/// <summary>
/// Primary entry point to setup a new algorithm
/// </summary>
/// <param name="parameters">The parameters object to use</param>
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
public bool Setup(SetupHandlerParameters parameters)
{
var algorithm = parameters.Algorithm;
var brokerage = parameters.Brokerage;
// verify we were given the correct job packet type
var liveJob = parameters.AlgorithmNodePacket as LiveNodePacket;
if (liveJob == null)
{
AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
return(false);
}
algorithm.Name = liveJob.GetAlgorithmName();
// verify the brokerage was specified
if (string.IsNullOrWhiteSpace(liveJob.Brokerage))
{
AddInitializationError("A brokerage must be specified");
return(false);
}
// attach to the message event to relay brokerage specific initialization messages
EventHandler <BrokerageMessageEvent> brokerageOnMessage = (sender, args) =>
{
if (args.Type == BrokerageMessageType.Error)
{
AddInitializationError($"Brokerage Error Code: {args.Code} - {args.Message}");
}
};
try
{
// let the world know what we're doing since logging in can take a minute
parameters.ResultHandler.SendStatusUpdate(AlgorithmStatus.LoggingIn, "Logging into brokerage...");
brokerage.Message += brokerageOnMessage;
Log.Trace("BrokerageSetupHandler.Setup(): Connecting to brokerage...");
try
{
// this can fail for various reasons, such as already being logged in somewhere else
brokerage.Connect();
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError(
$"Error connecting to brokerage: {err.Message}. " +
"This may be caused by incorrect login credentials or an unsupported account type.", err);
return(false);
}
if (!brokerage.IsConnected)
{
// if we're reporting that we're not connected, bail
AddInitializationError("Unable to connect to brokerage.");
return(false);
}
var message = $"{brokerage.Name} account base currency: {brokerage.AccountBaseCurrency ?? algorithm.AccountCurrency}";
var accountCurrency = brokerage.AccountBaseCurrency;
if (liveJob.BrokerageData.ContainsKey(MaxAllocationLimitConfig))
{
accountCurrency = Currencies.USD;
message += ". Allocation limited, will use 'USD' account currency";
}
Log.Trace($"BrokerageSetupHandler.Setup(): {message}");
algorithm.Debug(message);
if (accountCurrency != null && accountCurrency != algorithm.AccountCurrency)
{
algorithm.SetAccountCurrency(accountCurrency);
}
Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");
parameters.ResultHandler.SendStatusUpdate(AlgorithmStatus.Initializing, "Initializing algorithm...");
//Execute the initialize code:
var controls = liveJob.Controls;
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(300), () =>
{
try
{
//Set the default brokerage model before initialize
algorithm.SetBrokerageModel(_factory.GetBrokerageModel(algorithm.Transactions));
//Margin calls are disabled by default in live mode
algorithm.Portfolio.MarginCallModel = MarginCallModel.Null;
//Set our parameters
algorithm.SetParameters(liveJob.Parameters);
algorithm.SetAvailableDataTypes(BaseSetupHandler.GetConfiguredDataFeeds());
//Algorithm is live, not backtesting:
algorithm.SetLiveMode(true);
//Initialize the algorithm's starting date
algorithm.SetDateTime(DateTime.UtcNow);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(parameters.RealTimeHandler);
var optionChainProvider = Composer.Instance.GetPart <IOptionChainProvider>();
if (optionChainProvider == null)
{
optionChainProvider = new CachingOptionChainProvider(new LiveOptionChainProvider());
}
// set the option chain provider
algorithm.SetOptionChainProvider(optionChainProvider);
var futureChainProvider = Composer.Instance.GetPart <IFutureChainProvider>();
if (futureChainProvider == null)
{
futureChainProvider = new CachingFutureChainProvider(new LiveFutureChainProvider());
}
// set the future chain provider
