algorithmHandlers.RealTime.Setup(algorithm, job, _algorithmHandlers.Results, _systemHandlers.Api);
// wire up the brokerage message handler
brokerage.Message += (sender, message) => algorithm.BrokerageMessageHandler.Handle(message);
//Send status to user the algorithm is now executing.
_algorithmHandlers.Results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Running);
//Launch the data, transaction and realtime handlers into dedicated threads
threadFeed = new Thread(_algorithmHandlers.DataFeed.Run)
{
Name = "DataFeed Thread"
};
threadTransactions = new Thread(_algorithmHandlers.Transactions.Run)
{
Name = "Transaction Thread"
};
threadRealTime = new Thread(_algorithmHandlers.RealTime.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)
_algorithmHandlers.Results.DebugMessage(string.Format("Launching analysis for {0} with LEAN Engine v{1}", job.AlgorithmId, Constants.Version));
try
{
//Create a new engine isolator class
var isolator = new Isolator();
// Execute the Algorithm Code:
var complete = isolator.ExecuteWithTimeLimit(_algorithmHandlers.Setup.MaximumRuntime, algorithmManager.TimeLoopWithinLimits, () =>
{
try
{
//Run Algorithm Job:
// -> Using this Data Feed,
// -> Send Orders to this TransactionHandler,
// -> Send Results to ResultHandler.
algorithmManager.Run(job, algorithm, _algorithmHandlers.DataFeed, _algorithmHandlers.Transactions, _algorithmHandlers.Results, _algorithmHandlers.RealTime, isolator.CancellationToken);
}
catch (Exception err)
{
//Debugging at this level is difficult, stack trace needed.
Log.Error(err);
algorithm.RunTimeError = err;
algorithmManager.SetStatus(AlgorithmStatus.RuntimeError);
return;
}
Log.Trace("Engine.Run(): Exiting Algorithm Manager");
}, job.RamAllocation);
if (!complete)
{
Log.Error("Engine.Main(): Failed to complete in time: " + _algorithmHandlers.Setup.MaximumRuntime.ToString("F"));
throw new Exception("Failed to complete algorithm within " + _algorithmHandlers.Setup.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 (_algorithmHandlers.DataFeed != null)
{
_algorithmHandlers.DataFeed.Exit();
}
if (_algorithmHandlers.Results != null)
{
var message = "Runtime Error: " + err.Message;
Log.Trace("Engine.Run(): Sending runtime error to user...");
_algorithmHandlers.Results.LogMessage(message);
_algorithmHandlers.Results.RuntimeError(message, err.StackTrace);
_systemHandlers.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 trades = algorithm.TradeBuilder.ClosedTrades;
var charts = new Dictionary <string, Chart>(_algorithmHandlers.Results.Charts);
var orders = new Dictionary <int, Order>(_algorithmHandlers.Transactions.Orders);
var holdings = new Dictionary <string, Holding>();
var banner = new Dictionary <string, string>();
var statisticsResults = new StatisticsResults();
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";
const string benchmarkKey = "Benchmark";
// 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);
var totalTransactions = algorithm.Transactions.GetOrders(x => x.Status.IsFill()).Count();
var benchmark = charts[benchmarkKey].Series[benchmarkKey].Values;
statisticsResults = StatisticsBuilder.Generate(trades, profitLoss, equity, performance, benchmark,
_algorithmHandlers.Setup.StartingPortfolioValue, algorithm.Portfolio.TotalFees, totalTransactions);
}
}
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;
var dataPoints = algorithmManager.DataPoints + _algorithmHandlers.HistoryProvider.DataPointCount;
_algorithmHandlers.Results.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"), ((dataPoints / (double)1000) / totalSeconds).ToString("F0"),
dataPoints.ToString("N0")));
_algorithmHandlers.Results.SendFinalResult(job, orders, algorithm.Transactions.TransactionRecord, holdings, statisticsResults, 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
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.RealTime.Exit();
}
//Close result handler:
_algorithmHandlers.Results.Exit();
statusPing.Exit();
//Wait for the threads to complete:
var ts = Stopwatch.StartNew();
while ((_algorithmHandlers.Results.IsActive ||
(_algorithmHandlers.Transactions != null && _algorithmHandlers.Transactions.IsActive) ||
(_algorithmHandlers.DataFeed != null && _algorithmHandlers.DataFeed.IsActive) ||
(_algorithmHandlers.RealTime != null && _algorithmHandlers.RealTime.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 (_algorithmHandlers.Setup != null)
{
_algorithmHandlers.Setup.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)
{
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, algorithmManager.State);
}
_algorithmHandlers.Results.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.RealTime.Exit();
}
}
/// <summary>
/// Runs a single backtest/live job from the job queue
/// </summary>
/// <param name="job">The algorithm job to be processed</param>
/// <param name="manager"></param>
/// <param name="assemblyPath">The path to the algorithm's assembly</param>
public void Run(AlgorithmNodePacket job, AlgorithmManager manager, string assemblyPath)
{
var algorithm = default(IAlgorithm);
var algorithmManager = manager;
try
{
//Reset thread holders.
