} // 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?.Transactions == null || _processingFinalPacket)
{
return;
}
if (DateTime.UtcNow <= _nextUpdate || _daysProcessed < _daysProcessedFrontier)
{
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.UtcTime.Date;
_daysProcessedFrontier = _daysProcessed + 1;
_nextUpdate = DateTime.UtcNow.AddSeconds(2);
}
catch (Exception err)
{
Log.Error(err, "Can't update variables");
}
var deltaCharts = new Dictionary <string, Chart>();
var performanceCharts = new Dictionary <string, Chart>();
lock (ChartLock)
{
//Get the updates since the last chart
foreach (var kvp in Charts)
{
var chart = kvp.Value;
deltaCharts.Add(chart.Name, chart.GetUpdates());
if (AlgorithmPerformanceCharts.Contains(kvp.Key))
{
performanceCharts[kvp.Key] = chart.Clone();
}
}
}
//Get the runtime statistics from the user algorithm:
var runtimeStatistics = new Dictionary <string, string>();
lock (RuntimeStatistics)
{
foreach (var pair in RuntimeStatistics)
{
runtimeStatistics.Add(pair.Key, pair.Value);
}
}
var summary = GenerateStatisticsResults(performanceCharts).Summary;
GetAlgorithmRuntimeStatistics(summary, runtimeStatistics);
//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:
if (DateTime.UtcNow > _nextS3Update)
{
// For intermediate backtesting results, we truncate the order list to include only the last 100 orders
// The final packet will contain the full list of orders.
const int maxOrders = 100;
var orderCount = TransactionHandler.Orders.Count;
var completeResult = new BacktestResult(
Charts,
orderCount > maxOrders ? TransactionHandler.Orders.Skip(orderCount - maxOrders).ToDictionary() : TransactionHandler.Orders.ToDictionary(),
Algorithm.Transactions.TransactionRecord,
new Dictionary <string, string>(),
runtimeStatistics,
new Dictionary <string, AlgorithmPerformance>());
StoreResult(new BacktestResultPacket(_job, completeResult, progress));
_nextS3Update = DateTime.UtcNow.AddSeconds(30);
}
//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);
}
}
} // End Run();
/// <summary>
/// Send a backtest update to the browser taking a latest snapshot of the charting data.
/// </summary>
private void Update()
{
try
{
//Sometimes don't run the update, if not ready or we're ending.
if (Algorithm?.Transactions == null || ExitTriggered)
{
return;
}
var utcNow = DateTime.UtcNow;
if (utcNow <= _nextUpdate || _daysProcessed < _daysProcessedFrontier)
{
return;
}
var deltaOrders = GetDeltaOrders(LastDeltaOrderPosition, shouldStop: orderCount => orderCount >= 50);
// Deliberately skip to the end of order event collection to prevent overloading backtesting UX
LastDeltaOrderPosition = TransactionHandler.OrderEvents.Count();
//Reset loop variables:
try
{
_daysProcessedFrontier = _daysProcessed + 1;
_nextUpdate = utcNow.AddSeconds(3);
}
catch (Exception err)
{
Log.Error(err, "Can't update variables");
}
var deltaCharts = new Dictionary <string, Chart>();
var serverStatistics = GetServerStatistics(utcNow);
var performanceCharts = new Dictionary <string, Chart>();
lock (ChartLock)
{
//Get the updates since the last chart
foreach (var kvp in Charts)
{
var chart = kvp.Value;
var updates = chart.GetUpdates();
if (!updates.IsEmpty())
{
deltaCharts.Add(chart.Name, updates);
}
if (AlgorithmPerformanceCharts.Contains(kvp.Key))
{
performanceCharts[kvp.Key] = chart.Clone();
}
}
}
//Get the runtime statistics from the user algorithm:
var runtimeStatistics = new Dictionary <string, string>();
lock (RuntimeStatistics)
{
foreach (var pair in RuntimeStatistics)
{
runtimeStatistics.Add(pair.Key, pair.Value);
}
}
var summary = GenerateStatisticsResults(performanceCharts).Summary;
GetAlgorithmRuntimeStatistics(summary, runtimeStatistics);
//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:
if (utcNow > _nextS3Update)
{
// For intermediate backtesting results, we truncate the order list to include only the last 100 orders
// The final packet will contain the full list of orders.
const int maxOrders = 100;
var orderCount = TransactionHandler.Orders.Count;
var completeResult = new BacktestResult(new BacktestResultParameters(
Charts,
orderCount > maxOrders ? TransactionHandler.Orders.Skip(orderCount - maxOrders).ToDictionary() : TransactionHandler.Orders.ToDictionary(),
Algorithm.Transactions.TransactionRecord,
new Dictionary <string, string>(),
runtimeStatistics,
new Dictionary <string, AlgorithmPerformance>(),
// we store the last 100 order events, the final packet will contain the full list
TransactionHandler.OrderEvents.Reverse().Take(100).ToList()));
StoreResult(new BacktestResultPacket(_job, completeResult, Algorithm.EndDate, Algorithm.StartDate, progress));
_nextS3Update = DateTime.UtcNow.AddSeconds(30);
}
//2. Backtest Update -> Send the truncated packet to the backtester:
var splitPackets = SplitPackets(deltaCharts, deltaOrders, runtimeStatistics, progress, serverStatistics);
foreach (var backtestingPacket in splitPackets)
{
MessagingHandler.Send(backtestingPacket);
}
// let's re update this value after we finish just in case, so we don't re enter in the next loop
_nextUpdate = DateTime.UtcNow.AddSeconds(3);
}
catch (Exception err)
{
Log.Error(err);
}
}
