public void DuplicateScheduledEventsAreBothFired()
{
var algorithm = new QCAlgorithm();
var handler = new BacktestingRealTimeHandler();
var timeLimitManager = new AlgorithmTimeLimitManager(TokenBucket.Null, TimeSpan.MaxValue);
handler.Setup(algorithm, new AlgorithmNodePacket(PacketType.BacktestNode), null, null, timeLimitManager);
algorithm.Schedule.SetEventSchedule(handler);
var time = new DateTime(2018, 1, 1);
algorithm.SetDateTime(time);
var count1 = 0;
var count2 = 0;
algorithm.Schedule.On(algorithm.Schedule.DateRules.EveryDay(), algorithm.Schedule.TimeRules.Every(TimeSpan.FromHours(1)), () => { count1++; });
algorithm.Schedule.On(algorithm.Schedule.DateRules.EveryDay(), algorithm.Schedule.TimeRules.Every(TimeSpan.FromHours(1)), () => { count2++; });
const int timeSteps = 12;
for (var i = 0; i < timeSteps; i++)
{
handler.SetTime(time);
time = time.AddHours(1);
}
Assert.AreEqual(timeSteps, count1);
Assert.AreEqual(timeSteps, count2);
}
public void TestAlgorithmManagerSpeed()
{
var algorithmManager = new AlgorithmManager(false);
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
var job = new BacktestNodePacket(1, 2, "3", null, 9m, $"{nameof(AlgorithmManagerTests)}.{nameof(TestAlgorithmManagerSpeed)}");
var feed = new MockDataFeed();
var transactions = new BacktestingTransactionHandler();
var results = new BacktestingResultHandler();
var realtime = new BacktestingRealTimeHandler();
var leanManager = new NullLeanManager();
var alphas = new NullAlphaHandler();
var token = new CancellationToken();
algorithm.Initialize();
results.Initialize(job, new QuantConnect.Messaging.Messaging(), new Api.Api(), feed, new BacktestingSetupHandler(), transactions);
results.SetAlgorithm(algorithm);
transactions.Initialize(algorithm, new BacktestingBrokerage(algorithm), results);
feed.Initialize(algorithm, job, results, null, null, null);
Log.Trace("Starting algorithm manager loop to process " + feed.Count + " time slices");
var sw = Stopwatch.StartNew();
algorithmManager.Run(job, algorithm, feed, transactions, results, realtime, leanManager, alphas, token);
sw.Stop();
var thousands = feed.Count / 1000d;
var seconds = sw.Elapsed.TotalSeconds;
Log.Trace("COUNT: " + feed.Count + " KPS: " + thousands / seconds);
}
public void TriggersScheduledEventsSameTimeInOrder()
{
var realTimeHandler = new BacktestingRealTimeHandler();
realTimeHandler.Setup(new AlgorithmStub(new NullDataFeed()),
new AlgorithmNodePacket(PacketType.AlgorithmNode),
new BacktestingResultHandler(),
null,
null);
var eventTime = DateTime.UtcNow;
var count = 0;
for (var i = 0; i < 100; i++)
{
var id = i;
realTimeHandler.Add(new ScheduledEvent($"{id}", eventTime,
(s, time) =>
{
Assert.AreEqual(id, count);
Assert.AreEqual(s, $"{id}");
count++;
}));
}
realTimeHandler.SetTime(DateTime.UtcNow);
realTimeHandler.Exit();
Assert.AreEqual(100, count);
}
/// <summary>
/// Launches a Lean Engine using a parameter
/// </summary>
/// <param name="val">The paramater to use when launching lean. </param>
private void LaunchLean(string val)
{
Config.Set("environment", "backtesting");
string algorithm = val;
// Set the algorithm in Config. Here is where you can customize Config settings
Config.Set("algorithm-type-name", algorithm);
_jobQueue = new JobQueue();
_notify = new Messaging();
_api = new Api();
/************ Comment one of the two following lines to select which ResultHandler to use ***********/
_resultshandler = new OptimizationResultHandler();
//_resultshandler = new ConsoleResultHandler();
_dataFeed = new FileSystemDataFeed();
_setup = new ConsoleSetupHandler();
_realTime = new BacktestingRealTimeHandler();
_historyProvider = new SubscriptionDataReaderHistoryProvider();
_transactions = new BacktestingTransactionHandler();
// Set the Log.LogHandler to only write to the log.txt file.