var initializeComplete = false;
Thread threadFeed = null;
Thread threadTransactions = null;
Thread threadResults = null;
Thread threadRealTime = null;
//-> Initialize messaging system
_systemHandlers.Notify.SetAuthentication(job);
//-> Set the result handler type for this algorithm job, and launch the associated result thread.
_algorithmHandlers.Results.Initialize(job, _systemHandlers.Notify, _systemHandlers.Api, _algorithmHandlers.DataFeed, _algorithmHandlers.Setup, _algorithmHandlers.Transactions);
threadResults = new Thread(_algorithmHandlers.Results.Run, 0)
{
IsBackground = true, Name = "Result Thread"
};
threadResults.Start();
IBrokerage brokerage = null;
try
{
// Save algorithm to cache, load algorithm instance:
algorithm = _algorithmHandlers.Setup.CreateAlgorithmInstance(job, assemblyPath);
// Set algorithm in ILeanManager
_systemHandlers.LeanManager.SetAlgorithm(algorithm);
// Initialize the brokerage
IBrokerageFactory factory;
brokerage = _algorithmHandlers.Setup.CreateBrokerage(job, algorithm, out factory);
// Initialize the data feed before we initialize so he can intercept added securities/universes via events
_algorithmHandlers.DataFeed.Initialize(algorithm, job, _algorithmHandlers.Results, _algorithmHandlers.MapFileProvider, _algorithmHandlers.FactorFileProvider, _algorithmHandlers.DataProvider);
// set the order processor on the transaction manager (needs to be done before initializing BrokerageHistoryProvider)
algorithm.Transactions.SetOrderProcessor(_algorithmHandlers.Transactions);
// set the history provider before setting up the algorithm
var historyProvider = GetHistoryProvider(job.HistoryProvider);
if (historyProvider is BrokerageHistoryProvider)
{
(historyProvider as BrokerageHistoryProvider).SetBrokerage(brokerage);
}
var historyDataCacheProvider = new ZipDataCacheProvider(_algorithmHandlers.DataProvider);
historyProvider.Initialize(job, _algorithmHandlers.DataProvider, historyDataCacheProvider, _algorithmHandlers.MapFileProvider, _algorithmHandlers.FactorFileProvider, progress =>
{
// send progress updates to the result handler only during initialization
if (!algorithm.GetLocked() || algorithm.IsWarmingUp)
{
_algorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.History,
string.Format("Processing history {0}%...", progress));
}
});
algorithm.HistoryProvider = historyProvider;
// initialize the default brokerage message handler
algorithm.BrokerageMessageHandler = factory.CreateBrokerageMessageHandler(algorithm, job, _systemHandlers.Api);
//Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
initializeComplete = _algorithmHandlers.Setup.Setup(algorithm, brokerage, job, _algorithmHandlers.Results, _algorithmHandlers.Transactions, _algorithmHandlers.RealTime);
// set this again now that we've actually added securities
_algorithmHandlers.Results.SetAlgorithm(algorithm);
//If there are any reasons it failed, pass these back to the IDE.
