/// <summary>
/// Compose the packet from a JSON string:
/// </summary>
public BacktestResultPacket(string json)
: base(PacketType.BacktestResult)
{
try
{
var packet = JsonConvert.DeserializeObject <BacktestResultPacket>(json, new JsonSerializerSettings
{
TypeNameHandling = TypeNameHandling.Auto
});
CompileId = packet.CompileId;
Channel = packet.Channel;
PeriodFinish = packet.PeriodFinish;
PeriodStart = packet.PeriodStart;
Progress = packet.Progress;
SessionId = packet.SessionId;
BacktestId = packet.BacktestId;
Type = packet.Type;
UserId = packet.UserId;
DateFinished = packet.DateFinished;
DateRequested = packet.DateRequested;
Name = packet.Name;
ProjectId = packet.ProjectId;
Results = packet.Results;
ProcessingTime = packet.ProcessingTime;
TradeableDates = packet.TradeableDates;
OptimizationId = packet.OptimizationId;
}
catch (Exception err)
{
Log.Trace($"BacktestResultPacket(): Error converting json: {err}");
}
}
/// <summary>
/// Compose the packet from a JSON string:
/// </summary>
public BacktestResultPacket(string json)
: base(PacketType.BacktestResult)
{
try
{
var packet = JsonConvert.DeserializeObject <BacktestResultPacket>(json);
CompileId = packet.CompileId;
Channel = packet.Channel;
PeriodFinish = packet.PeriodFinish;
PeriodStart = packet.PeriodStart;
Progress = packet.Progress;
SessionId = packet.SessionId;
BacktestId = packet.BacktestId;
Type = packet.Type;
UserId = packet.UserId;
DateFinished = packet.DateFinished;
DateRequested = packet.DateRequested;
Name = packet.Name;
ProjectId = packet.ProjectId;
RunMode = packet.RunMode;
Results = packet.Results;
ProcessingTime = packet.ProcessingTime;
TradeableDates = packet.TradeableDates;
}
catch (Exception err)
{
Log.Trace("BacktestResultPacket(): Error converting json: " + err.Message);
}
}
/// <summary>
/// Compose result data packet - with tradable dates from the backtest job task and the partial result packet.
/// </summary>
/// <param name="job">Job that started this request</param>
/// <param name="results">Results class for the Backtest job</param>
/// <param name="progress">Progress of the packet. For the packet we assume progess of 100%.</param>
public BacktestResultPacket(BacktestNodePacket job, BacktestResult results, decimal progress = 1m)
: base(PacketType.BacktestResult)
{
try
{
Progress = Math.Round(progress, 3);
SessionId = job.SessionId;
PeriodFinish = job.PeriodFinish;
PeriodStart = job.PeriodStart;
CompileId = job.CompileId;
Channel = job.Channel;
BacktestId = job.BacktestId;
Results = results;
Name = job.Name;
UserId = job.UserId;
ProjectId = job.ProjectId;
SessionId = job.SessionId;
TradeableDates = job.TradeableDates;
}
catch (Exception err) {
Log.Error(err);
}
}
/// <summary>
/// Send a backtest update to the browser taking a latest snapshot of the charting data.
/// </summary>
public void Update()
{
try
{
//Sometimes don't run the update, if not ready or we're ending.
if (Algorithm == null || Algorithm.Transactions == null || _processingFinalPacket)
{
return;
}
if (DateTime.Now <= _nextUpdate || !(_daysProcessed > (_lastDaysProcessed + 1))) return;
//Extract the orders since last update
var deltaOrders = new Dictionary<int, Order>();
try
{
deltaOrders = (from order in Algorithm.Transactions.Orders
where order.Value.Time.Date >= _lastUpdate && order.Value.Status == OrderStatus.Filled
select order).ToDictionary(t => t.Key, t => t.Value);
}
catch (Exception err)
{
Log.Error("BacktestingResultHandler().Update(): Transactions: " + err.Message);
}
//Limit length of orders we pass back dynamically to avoid flooding.
if (deltaOrders.Count > 50) deltaOrders.Clear();
//Reset loop variables:
try
{
_lastUpdate = DataStream.AlorithmTime.Date;
_lastDaysProcessed = _daysProcessed;
_nextUpdate = DateTime.Now.AddSeconds(0.5);
}
catch (Exception err)
{
Log.Error("BacktestingResultHandler.Update(): Can't update variables: " + err.Message);
}
var deltaCharts = new Dictionary<string, Chart>();
lock (_chartLock)
{
//Get the updates since the last chart
foreach (var chart in Charts.Values)
{
deltaCharts.Add(chart.Name, chart.GetUpdates());
}
}
//Profit Loss Changes:
var progress = Convert.ToDecimal(_daysProcessed / _jobDays);
if (progress > 0.999m) progress = 0.999m;
//1. Cloud Upload -> Upload the whole packet to S3 Immediately:
var completeResult = new BacktestResult(Charts, Algorithm.Transactions.Orders, Algorithm.Transactions.TransactionRecord, new Dictionary<string, string>());
var complete = new BacktestResultPacket(_job, completeResult, progress);
if (DateTime.Now > _nextS3Update)
{
_nextS3Update = DateTime.Now.AddSeconds(30);
StoreResult(complete, false);
}
//2. Backtest Update -> Send the truncated packet to the backtester:
var splitPackets = SplitPackets(deltaCharts, deltaOrders, progress);
foreach (var backtestingPacket in splitPackets)
{
Engine.Notify.Send(backtestingPacket);
}
}
catch (Exception err)
{
Log.Error("BacktestingResultHandler().Update(): " + err.Message + " >> " + err.StackTrace );
}
}
} // End Run();
/// <summary>
/// Send a backtest update to the browser taking a latest snapshot of the charting data.