// This setting avoids writing Log messages to the console.
Log.LogHandler = (ILogHandler) new FileLogHandler();
Log.DebuggingEnabled = false; // Set this property to true for lots of messages
Log.DebuggingLevel = 1; // A reminder that the default level for Log.Debug message is 1
var systemHandlers = new LeanEngineSystemHandlers(_jobQueue, _api, _notify);
systemHandlers.Initialize();
var algorithmHandlers = new LeanEngineAlgorithmHandlers(_resultshandler, _setup, _dataFeed, _transactions, _realTime, _historyProvider);
string algorithmPath;
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out algorithmPath);
try
{
var _engine = new Engine(systemHandlers, algorithmHandlers, Config.GetBool("live-mode"));
_engine.Run(job, algorithmPath);
}
finally
{
/* The JobQueue.AcknowledgeJob only asks for any key to close the window.
* We do not want that behavior, so we comment out this line so that multiple Leans will run
*
* The alternative is to comment out Console.Read(); the line in JobQueue class.
*/
//systemHandlers.JobQueue.AcknowledgeJob(job);
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
// clean up resources
systemHandlers.Dispose();
algorithmHandlers.Dispose();
Log.LogHandler.Dispose();
}
}
public void TestAlgorithmManagerSpeed()
{
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
var algorithmManager = new AlgorithmManager(false);
var job = new BacktestNodePacket(1, 2, "3", null, 9m, $"{nameof(AlgorithmManagerTests)}.{nameof(TestAlgorithmManagerSpeed)}");
var feed = new MockDataFeed();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataPermissionManager = new DataPermissionManager();
var dataManager = new DataManager(feed,
new UniverseSelection(
algorithm,
new SecurityService(algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDataBase,
algorithm,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCacheProvider(algorithm.Portfolio)),
dataPermissionManager,
new DefaultDataProvider()),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
false,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
algorithm.SubscriptionManager.SetDataManager(dataManager);
var transactions = new BacktestingTransactionHandler();
var results = new BacktestingResultHandler();
var realtime = new BacktestingRealTimeHandler();
var leanManager = new NullLeanManager();
var alphas = new NullAlphaHandler();
var token = new CancellationToken();
var nullSynchronizer = new NullSynchronizer(algorithm);
algorithm.Initialize();
algorithm.PostInitialize();
results.Initialize(job, new QuantConnect.Messaging.Messaging(), new Api.Api(), transactions);
results.SetAlgorithm(algorithm, algorithm.Portfolio.TotalPortfolioValue);
transactions.Initialize(algorithm, new BacktestingBrokerage(algorithm), results);
feed.Initialize(algorithm, job, results, null, null, null, dataManager, null, null);
Log.Trace("Starting algorithm manager loop to process " + nullSynchronizer.Count + " time slices");
var sw = Stopwatch.StartNew();
algorithmManager.Run(job, algorithm, nullSynchronizer, transactions, results, realtime, leanManager, alphas, token);
sw.Stop();
realtime.Exit();
results.Exit();
var thousands = nullSynchronizer.Count / 1000d;
var seconds = sw.Elapsed.TotalSeconds;
Log.Trace("COUNT: " + nullSynchronizer.Count + " KPS: " + thousands / seconds);
}
private void LaunchLean()
{
Config.Set("environment", "backtesting");
string algorithm = "EMATest";
Config.Set("algorithm-type-name", algorithm);
_jobQueue = new JobQueue();
_notify = new Messaging();
_api = new Api();
_resultshandler = new DesktopResultHandler();
_dataFeed = new FileSystemDataFeed();
_setup = new ConsoleSetupHandler();