if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || _algorithmHandlers.Setup.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(",", _algorithmHandlers.Setup.Errors);
Log.Error("Engine.Run(): " + errorMessage);
_algorithmHandlers.Results.RuntimeError(errorMessage);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage);
}
}
catch (Exception err)
{
Log.Error(err);
var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err.StackTrace;
_algorithmHandlers.Results.RuntimeError(runtimeMessage, err.StackTrace);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, runtimeMessage);
}
// log the job endpoints
Log.Trace("JOB HANDLERS: ");
Log.Trace(" DataFeed: " + _algorithmHandlers.DataFeed.GetType().FullName);
Log.Trace(" Setup: " + _algorithmHandlers.Setup.GetType().FullName);
Log.Trace(" RealTime: " + _algorithmHandlers.RealTime.GetType().FullName);
Log.Trace(" Results: " + _algorithmHandlers.Results.GetType().FullName);
Log.Trace(" Transactions: " + _algorithmHandlers.Transactions.GetType().FullName);
if (algorithm != null && algorithm.HistoryProvider != null)
{
Log.Trace(" History Provider: " + algorithm.HistoryProvider.GetType().FullName);
}
if (job is LiveNodePacket)
{
Log.Trace(" Brokerage: " + brokerage.GetType().FullName);
}
//-> Using the job + initialization: load the designated handlers:
if (initializeComplete)
{
//-> Reset the backtest stopwatch; we're now running the algorithm.
var 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.SetLocked();
//Load the associated handlers for transaction and realtime events:
_algorithmHandlers.Transactions.Initialize(algorithm, brokerage, _algorithmHandlers.Results);
_algorithmHandlers.RealTime.Setup(algorithm, job, _algorithmHandlers.Results, _systemHandlers.Api);
// wire up the brokerage message handler
brokerage.Message += (sender, message) =>
{
algorithm.BrokerageMessageHandler.Handle(message);
// fire brokerage message events
algorithm.OnBrokerageMessage(message);
switch (message.Type)
{
case BrokerageMessageType.Disconnect:
algorithm.OnBrokerageDisconnect();
break;
case BrokerageMessageType.Reconnect:
algorithm.OnBrokerageReconnect();
break;
}
};
//Send status to user the algorithm is now executing.
_algorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.Running);
//Launch the data, transaction and realtime handlers into dedicated threads
threadFeed = new Thread(_algorithmHandlers.DataFeed.Run)
{
IsBackground = true, Name = "DataFeed Thread"
};
threadTransactions = new Thread(_algorithmHandlers.Transactions.Run)
{
IsBackground = true, Name = "Transaction Thread"
};
threadRealTime = new Thread(_algorithmHandlers.RealTime.Run)
{
IsBackground = true, 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)
_algorithmHandlers.Results.DebugMessage(string.Format("Launching analysis for {0} with LEAN Engine v{1}", job.AlgorithmId, Globals.Version));
try
{
//Create a new engine isolator class
var isolator = new Isolator();
// Execute the Algorithm Code:
var complete = isolator.ExecuteWithTimeLimit(_algorithmHandlers.Setup.MaximumRuntime, algorithmManager.TimeLoopWithinLimits, () =>
{
try
{
//Run Algorithm Job:
// -> Using this Data Feed,
// -> Send Orders to this TransactionHandler,
// -> Send Results to ResultHandler.
algorithmManager.Run(job, algorithm, _algorithmHandlers.DataFeed, _algorithmHandlers.Transactions, _algorithmHandlers.Results, _algorithmHandlers.RealTime, _systemHandlers.LeanManager, isolator.CancellationToken);
}
catch (Exception err)
{
//Debugging at this level is difficult, stack trace needed.
Log.Error(err);
algorithm.RunTimeError = err;
algorithmManager.SetStatus(AlgorithmStatus.RuntimeError);
return;
}
Log.Trace("Engine.Run(): Exiting Algorithm Manager");
}, job.Controls.RamAllocation);
if (!complete)
{
Log.Error("Engine.Main(): Failed to complete in time: " + _algorithmHandlers.Setup.MaximumRuntime.ToString("F"));
throw new Exception("Failed to complete algorithm within " + _algorithmHandlers.Setup.MaximumRuntime.ToString("F")
+ " seconds. Please make it run faster.");
}
// Algorithm runtime error:
if (algorithm.RunTimeError != null)
{
HandleAlgorithmError(job, algorithm.RunTimeError);
}
}
catch (Exception err)
{
//Error running the user algorithm: purge datafeed, send error messages, set algorithm status to failed.