algorithm.SetFutureChainProvider(futureChainProvider);
// set the object store
algorithm.SetObjectStore(parameters.ObjectStore);
// If we're going to receive market data from IB,
// set the default subscription limit to 100,
// algorithms can override this setting in the Initialize method
if (brokerage is InteractiveBrokersBrokerage &&
liveJob.DataQueueHandler.EndsWith("InteractiveBrokersBrokerage"))
{
algorithm.Settings.DataSubscriptionLimit = 100;
}
//Initialise the algorithm, get the required data:
algorithm.Initialize();
if (liveJob.Brokerage != "PaperBrokerage")
{
//Zero the CashBook - we'll populate directly from brokerage
foreach (var kvp in algorithm.Portfolio.CashBook)
{
kvp.Value.SetAmount(0);
}
}
}
catch (Exception err)
{
AddInitializationError(err.ToString(), err);
}
}, controls.RamAllocation,
sleepIntervalMillis: 100); // entire system is waiting on this, so be as fast as possible
if (Errors.Count != 0)
{
// if we already got an error just exit right away
return(false);
}
if (!initializeComplete)
{
AddInitializationError("Initialization timed out.");
return(false);
}
if (!LoadCashBalance(brokerage, algorithm))
{
return(false);
}
if (!LoadExistingHoldingsAndOrders(brokerage, algorithm, parameters))
{
return(false);
}
//Finalize Initialization
algorithm.PostInitialize();
BaseSetupHandler.SetupCurrencyConversions(algorithm, parameters.UniverseSelection);
if (algorithm.Portfolio.TotalPortfolioValue == 0)
{
algorithm.Debug("Warning: No cash balances or holdings were found in the brokerage account.");
}
string maxCashLimitStr;
if (liveJob.BrokerageData.TryGetValue(MaxAllocationLimitConfig, out maxCashLimitStr))
{
var maxCashLimit = decimal.Parse(maxCashLimitStr, NumberStyles.Any, CultureInfo.InvariantCulture);
// If allocation exceeded by more than $10,000; block deployment
if (algorithm.Portfolio.TotalPortfolioValue > (maxCashLimit + 10000m))
{
var exceptionMessage = $"TotalPortfolioValue '{algorithm.Portfolio.TotalPortfolioValue}' exceeds allocation limit '{maxCashLimit}'";
algorithm.Debug(exceptionMessage);
throw new ArgumentException(exceptionMessage);
}
}
//Set the starting portfolio value for the strategy to calculate performance:
StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
StartingDate = DateTime.Now;
// we set the free portfolio value based on the initial total value and the free percentage value
algorithm.Settings.FreePortfolioValue =
algorithm.Portfolio.TotalPortfolioValue * algorithm.Settings.FreePortfolioValuePercentage;
}
catch (Exception err)
{
AddInitializationError(err.ToString(), err);
}
finally
{
if (brokerage != null)
{
brokerage.Message -= brokerageOnMessage;
}
}
return(Errors.Count == 0);
}
/// <summary>
/// Primary entry point to setup a new algorithm
/// </summary>
/// <param name="parameters">The parameters object to use</param>
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
public bool Setup(SetupHandlerParameters parameters)
{
var algorithm = parameters.Algorithm;
var brokerage = parameters.Brokerage;
// verify we were given the correct job packet type
var liveJob = parameters.AlgorithmNodePacket as LiveNodePacket;
if (liveJob == null)
{
AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
return(false);
}
algorithm.Name = liveJob.GetAlgorithmName();
// verify the brokerage was specified
if (string.IsNullOrWhiteSpace(liveJob.Brokerage))
{
AddInitializationError("A brokerage must be specified");
return(false);
}
// attach to the message event to relay brokerage specific initialization messages
EventHandler <BrokerageMessageEvent> brokerageOnMessage = (sender, args) =>
{
if (args.Type == BrokerageMessageType.Error)
{
AddInitializationError($"Brokerage Error Code: {args.Code} - {args.Message}");
}
};
try
{
// let the world know what we're doing since logging in can take a minute