_realTime = new BacktestingRealTimeHandler();
_historyProvider = new SubscriptionDataReaderHistoryProvider();
_transactions = new BacktestingTransactionHandler();
var systemHandlers = new LeanEngineSystemHandlers(_jobQueue, _api, _notify);
systemHandlers.Initialize();
// var algorithmHandlers = new LeanEngineAlgorithmHandlers (_resultshandler, _setup, _dataFeed, _transactions, _realTime, _historyProvider);
Log.LogHandler = Composer.Instance.GetExportedValueByTypeName <ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
LeanEngineAlgorithmHandlers leanEngineAlgorithmHandlers;
try
{
leanEngineAlgorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
_resultshandler = leanEngineAlgorithmHandlers.Results;
}
catch (CompositionException compositionException)
{
Log.Error("Engine.Main(): Failed to load library: " + compositionException);
throw;
}
string algorithmPath;
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out algorithmPath);
try
{
var _engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, Config.GetBool("live-mode"));
_engine.Run(job, algorithmPath);
}
finally
{
//Delete the message from the job queue:
//systemHandlers.JobQueue.AcknowledgeJob(job);
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
Log.LogHandler.Dispose();
}
}
public void Sort()
{
var date = new DateTime(2020, 1, 1);
var events = new List <ScheduledEvent>
{
new ScheduledEvent("1", new List <DateTime> {
date.AddMinutes(10)
}, (s, time) => { }),
new ScheduledEvent("2", new List <DateTime> {
date.AddMinutes(1)
}, (s, time) => { })
};
BacktestingRealTimeHandler.SortFirstElement(events);
Assert.AreEqual(date.AddMinutes(1), events[0].NextEventUtcTime);
Assert.AreEqual(date.AddMinutes(10), events[1].NextEventUtcTime);
events = new List <ScheduledEvent>
{
new ScheduledEvent("1", new List <DateTime> {
date.AddMinutes(10)
}, (s, time) => { }),
new ScheduledEvent("2", new List <DateTime> {
date.AddMinutes(1)
}, (s, time) => { }),
new ScheduledEvent("2", new List <DateTime> {
date.AddMinutes(3)
}, (s, time) => { })
};
BacktestingRealTimeHandler.SortFirstElement(events);
Assert.AreEqual(date.AddMinutes(1), events[0].NextEventUtcTime);
Assert.AreEqual(date.AddMinutes(3), events[1].NextEventUtcTime);
Assert.AreEqual(date.AddMinutes(10), events[2].NextEventUtcTime);
events = new List <ScheduledEvent>
{
new ScheduledEvent("1", new List <DateTime> {
date.AddMinutes(10)
}, (s, time) => { }),
new ScheduledEvent("2", new List <DateTime> {
date.AddMinutes(1)
}, (s, time) => { }),
new ScheduledEvent("2", new List <DateTime> {
date.AddMinutes(3)
}, (s, time) => { }),
new ScheduledEvent("2", new List <DateTime> {
date.AddMinutes(50)
}, (s, time) => { })
};
BacktestingRealTimeHandler.SortFirstElement(events);
Assert.AreEqual(date.AddMinutes(1), events[0].NextEventUtcTime);
Assert.AreEqual(date.AddMinutes(3), events[1].NextEventUtcTime);
Assert.AreEqual(date.AddMinutes(10), events[2].NextEventUtcTime);
Assert.AreEqual(date.AddMinutes(50), events[3].NextEventUtcTime);
}
public void SortRespectsOriginalOrderSameTime()
{
var date = new DateTime(2020, 1, 1);
var events = new List <ScheduledEvent>
{
new ScheduledEvent("1", new List <DateTime> {
date.AddMinutes(10)
}, (s, time) => { }),
new ScheduledEvent("2", new List <DateTime> {
date.AddMinutes(1)
}, (s, time) => { }),
new ScheduledEvent("3", new List <DateTime> {
date.AddMinutes(10)
}, (s, time) => { })
};
BacktestingRealTimeHandler.SortFirstElement(events);
Assert.AreEqual(date.AddMinutes(1), events[0].NextEventUtcTime);
Assert.AreEqual(date.AddMinutes(10), events[1].NextEventUtcTime);
