private void DrawHistogram(StatisticsResults sr)
{
HistogramData histogram = new HistogramData();
histogram.Calculate(sr.Cycle);
ICollection<HistogramData.IntervalData> intervals = histogram.Rows;
const double targetProbabilityValue = (double)1/20;
PlotModel tempPlotModel = new PlotModel("Histogram")
{
LegendPlacement = LegendPlacement.Outside,
LegendPosition = LegendPosition.RightTop,
LegendOrientation = LegendOrientation.Vertical
};
ColumnSeries columnSeries = (ColumnSeries)HistogramPlot(intervals);
tempPlotModel.Axes.Add(new LinearAxis(AxisPosition.Left, 0.0));
tempPlotModel.Axes.Add(new CategoryAxis
{
LabelField = "Value",
IntervalLength = targetProbabilityValue,
ItemsSource = columnSeries.ItemsSource,
GapWidth = 0.0
});
tempPlotModel.Series.Add( columnSeries );
tempPlotModel.Series.Add(TargetProbabilityLine(targetProbabilityValue));
SamplePlot.Model = tempPlotModel;
}
public void ShouldCollectFxCopStatistics()
{
results = builder.ProcessBuildResults(successfulBuildLog);
AssertHasStatistic("FxCop Warnings", 9, results);
AssertHasStatistic("FxCop Errors", 202, results);
}
private void StartButtonPressed(object sender, RoutedEventArgs args)
{
try
{
Int32 aCoeff = ReadInt32(ACoeffInput);
Int32 mCoeff = ReadInt32(MCoeffInput);
if (mCoeff == 0)
{
throw new Exception("M coefficient must be a positive value!");
}
Int32 startingNumber = ReadInt32(StartingValueInput);
LemerGenerator lg = new LemerGenerator(aCoeff, mCoeff, startingNumber);
lg.GenerateRealization();
IList<Double> lemerRealization = lg.Realization;
StatisticsResults sr = new StatisticsResults();
sr.Calculate(lemerRealization);
OutStatisticsResults(sr);
DrawHistogram(sr);
}
catch (Exception e)
{
MessageWindow mw = new MessageWindow(this, e.Message);
mw.ShowDialog();
}
}
static void OutStatitisticsResults(StatisticsResults sr)
{
System.Console.WriteLine("Period {0}", sr.Period);
System.Console.WriteLine("Aperiodic {0}", sr.Aperiodic);
System.Console.WriteLine("Expected Value {0}", sr.ExpectedValue);
System.Console.WriteLine("Deviation {0}", sr.Deviation);
System.Console.WriteLine("Variance {0}", sr.Variance);
System.Console.WriteLine("PI {0}", sr.PI);
}
static void Main(string[] args)
{
System.Console.WriteLine("aCoeff");
Int32 aCoeff = ReadInt32();
System.Console.WriteLine("mCoeff");
Int32 mCoeff = ReadInt32();
System.Console.WriteLine("startingNumber");
Int32 startingNumber = ReadInt32();
LemerGenerator lg = new LemerGenerator(aCoeff, mCoeff, startingNumber);
lg.GenerateRealization();
IList<Double> lemerRealization = lg.Realization;
StatisticsResults sr = new StatisticsResults();
sr.Calculate(lemerRealization);
OutStatitisticsResults(sr);
}
public void ShouldPopulateNUnitSummaryFromLog()
{
string xml =
@"<task>
<test-results total=""6"" failures=""1"" not-run=""2"" date=""2005-04-29"" time=""9:02 PM"">
<test-suite />
</test-results>
<test-results total=""1"" failures=""1"" not-run=""1"" date=""2005-04-29"" time=""9:02 PM"">
<test-suite />
</test-results>
</task>";
result.AddTaskResult(xml);
results = builder.ProcessBuildResults(result);
AssertHasStatistic("TestCount", 7, results);
AssertHasStatistic("TestFailures", 2, results);
AssertHasStatistic("TestIgnored", 3, results);
}
public void AssertHasStatistic(string name, object value, StatisticsResults results)
{
Assert.AreEqual(value,
results.Find(delegate(StatisticResult obj) { return obj.StatName.Equals(name); }).Value,
"Wrong statistic for {0}", name);
}
public void ShouldPopulateTimingsFromIntegrationResult()
{
result.StartTime = new DateTime(2005, 03, 12, 01, 13, 00);
result.EndTime = new DateTime(2005, 03, 12, 01, 45, 00);
result.ProjectName = "Foo";
results = builder.ProcessBuildResults(result);
AssertHasStatistic("StartTime", DateUtil.FormatDate(result.StartTime), results);
AssertHasStatistic("Duration", new TimeSpan(0, 32, 0).ToString(), results);
//AssertHasStatistic("ProjectName", "Foo", results);
}
public void ShowOutputOfStatisticsInConsole()
{
StringBuilder buffer = new StringBuilder();
System.IO.StreamReader reader = System.IO.File.OpenText(@"resources\UnitTestResults2.xml");
var buildlog = reader.ReadToEnd();
reader.Close();
StatisticsBuilder builder = new StatisticsBuilder();
Statistic info = new Statistic();
info.Name = "Statistic TestsTotalCount no ns";
