/// <summary>
/// Load the history provider from the Composer
/// </summary>
private HistoryProviderManager GetHistoryProvider()
{
var provider = new HistoryProviderManager();
provider.InvalidConfigurationDetected += (sender, args) => { AlgorithmHandlers.Results.ErrorMessage(args.Message); };
provider.NumericalPrecisionLimited += (sender, args) =>
{
if (!_historyNumericalPrecisionLimitedWarningEmitted)
{
_historyNumericalPrecisionLimitedWarningEmitted = true;
AlgorithmHandlers.Results.DebugMessage("Warning: when performing history requests, the start date will be adjusted if there are numerical precision errors in the factor files.");
}
};
provider.StartDateLimited += (sender, args) =>
{
if (!_historyStartDateLimitedWarningEmitted)
{
_historyStartDateLimitedWarningEmitted = true;
AlgorithmHandlers.Results.DebugMessage("Warning: when performing history requests, the start date will be adjusted if it is before the first known date for the symbol.");
}
};
provider.DownloadFailed += (sender, args) => { AlgorithmHandlers.Results.ErrorMessage(args.Message, args.StackTrace); };
provider.ReaderErrorDetected += (sender, args) => { AlgorithmHandlers.Results.RuntimeError(args.Message, args.StackTrace); };
return(provider);
}
/// <summary>
/// <see cref = "QuantBook" /> constructor.
/// Provides access to data for quantitative analysis
/// </summary>
public QuantBook() : base()
{
try
{
using (Py.GIL())
{
_pandas = Py.Import("pandas");
}
// Issue #4892 : Set start time relative to NY time
// when the data is available from the previous day
var newYorkTime = DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork);
var hourThreshold = Config.GetInt("qb-data-hour", 9);
// If it is after our hour threshold; then we can use today
if (newYorkTime.Hour >= hourThreshold)
{
SetStartDate(newYorkTime);
}
else
{
SetStartDate(newYorkTime - TimeSpan.FromDays(1));
}
// Sets PandasConverter
SetPandasConverter();
// Reset our composer; needed for re-creation of QuantBook
Composer.Instance.Reset();
var composer = Composer.Instance;
// Create our handlers with our composer instance
var algorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(composer);
var systemHandlers = LeanEngineSystemHandlers.FromConfiguration(composer);
// init the API
systemHandlers.Initialize();
systemHandlers.LeanManager.Initialize(systemHandlers,
algorithmHandlers,
new BacktestNodePacket(),
new AlgorithmManager(false));
systemHandlers.LeanManager.SetAlgorithm(this);
algorithmHandlers.DataPermissionsManager.Initialize(new AlgorithmNodePacket(PacketType.BacktestNode)
{
UserToken = Config.Get("api-access-token"),
UserId = Config.GetInt("job-user-id"),
ProjectId = Config.GetInt("project-id"),
OrganizationId = Config.Get("job-organization-id"),
Version = Globals.Version
});
algorithmHandlers.ObjectStore.Initialize(Config.Get("research-object-store-name", "QuantBook"),
Config.GetInt("job-user-id"),
Config.GetInt("project-id"),
Config.Get("api-access-token"),
new Controls
{
// if <= 0 we disable periodic persistence and make it synchronous
PersistenceIntervalSeconds = -1,
StorageLimitMB = Config.GetInt("storage-limit-mb", 5),
StorageFileCount = Config.GetInt("storage-file-count", 100),
StoragePermissions = (FileAccess)Config.GetInt("storage-permissions", (int)FileAccess.ReadWrite)
});
SetObjectStore(algorithmHandlers.ObjectStore);
_dataCacheProvider = new ZipDataCacheProvider(algorithmHandlers.DataProvider);
_dataProvider = algorithmHandlers.DataProvider;
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var registeredTypes = new RegisteredSecurityDataTypesProvider();
var securityService = new SecurityService(Portfolio.CashBook,
MarketHoursDatabase,
symbolPropertiesDataBase,
this,
registeredTypes,
new SecurityCacheProvider(Portfolio));
Securities.SetSecurityService(securityService);
SubscriptionManager.SetDataManager(
new DataManager(new NullDataFeed(),
new UniverseSelection(this, securityService, algorithmHandlers.DataPermissionsManager, algorithmHandlers.DataProvider),
this,
TimeKeeper,
MarketHoursDatabase,
false,
registeredTypes,
algorithmHandlers.DataPermissionsManager));
var mapFileProvider = algorithmHandlers.MapFileProvider;
HistoryProvider = new HistoryProviderManager();
HistoryProvider.Initialize(
new HistoryProviderInitializeParameters(
null,
null,
algorithmHandlers.DataProvider,
_dataCacheProvider,
mapFileProvider,
algorithmHandlers.FactorFileProvider,
null,
true,
algorithmHandlers.DataPermissionsManager
)
);
SetOptionChainProvider(new CachingOptionChainProvider(new BacktestingOptionChainProvider(_dataCacheProvider, mapFileProvider)));
SetFutureChainProvider(new CachingFutureChainProvider(new BacktestingFutureChainProvider(_dataCacheProvider)));
}
catch (Exception exception)
{
throw new Exception("QuantBook.Main(): " + exception);
}
}