// scheduled event 3 and 1 have the same time, 3 should still be next else it would mean 1 executed twice when 3 once
Assert.AreEqual("3", events[1].Name);
Assert.AreEqual(date.AddMinutes(10), events[2].NextEventUtcTime);
Assert.AreEqual("1", events[2].Name);
events = new List <ScheduledEvent>
{
new ScheduledEvent("1", new List <DateTime> {
date.AddMinutes(10)
}, (s, time) => { }),
new ScheduledEvent("2", new List <DateTime> {
date.AddMinutes(1)
}, (s, time) => { }),
new ScheduledEvent("3", new List <DateTime> {
date.AddMinutes(3)
}, (s, time) => { }),
new ScheduledEvent("4", new List <DateTime> {
date.AddMinutes(10)
}, (s, time) => { }),
new ScheduledEvent("5", new List <DateTime> {
date.AddMinutes(50)
}, (s, time) => { })
};
BacktestingRealTimeHandler.SortFirstElement(events);
Assert.AreEqual(date.AddMinutes(1), events[0].NextEventUtcTime);
Assert.AreEqual(date.AddMinutes(3), events[1].NextEventUtcTime);
Assert.AreEqual(date.AddMinutes(10), events[2].NextEventUtcTime);
// scheduled event 4 and 1 have the same time, 4 should still be next else it would mean 1 executed twice when 4 once
Assert.AreEqual("4", events[2].Name);
Assert.AreEqual(date.AddMinutes(10), events[3].NextEventUtcTime);
Assert.AreEqual("1", events[3].Name);
Assert.AreEqual(date.AddMinutes(50), events[4].NextEventUtcTime);
}
public void SortsEventsAfterSetup()
{
var realTimeHandler = new BacktestingRealTimeHandler();
var algo = new TestAlgorithm();
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
algo.AddEquity("SPY");
var startDate = new DateTime(2019, 1, 1);
algo.SetStartDate(startDate);
algo.SetDateTime(startDate);
algo.SetEndDate(2020, 1, 1);
var firstCalled = false;
var secondCalled = false;
var events = new List <ScheduledEvent>
{
new ScheduledEvent("1", new List <DateTime> {
startDate.AddMinutes(-10), startDate.AddMinutes(5)
},
(s, time) => { firstCalled = true; }),
new ScheduledEvent("2", new List <DateTime> {
startDate.AddMinutes(1)
},
(s, time) => { secondCalled = true; }),
new ScheduledEvent("3", new List <DateTime> {
startDate.AddMinutes(10)
}, (s, time) => { })
};
foreach (var scheduledEvent in events)
{
realTimeHandler.Add(scheduledEvent);
}
realTimeHandler.Setup(algo,
new AlgorithmNodePacket(PacketType.AlgorithmNode),
new BacktestingResultHandler(),
null,
null);
realTimeHandler.SetTime(startDate.AddMinutes(1));
realTimeHandler.Exit();
Assert.IsTrue(secondCalled);
// 'first' should of been called and should be moved behind 'second' after setup
Assert.IsFalse(firstCalled);
}
public void SingleScheduledEventFires_SetTime()
{
var realTimeHandler = new BacktestingRealTimeHandler();
var algo = new TestAlgorithm();
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
algo.AddEquity("SPY");
algo.SetStartDate(2019, 1, 1);
algo.SetDateTime(new DateTime(2019, 1, 1));
algo.SetEndDate(2020, 1, 1);
realTimeHandler.Setup(algo,
new AlgorithmNodePacket(PacketType.AlgorithmNode),
new BacktestingResultHandler(),
null,
null);
realTimeHandler.SetTime(DateTime.UtcNow);
Assert.IsTrue(algo.OnEndOfDayFired);
}
/// <summary>
/// Select the realtime event handler set in the job.
/// </summary>
private static IRealTimeHandler GetRealTimeHandler(IAlgorithm algorithm, IBrokerage brokerage, IDataFeed feed, IResultHandler results, AlgorithmNodePacket job)
{
var rth = default(IRealTimeHandler);
switch (job.RealTimeEndpoint)
{
//Don't fire based on system time but virtualized backtesting time.
case RealTimeEndpoint.Backtesting:
Log.Trace("Engine.GetRealTimeHandler(): Selected Backtesting RealTimeEvent Handler");
rth = new BacktestingRealTimeHandler(algorithm, job);
break;
// Fire events based on real system clock time.