HandleAlgorithmError(job, err);
}
try
{
var trades = algorithm.TradeBuilder.ClosedTrades;
var charts = new Dictionary <string, Chart>(_algorithmHandlers.Results.Charts);
var orders = new Dictionary <int, Order>(_algorithmHandlers.Transactions.Orders);
var holdings = new Dictionary <string, Holding>();
var banner = new Dictionary <string, string>();
var statisticsResults = new StatisticsResults();
var csvTransactionsFileName = Config.Get("transaction-log");
if (!string.IsNullOrEmpty(csvTransactionsFileName))
{
SaveListOfTrades(_algorithmHandlers.Transactions, csvTransactionsFileName);
}
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";
const string benchmarkKey = "Benchmark";
// 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) &&
charts.ContainsKey(benchmarkKey) &&
charts[benchmarkKey].Series.ContainsKey(benchmarkKey)
)
{
var equity = charts[strategyEquityKey].Series[equityKey].Values;
var performance = charts[strategyEquityKey].Series[dailyPerformanceKey].Values;
var profitLoss = new SortedDictionary <DateTime, decimal>(algorithm.Transactions.TransactionRecord);
var totalTransactions = algorithm.Transactions.GetOrders(x => x.Status.IsFill()).Count();
var benchmark = charts[benchmarkKey].Series[benchmarkKey].Values;
statisticsResults = StatisticsBuilder.Generate(trades, profitLoss, equity, performance, benchmark,
_algorithmHandlers.Setup.StartingPortfolioValue, algorithm.Portfolio.TotalFees, totalTransactions);
//Some users have $0 in their brokerage account / starting cash of $0. Prevent divide by zero errors
var netReturn = _algorithmHandlers.Setup.StartingPortfolioValue > 0 ?
(algorithm.Portfolio.TotalPortfolioValue - _algorithmHandlers.Setup.StartingPortfolioValue) / _algorithmHandlers.Setup.StartingPortfolioValue
: 0;
//Add other fixed parameters.
banner.Add("Unrealized", "$" + algorithm.Portfolio.TotalUnrealizedProfit.ToString("N2"));
banner.Add("Fees", "-$" + algorithm.Portfolio.TotalFees.ToString("N2"));
banner.Add("Net Profit", "$" + algorithm.Portfolio.TotalProfit.ToString("N2"));
banner.Add("Return", netReturn.ToString("P"));
banner.Add("Equity", "$" + algorithm.Portfolio.TotalPortfolioValue.ToString("N2"));
}
}
catch (Exception err)
{
Log.Error(err, "Error generating statistics packet");
}
//Diagnostics Completed, Send Result Packet:
var totalSeconds = (DateTime.Now - startTime).TotalSeconds;
var dataPoints = algorithmManager.DataPoints + algorithm.HistoryProvider.DataPointCount;
_algorithmHandlers.Results.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"), ((dataPoints / (double)1000) / totalSeconds).ToString("F0"),
dataPoints.ToString("N0")));
_algorithmHandlers.Results.SendFinalResult(job, orders, algorithm.Transactions.TransactionRecord, holdings, algorithm.Portfolio.CashBook, statisticsResults, banner);
}
catch (Exception err)
{
Log.Error(err, "Error sending analysis results");
}
//Before we return, send terminate commands to close up the threads
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.RealTime.Exit();
}
//Close result handler:
_algorithmHandlers.Results.Exit();
//Wait for the threads to complete:
var ts = Stopwatch.StartNew();
while ((_algorithmHandlers.Results.IsActive ||
(_algorithmHandlers.Transactions != null && _algorithmHandlers.Transactions.IsActive) ||
(_algorithmHandlers.DataFeed != null && _algorithmHandlers.DataFeed.IsActive) ||
(_algorithmHandlers.RealTime != null && _algorithmHandlers.RealTime.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 (brokerage != null)
{
Log.Trace("Engine.Run(): Disconnecting from brokerage...");
brokerage.Disconnect();
brokerage.Dispose();
}
if (_algorithmHandlers.Setup != null)
{
Log.Trace("Engine.Run(): Disposing of setup handler...");
_algorithmHandlers.Setup.Dispose();
}
Log.Trace("Engine.Main(): Analysis Completed and Results Posted.");
}
catch (Exception err)
{
Log.Error(err, "Error running algorithm");
}
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)
{
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, algorithmManager.State);
}
_algorithmHandlers.Results.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.RealTime.Exit();
}
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Primary Analysis Thread:
/// </summary>
public static void Main(string[] args)
{
//Initialize:
AlgorithmNodePacket job = null;
var timer = Stopwatch.StartNew();
var algorithm = default(IAlgorithm);