/// </summary>
public void Update()
{
try
{
//Sometimes don't run the update, if not ready or we're ending.
if (Algorithm == null || Algorithm.Transactions == null || _processingFinalPacket)
{
return;
}
if (DateTime.Now <= _nextUpdate || !(_daysProcessed > (_lastDaysProcessed + 1))) return;
//Extract the orders since last update
var deltaOrders = new Dictionary<int, Order>();
try
{
deltaOrders = (from order in _transactionHandler.Orders
where order.Value.Time.Date >= _lastUpdate && order.Value.Status == OrderStatus.Filled
select order).ToDictionary(t => t.Key, t => t.Value);
}
catch (Exception err)
{
Log.Error(err, "Transactions");
}
//Limit length of orders we pass back dynamically to avoid flooding.
if (deltaOrders.Count > 50) deltaOrders.Clear();
//Reset loop variables:
try
{
_lastUpdate = Algorithm.Time.Date;
_lastDaysProcessed = _daysProcessed;
_nextUpdate = DateTime.Now.AddSeconds(0.5);
}
catch (Exception err)
{
Log.Error(err, "Can't update variables");
}
var deltaCharts = new Dictionary<string, Chart>();
lock (_chartLock)
{
//Get the updates since the last chart
foreach (var chart in Charts.Values)
{
deltaCharts.Add(chart.Name, chart.GetUpdates());
}
}
//Get the runtime statistics from the user algorithm:
var runtimeStatistics = new Dictionary<string, string>();
lock (_runtimeLock)
{
foreach (var pair in _runtimeStatistics)
{
runtimeStatistics.Add(pair.Key, pair.Value);
}
}
runtimeStatistics.Add("Unrealized", "$" + _algorithm.Portfolio.TotalUnrealizedProfit.ToString("N2"));
runtimeStatistics.Add("Fees", "-$" + _algorithm.Portfolio.TotalFees.ToString("N2"));
runtimeStatistics.Add("Net Profit", "$" + _algorithm.Portfolio.TotalProfit.ToString("N2"));
runtimeStatistics.Add("Return", ((_algorithm.Portfolio.TotalPortfolioValue - _setupHandler.StartingPortfolioValue) / _setupHandler.StartingPortfolioValue).ToString("P"));
runtimeStatistics.Add("Equity", "$" + _algorithm.Portfolio.TotalPortfolioValue.ToString("N2"));
//Profit Loss Changes:
var progress = Convert.ToDecimal(_daysProcessed / _jobDays);
if (progress > 0.999m) progress = 0.999m;
//1. Cloud Upload -> Upload the whole packet to S3 Immediately:
var completeResult = new BacktestResult(Charts, _transactionHandler.Orders, Algorithm.Transactions.TransactionRecord, new Dictionary<string, string>(), runtimeStatistics, new Dictionary<string, AlgorithmPerformance>());
var complete = new BacktestResultPacket(_job, completeResult, progress);
if (DateTime.Now > _nextS3Update)
{
_nextS3Update = DateTime.Now.AddSeconds(30);
StoreResult(complete, false);
}
//2. Backtest Update -> Send the truncated packet to the backtester:
var splitPackets = SplitPackets(deltaCharts, deltaOrders, runtimeStatistics, progress);
foreach (var backtestingPacket in splitPackets)
{
_messagingHandler.Send(backtestingPacket);
}
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Compose result data packet - with tradable dates from the backtest job task and the partial result packet.
/// </summary>
/// <param name="job">Job that started this request</param>
/// <param name="results">Results class for the Backtest job</param>
/// <param name="progress">Progress of the packet. For the packet we assume progess of 100%.</param>
public BacktestResultPacket(BacktestNodePacket job, BacktestResult results, decimal progress = 1m)
: base(PacketType.BacktestResult)
{
try
{
Progress = Math.Round(progress, 3);
SessionId = job.SessionId;
PeriodFinish = job.PeriodFinish;
PeriodStart = job.PeriodStart;
CompileId = job.CompileId;
Channel = job.Channel;
BacktestId = job.BacktestId;
Results = results;
Name = job.Name;
UserId = job.UserId;
ProjectId = job.ProjectId;
SessionId = job.SessionId;
TradeableDates = job.TradeableDates;
}
catch (Exception err) {
Log.Error("BacktestResultPacket.Constructor: " + err.Message);
}
}
/// <summary>
/// Compose the packet from a JSON string:
/// </summary>
public BacktestResultPacket(string json)
: base(PacketType.BacktestResult)
{
try
{
var packet = JsonConvert.DeserializeObject<BacktestResultPacket>(json, new JsonSerializerSettings
{
TypeNameHandling = TypeNameHandling.Auto
});
CompileId = packet.CompileId;
Channel = packet.Channel;
PeriodFinish = packet.PeriodFinish;
PeriodStart = packet.PeriodStart;
Progress = packet.Progress;
SessionId = packet.SessionId;
BacktestId = packet.BacktestId;
Type = packet.Type;
UserId = packet.UserId;
DateFinished = packet.DateFinished;
DateRequested = packet.DateRequested;
Name = packet.Name;
ProjectId = packet.ProjectId;
Results = packet.Results;
ProcessingTime = packet.ProcessingTime;
TradeableDates = packet.TradeableDates;
}
catch (Exception err)
{
Log.Trace("BacktestResultPacket(): Error converting json: " + err.Message);
}
}