case RealTimeEndpoint.LiveTrading:
Log.Trace("Engine.GetRealTimeHandler(): Selected LiveTrading RealTimeEvent Handler");
rth = new LiveTradingRealTimeHandler(algorithm, feed, results, brokerage, job);
break;
}
return(rth);
}
public void TriggersScheduledEventsSameTimeInOrder()
{
var realTimeHandler = new BacktestingRealTimeHandler();
var eventTime = DateTime.UtcNow;
var count = 0;
for (var i = 0; i < 100; i++)
{
var id = i;
realTimeHandler.Add(new ScheduledEvent($"{id}", eventTime,
(s, time) =>
{
Assert.AreEqual(id, count);
count++;
}));
}
realTimeHandler.SetTime(DateTime.UtcNow);
Assert.AreEqual(100, count);
}
public void AppliesDividendsOnce()
{
// init algorithm
var algorithm = new AlgorithmStub(new MockDataFeed());
algorithm.SetLiveMode(true);
var dividend = new Dividend(Symbols.SPY, DateTime.UtcNow, 10m, 100m);
var feed = new MockDataFeed();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataPermissionManager = new DataPermissionManager();
var dataManager = new DataManager(feed,
new UniverseSelection(
algorithm,
new SecurityService(algorithm.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algorithm, RegisteredSecurityDataTypesProvider.Null, new SecurityCacheProvider(algorithm.Portfolio)),
dataPermissionManager,
new DefaultDataProvider()),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
true,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
var synchronizer = new NullSynchronizer(algorithm, dividend);
algorithm.SubscriptionManager.SetDataManager(dataManager);
algorithm.AddSecurities(equities: new List <string> {
"SPY"
});
algorithm.Securities[Symbols.SPY].Holdings.SetHoldings(100m, 1);
algorithm.PostInitialize();
var initializedCash = algorithm.Portfolio.CashBook[Currencies.USD].Amount;
// init algorithm manager
var manager = new AlgorithmManager(true);
var job = new LiveNodePacket
{
UserId = 1,
ProjectId = 2,
DeployId = $"{nameof(PaperBrokerageTests)}.{nameof(AppliesDividendsOnce)}"
};
var results = new LiveTradingResultHandler();
var transactions = new BacktestingTransactionHandler();
var brokerage = new PaperBrokerage(algorithm, job);
// initialize results and transactions
results.Initialize(job, new EventMessagingHandler(), new Api.Api(), transactions);
results.SetAlgorithm(algorithm, algorithm.Portfolio.TotalPortfolioValue);
transactions.Initialize(algorithm, brokerage, results);
var realTime = new BacktestingRealTimeHandler();
// run algorithm manager
manager.Run(job,
algorithm,
synchronizer,
transactions,
results,
realTime,
new AlgorithmManagerTests.NullLeanManager(),
new AlgorithmManagerTests.NullAlphaHandler(),
new CancellationToken()
);
var postDividendCash = algorithm.Portfolio.CashBook[Currencies.USD].Amount;
realTime.Exit();
results.Exit();
Assert.AreEqual(initializedCash + dividend.Distribution, postDividendCash);
}
public void ScanPastEvents(bool oneStep)
{
var realTimeHandler = new BacktestingRealTimeHandler();
realTimeHandler.Setup(new AlgorithmStub(),
new AlgorithmNodePacket(PacketType.AlgorithmNode)
{
Language = Language.CSharp
},
_resultHandler,
null,
new TestTimeLimitManager());
var date = new DateTime(2020, 1, 1);
var count = 0;
var asserts = 0;
realTimeHandler.Add(new ScheduledEvent("1",
new List <DateTime> {
date, date.AddMinutes(10)
},
(s, time) =>
{
count++;
if (count == 1)
{
asserts++;
Assert.AreEqual(date, time);
}
else if (count == 4)
{
asserts++;
Assert.AreEqual(date.AddMinutes(10), time);
}
}));
realTimeHandler.Add(new ScheduledEvent("2",
new List <DateTime> {
date.AddMinutes(1), date.AddMinutes(2)
},
(s, time) =>
{
count++;
if (count == 2)
{
asserts++;
Assert.AreEqual(date.AddMinutes(1), time);
}
else if (count == 3)
{
asserts++;
Assert.AreEqual(date.AddMinutes(2), time);
}
}));