info.Xpath = @"//TestRun/ResultSummary/Counters/@total";
builder.Add(info);
FirstMatch info2 = new FirstMatch();
info2.Name = "FirstMatch TestsTotalCount no ns";
info2.Xpath = @"//TestRun/ResultSummary/Counters/@total";
builder.Add(info2);
FirstMatch info1 = new FirstMatch();
info1.Name = "FirstMatch TestsTotalCount with ns";
info1.Xpath = @"//mstest:TestRun/mstest:ResultSummary/mstest:Counters/@total";
info1.NameSpaces = new StatisticsNamespaceMapping[1];
info1.NameSpaces[0] = new StatisticsNamespaceMapping("mstest", @"http://microsoft.com/schemas/VisualStudio/TeamTest/2010");
builder.Add(info1);
Statistic info3 = new Statistic();
info3.Name = "Statistic sum(TestsTotalCount) no ns";
info3.Xpath = @"sum(//TestRun/ResultSummary/Counters/@total)";
builder.Add(info3);
Statistic info4 = new Statistic();
info4.Name = "Statistic sum(TestsTotalCount) with ns";
info4.Xpath = @"sum(//mstest:TestRun/mstest:ResultSummary/mstest:Counters/@total)";
info4.NameSpaces = new StatisticsNamespaceMapping[1];
info4.NameSpaces[0] = new StatisticsNamespaceMapping("mstest", @"http://microsoft.com/schemas/VisualStudio/TeamTest/2010");
builder.Add(info4);
// seems impossible in xsl 1.0
Statistic imp01 = new Statistic();
imp01.Name = "impossible : Statistic TestsExecutedCount xmlns";
imp01.Xpath = @"/xmlns:cruisecontrol/mstest:TestRun/mstest:ResultSummary/mstest:Counters/@executed";
imp01.NameSpaces = new StatisticsNamespaceMapping[1];
imp01.NameSpaces[0] = new StatisticsNamespaceMapping("mstest", @"http://microsoft.com/schemas/VisualStudio/TeamTest/2010");
builder.Add(imp01);
Statistic imp02 = new Statistic();
imp02.Name = "impossible : Statistic TestsExecutedCount2 not namespace";
imp02.Xpath = @"/cruisecontrol/mstest:TestRun/mstest:ResultSummary/mstest:Counters/@executed";
imp02.NameSpaces = new StatisticsNamespaceMapping[1];
imp02.NameSpaces[0] = new StatisticsNamespaceMapping("mstest", @"http://microsoft.com/schemas/VisualStudio/TeamTest/2010");
builder.Add(imp02);
StatisticsResults results = builder.ProcessBuildResults(buildlog);
foreach (var x in results)
{
Console.WriteLine("Result {0} : {1}", x.StatName, x.Value);
}
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings, StatisticsResults statisticsResults, Dictionary <string, string> banner)
{
try
{
FinalStatistics = statisticsResults.Summary;
//Convert local dictionary:
var charts = new Dictionary <string, Chart>(Charts);
_processingFinalPacket = true;
// clear the trades collection before placing inside the backtest result
foreach (var ap in statisticsResults.RollingPerformances.Values)
{
ap.ClosedTrades.Clear();
}
//Create a result packet to send to the browser.
var result = new BacktestResultPacket((BacktestNodePacket)job,
new BacktestResult(charts, orders, profitLoss, statisticsResults.Summary, banner, statisticsResults.RollingPerformances, statisticsResults.TotalPerformance)
, 1m)
{
ProcessingTime = (DateTime.Now - _startTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
//Place result into storage.
StoreResult(result);
//Second, send the truncated packet:
_messagingHandler.Send(result);
Log.Trace("BacktestingResultHandler.SendAnalysisResult(): Processed final packet");
}
catch (Exception err)
{
Log.Error(err);
}
}
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings, StatisticsResults statisticsResults, Dictionary <string, string> banner)
{
}
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings, StatisticsResults statisticsResults, Dictionary <string, string> banner)
{
_shadow.SendFinalResult(job, orders, profitLoss, holdings, statisticsResults, banner);
FullResults = StatisticsAdapter.Transform(statisticsResults.TotalPerformance);
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings, StatisticsResults statisticsResults, Dictionary <string, string> banner)
{
try
{
//Convert local dictionary:
var charts = new Dictionary <string, Chart>(Charts);
_processingFinalPacket = true;
//Create a result packet to send to the browser.
BacktestResultPacket result = new BacktestResultPacket((BacktestNodePacket)job,
new BacktestResult(charts, orders, profitLoss, statisticsResults.Summary, statisticsResults.RollingPerformances), 1m)
{
ProcessingTime = (DateTime.Now - _startTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
//Place result into storage.