_version = DateTime.ParseExact(Config.Get("version", DateTime.Now.ToString(DateFormat.UI)), DateFormat.UI, CultureInfo.InvariantCulture);
//Name thread for the profiler:
Thread.CurrentThread.Name = "Algorithm Analysis Thread";
Log.Trace("Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v" + _version);
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)
var catalog = new AggregateCatalog();
catalog.Catalogs.Add(new DirectoryCatalog(@"../../Extensions"));
var container = new CompositionContainer(catalog);
try
{
// grab the right export based on configuration
Notify = container.GetExportedValueByTypeName <IMessagingHandler>(Config.Get("messaging-handler"));
Queue = container.GetExportedValueByTypeName <IQueueHandler>(Config.Get("queue-handler"));
Api = container.GetExportedValueByTypeName <IApi>(Config.Get("api-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();
Queue.Initialize(_liveMode);
//Start monitoring the backtest active status:
var statusPingThread = new Thread(StateCheck.Ping.Run);
statusPingThread.Start();
do
{
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;
//-> Pull job from QuantConnect job queue, or, pull local build:
var algorithmPath = "";
job = Queue.NextJob(out algorithmPath); // Blocking.
//-> Initialize messaging system
Notify.SetChannel(job.Channel);
//-> Reset the backtest stopwatch; we're now running the algorithm.
timer.Restart();
//-> 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);
throw new Exception(errorMessage);
}
}
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)
{
//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, 0)
{
Name = "DataFeed Thread"
};
threadTransactions = new Thread(TransactionHandler.Run, 0)
{
Name = "Transaction Thread"
};
threadRealTime = new Thread(RealTimeHandler.Run, 0)
{
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)
try
{
// Execute the Algorithm Code:
var complete = Isolator.ExecuteWithTimeLimit(SetupHandler.MaximumRuntime, () =>
{
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(): Error in Algo Manager: " + err.Message + " ST >> " + err.StackTrace);
}
Log.Trace("Engine.Run(): Exiting Algorithm Manager");
}, 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 (AlgorithmManager.RunTimeError != null)
{
throw AlgorithmManager.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.StartingCapital, 252);
}
}
catch (Exception err)
{
Log.Error("Algorithm.Node.Engine(): Error generating statistics packet: " + err.Message);
}
//Diagnostics Completed, Send Result Packet:
ResultHandler.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") completed analysis in " + timer.Elapsed.TotalSeconds.ToString("F2") + " seconds");
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
timer.Stop(); //Algorithm finished running.
TransactionHandler.Exit();
DataFeed.Exit();
RealTimeHandler.Exit();
}
//Close result handler:
ResultHandler.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...");
}
if (threadFeed != null && threadFeed.IsAlive)
{
threadFeed.Abort();
}
if (threadTransactions != null && threadTransactions.IsAlive)
{
threadTransactions.Abort();
}
if (threadResults != null && threadResults.IsAlive)
{
threadResults.Abort();
}
Log.Trace("Engine.Main(): Analysis Completed and Results Posted.");
}
catch (Exception err)
{
Log.Error("Engine.Main(): Error running algorithm: " + err.Message + " >> " + err.StackTrace);
}
finally
{
//Delete the message from the job queue:
Queue.AcknowledgeJob(job);
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
//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);
}
//Attempt to clean up ram usage:
GC.Collect();
}
//If we're running locally will execute just once.
} while (!IsLocal);
// Send the exit signal and then kill the thread
StateCheck.Ping.Exit();
// Make the console window pause so we can read log output before exiting and killing the application completely
Console.ReadKey();
//Finally if ping thread still not complete, kill.
if (statusPingThread != null && statusPingThread.IsAlive)
{
statusPingThread.Abort();
}
}
public Ping(AlgorithmManager algorithmManager, IApi api, IResultHandler resultHandler)
{
_algorithmManager = algorithmManager;
_api = api;
_resultHandler = resultHandler;
}
public Ping(AlgorithmManager algorithmManager, IApi api, IResultHandler resultHandler)
{
_algorithmManager = algorithmManager;
_api = api;
_resultHandler = resultHandler;
}