if (oneStep)
{
realTimeHandler.ScanPastEvents(date.AddDays(1));
}
else
{
realTimeHandler.ScanPastEvents(date.AddMilliseconds(1));
realTimeHandler.ScanPastEvents(date.AddMinutes(1).AddMilliseconds(1));
realTimeHandler.ScanPastEvents(date.AddMinutes(2).AddMilliseconds(1));
realTimeHandler.ScanPastEvents(date.AddMinutes(10).AddMilliseconds(1));
}
realTimeHandler.Exit();
Assert.AreEqual(4, count);
Assert.AreEqual(4, asserts);
}
public void SetTime(bool oneStep)
{
var realTimeHandler = new BacktestingRealTimeHandler();
realTimeHandler.Setup(new AlgorithmStub(new NullDataFeed()),
new AlgorithmNodePacket(PacketType.AlgorithmNode),
new BacktestingResultHandler(),
null,
null);
var date = new DateTime(2020, 1, 1);
var count = 0;
var asserts = 0;
realTimeHandler.Add(new ScheduledEvent("1",
new List <DateTime> {
date, date.AddMinutes(10)
},
(s, time) =>
{
count++;
if (count == 1)
{
asserts++;
Assert.AreEqual(date, time);
}
else if (oneStep ? count == 2 : count == 4)
{
asserts++;
Assert.AreEqual(date.AddMinutes(10), time);
}
}));
realTimeHandler.Add(new ScheduledEvent("2",
new List <DateTime> {
date.AddMinutes(1), date.AddMinutes(2)
},
(s, time) =>
{
count++;
if (oneStep ? count == 3 : count == 2)
{
asserts++;
Assert.AreEqual(date.AddMinutes(1), time);
}
else if (oneStep ? count == 4 : count == 3)
{
asserts++;
Assert.AreEqual(date.AddMinutes(2), time);
}
}));
if (oneStep)
{
realTimeHandler.SetTime(date.AddDays(1));
}
else
{
realTimeHandler.SetTime(date);
realTimeHandler.SetTime(date.AddMinutes(1));
realTimeHandler.SetTime(date.AddMinutes(2));
realTimeHandler.SetTime(date.AddMinutes(10));
}
realTimeHandler.Exit();
Assert.AreEqual(4, count);
Assert.AreEqual(4, asserts);
}
private void LaunchLean(string id)
{
ConfigMerger.Merge(_config, id);
Config.Set("api-handler", nameof(EmptyApiHandler));
//todo: instance logging
//var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + id + ".txt";
Log.LogHandler = LogSingleton.Instance;
var jobQueue = new JobQueue();
var manager = new LocalLeanManager();
var systemHandlers = new LeanEngineSystemHandlers(
jobQueue,
new EmptyApiHandler(),
new QuantConnect.Messaging.Messaging(),
manager);
systemHandlers.Initialize();
var map = new LocalDiskMapFileProvider();
var results = new OptimizerResultHandler();
var transactions = new BacktestingTransactionHandler();
var dataFeed = new FileSystemDataFeed();
var realTime = new BacktestingRealTimeHandler();
var data = new DefaultDataProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
results,
new ConsoleSetupHandler(),
dataFeed,
transactions,
realTime,
map,
new LocalDiskFactorFileProvider(map),
data,
new OptimizerAlphaHandler(),
new EmptyObjectStore());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//mark job with id. Is set on algorithm in OptimizerAlphaHandler
job.BacktestId = id;
//todo: pass period through job
//job.PeriodStart = _config.StartDate;
//job.PeriodFinish = _config.EndDate;
Engine engine;
AlgorithmManager algorithmManager;
try
{
algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
using (var workerThread = new MultipleWorkerThread())
{
engine.Run(job, algorithmManager, algorithmPath, workerThread);
}
}
finally
{
// clean up resources
Composer.Instance.Reset();
results.Charts.Clear();
results.Messages.Clear();
if (results.Algorithm != null)
{
results.Algorithm.Transactions.TransactionRecord.Clear();
results.Algorithm.SubscriptionManager.Subscriptions.SelectMany(s => s.Consolidators)?.ToList().ForEach(f =>
{
results.Algorithm.SubscriptionManager.RemoveConsolidator(f.WorkingData?.Symbol, f);
UnregisterAllEvents(f);
});
if (results.Algorithm is QCAlgorithm)
{
((QCAlgorithm)results.Algorithm).SubscriptionManager.Subscriptions.ToList().Clear();
}