StoreResult(result);
//Truncate packet to fit within 32kb of messaging limits.
result.Results = new BacktestResult();
//Second, send the truncated packet:
_messagingHandler.BacktestResult(result, finalPacket: true);
Log.Trace("BacktestingResultHandler.SendAnalysisResult(): Processed final packet");
}
catch (Exception err)
{
Log.Error("Algorithm.Worker.SendResult(): " + err.Message);
}
}
public void AssertHasStatistic(string name, object value, StatisticsResults results)
{
Assert.AreEqual(value,
results.Find(delegate(StatisticResult obj) { return(obj.StatName.Equals(name)); }).Value,
"Wrong statistic for {0}", name);
}
/// <summary>
/// Algorithm final analysis results dumped to the console.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings, StatisticsResults statisticsResults, Dictionary <string, string> banner)
{
// uncomment these code traces to help write regression tests
//Console.WriteLine("var statistics = new Dictionary<string, string>();");
// Bleh. Nicely format statistical analysis on your algorithm results. Save to file etc.
foreach (var pair in statisticsResults.Summary)
{
Log.Trace("STATISTICS:: " + pair.Key + " " + pair.Value);
//Console.WriteLine(string.Format("statistics.Add(\"{0}\",\"{1}\");", pair.Key, pair.Value));
}
//foreach (var pair in statisticsResults.RollingPerformances)
//{
// Log.Trace("ROLLINGSTATS:: " + pair.Key + " SharpeRatio: " + Math.Round(pair.Value.PortfolioStatistics.SharpeRatio, 3));
//}
FinalStatistics = statisticsResults.Summary;
}
/// <summary>
/// Extract all the statistics from the specified XML build results document.
/// </summary>
/// <param name="doc">The build results.</param>
/// <returns>The set of statistics.</returns>
private StatisticsResults ProcessLog(IXPathNavigable doc)
{
XPathNavigator nav = doc.CreateNavigator();
StatisticsResults statisticResults = new StatisticsResults();
foreach (StatisticBase s in logStatistics)
{
statisticResults.Add(s.Apply(nav));
}
return statisticResults;
}
/// <summary>
/// Algorithm final analysis results dumped to the console.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings, StatisticsResults statisticsResults, Dictionary <string, string> banner)
{
// uncomment these code traces to help write regression tests
//Log.Trace("var statistics = new Dictionary<string, string>();");
// Bleh. Nicely format statistical analysis on your algorithm results. Save to file etc.
foreach (var pair in statisticsResults.Summary)
{
DebugMessage("STATISTICS:: " + pair.Key + " " + pair.Value);
}
FinalStatistics = statisticsResults.Summary;
}
/// <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;
Thread threadAlphas = 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 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);
// 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);
// 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 => e.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.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);
Log.Trace(" Alpha: " + _algorithmHandlers.Alphas.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"
};
threadAlphas = new Thread(() => _algorithmHandlers.Alphas.Run())
{
IsBackground = true, Name = "Alpha 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:
threadAlphas.Start(); // Alpha thread for processing algorithm alphas
// 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, _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);
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();
_algorithmHandlers.Alphas.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) ||
(_algorithmHandlers.Alphas != null && _algorithmHandlers.Alphas.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 (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>
/// Write the specified collection of statistics to the CSV
/// statistics file, creating it if it does not already exist,
/// and returning the full set.
/// </summary>
/// <param name="statisticsResults"></param>
/// <param name="statistics"></param>
/// <param name="integrationResult">The build for which the
/// statistics were collected.</param>
/// <returns>The full XML statistics document.</returns>
/// <remarks>
/// Note: The <see cref="StatisticsResults.AppendCsv"/> method does not
/// reconcile the specified statistics against the existing content of
/// the file. If statistics are added or removed over time, the headings
/// and values may not match up correctly.
/// </remarks>
private static void UpdateCsvFile(StatisticsResults statisticsResults, List<StatisticBase> statistics,
IIntegrationResult integrationResult)
{
string csvFile = CsvStatisticsFile(integrationResult);
statisticsResults.AppendCsv(csvFile, statistics);
}
private void OutStatisticsResults(StatisticsResults sr)
{
PeriodOutput.Text = sr.Period.ToString(CultureInfo.InvariantCulture);
AperiodicOutput.Text = sr.Aperiodic.ToString(CultureInfo.InvariantCulture);
ExpectedValueOutput.Text = sr.ExpectedValue.ToString(CultureInfo.InvariantCulture);
DeviationValue.Text = sr.Deviation.ToString(CultureInfo.InvariantCulture);
SigmaOutput.Text = sr.Variance.ToString(CultureInfo.InvariantCulture);
PiValue.Text = sr.PI.ToString(CultureInfo.InvariantCulture);
PiValueReal.Text = (Math.PI/4).ToString(CultureInfo.InvariantCulture);
}