if (_config.AlgorithmLanguage != "Python")
{
results.Algorithm.HistoryProvider = null;
}
var closedTrades = (List <Trade>) typeof(TradeBuilder).GetField("_closedTrades", BindingFlags.Instance | BindingFlags.NonPublic).GetValue(results.Algorithm.TradeBuilder);
closedTrades.Clear();
results.Algorithm = null;
}
transactions.Orders.Clear();
transactions.OrderTickets.Clear();
manager.Dispose();
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
results = null;
dataFeed = null;
transactions = null;
realTime = null;
data = null;
map = null;
systemHandlers = null;
leanEngineAlgorithmHandlers = null;
algorithmManager = null;
engine = null;
job = null;
jobQueue = null;
manager = null;
}
}
private void LaunchLean(string id)
{
Config.Set("environment", "backtesting");
if (!string.IsNullOrEmpty(_config.AlgorithmTypeName))
{
Config.Set("algorithm-type-name", _config.AlgorithmTypeName);
}
if (!string.IsNullOrEmpty(_config.AlgorithmLocation))
{
Config.Set("algorithm-location", Path.GetFileName(_config.AlgorithmLocation));
}
if (!string.IsNullOrEmpty(_config.DataFolder))
{
Config.Set("data-folder", _config.DataFolder);
}
if (!string.IsNullOrEmpty(_config.TransactionLog))
{
var filename = _config.TransactionLog;
filename = Path.Combine(AppDomain.CurrentDomain.BaseDirectory, Path.GetFileNameWithoutExtension(filename) + id + Path.GetExtension(filename));
Config.Set("transaction-log", filename);
}
Config.Set("api-handler", nameof(EmptyApiHandler));
Config.Set("backtesting.result-handler", nameof(OptimizerResultHandler));
//Composer.Instance.Reset();
//todo: instance logging
//var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + id + ".txt";
Log.LogHandler = LogSingleton.Instance;
var jobQueue = new JobQueue();
var manager = new LocalLeanManager();
var systemHandlers = new LeanEngineSystemHandlers(
jobQueue,
new EmptyApiHandler(),
new QuantConnect.Messaging.Messaging(),
manager);
systemHandlers.Initialize();
var map = new LocalDiskMapFileProvider();
var results = new OptimizerResultHandler();
var transactions = new BacktestingTransactionHandler();
var dataFeed = new FileSystemDataFeed();
var realTime = new BacktestingRealTimeHandler();
var data = new DefaultDataProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
results,
new ConsoleSetupHandler(),
dataFeed,
transactions,
realTime,
map,
new LocalDiskFactorFileProvider(map),
data,
new OptimizerAlphaHandler(),
new EmptyObjectStore());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//mark job with id. Is set on algorithm in OptimizerAlphaHandler
job.BacktestId = id;
//todo: pass period through job
//job.PeriodStart = _config.StartDate;
//job.PeriodFinish = _config.EndDate;
Engine engine;
AlgorithmManager algorithmManager;
try
{
algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
using (var workerThread = new MultipleWorkerThread())
{
engine.Run(job, algorithmManager, algorithmPath, workerThread);
}
}
finally
{
// clean up resources
Composer.Instance.Reset();
results.Charts.Clear();
results.Messages.Clear();
results.Algorithm.Transactions.TransactionRecord.Clear();
var closedTrades = (List <Trade>) typeof(TradeBuilder).GetField("_closedTrades", BindingFlags.Instance | BindingFlags.NonPublic).GetValue(results.Algorithm.TradeBuilder);
closedTrades.Clear();
results.Algorithm.HistoryProvider = null;
results.Algorithm = null;
transactions.Orders.Clear();
transactions.OrderTickets.Clear();
manager.Dispose();
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
results = null;
dataFeed = null;
transactions = null;
realTime = null;
data = null;
map = null;
systemHandlers = null;
leanEngineAlgorithmHandlers = null;
algorithmManager = null;
engine = null;
job = null;
jobQueue = null;
manager = null;
}
}