parameters.ResultHandler.SendStatusUpdate(AlgorithmStatus.LoggingIn, "Logging into brokerage...");
brokerage.Message += brokerageOnMessage;
Log.Trace("BrokerageSetupHandler.Setup(): Connecting to brokerage...");
try
{
// this can fail for various reasons, such as already being logged in somewhere else
brokerage.Connect();
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError(
$"Error connecting to brokerage: {err.Message}. " +
"This may be caused by incorrect login credentials or an unsupported account type.", err);
return(false);
}
if (!brokerage.IsConnected)
{
// if we're reporting that we're not connected, bail
AddInitializationError("Unable to connect to brokerage.");
return(false);
}
var message = $"{brokerage.Name} account base currency: {brokerage.AccountBaseCurrency ?? algorithm.AccountCurrency}";
Log.Trace($"BrokerageSetupHandler.Setup(): {message}");
algorithm.Debug(message);
if (brokerage.AccountBaseCurrency != null && brokerage.AccountBaseCurrency != algorithm.AccountCurrency)
{
algorithm.SetAccountCurrency(brokerage.AccountBaseCurrency);
}
Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");
parameters.ResultHandler.SendStatusUpdate(AlgorithmStatus.Initializing, "Initializing algorithm...");
//Execute the initialize code:
var controls = liveJob.Controls;
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(300), () =>
{
try
{
//Set the default brokerage model before initialize
algorithm.SetBrokerageModel(_factory.GetBrokerageModel(algorithm.Transactions));
//Margin calls are disabled by default in live mode
algorithm.Portfolio.MarginCallModel = MarginCallModel.Null;
//Set our parameters
algorithm.SetParameters(liveJob.Parameters);
algorithm.SetAvailableDataTypes(GetConfiguredDataFeeds());
//Algorithm is live, not backtesting:
algorithm.SetLiveMode(true);
//Initialize the algorithm's starting date
algorithm.SetDateTime(DateTime.UtcNow);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(parameters.RealTimeHandler);
// set the option chain provider
algorithm.SetOptionChainProvider(new CachingOptionChainProvider(new LiveOptionChainProvider()));
// set the future chain provider
algorithm.SetFutureChainProvider(new CachingFutureChainProvider(new LiveFutureChainProvider()));
// set the object store
algorithm.SetObjectStore(parameters.ObjectStore);
// If we're going to receive market data from IB,
// set the default subscription limit to 100,
// algorithms can override this setting in the Initialize method
if (brokerage is InteractiveBrokersBrokerage &&
liveJob.DataQueueHandler.EndsWith("InteractiveBrokersBrokerage"))
{
algorithm.Settings.DataSubscriptionLimit = 100;
}
//Initialise the algorithm, get the required data:
algorithm.Initialize();
if (liveJob.Brokerage != "PaperBrokerage")
{
//Zero the CashBook - we'll populate directly from brokerage
foreach (var kvp in algorithm.Portfolio.CashBook)
{
kvp.Value.SetAmount(0);
}
}
}
catch (Exception err)
{
AddInitializationError(err.ToString(), err);
}
}, controls.RamAllocation,
sleepIntervalMillis: 50); // entire system is waiting on this, so be as fast as possible
if (!initializeComplete)
{
AddInitializationError("Initialization timed out.");
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching cash balance from brokerage...");
try
{
// set the algorithm's cash balance for each currency
var cashBalance = brokerage.GetCashBalance();
foreach (var cash in cashBalance)
{
Log.Trace("BrokerageSetupHandler.Setup(): Setting " + cash.Currency + " cash to " + cash.Amount);
algorithm.Portfolio.SetCash(cash.Currency, cash.Amount, 0);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting cash balance from brokerage: " + err.Message, err);
return(false);
}
var supportedSecurityTypes = new HashSet <SecurityType>
{
SecurityType.Equity, SecurityType.Forex, SecurityType.Cfd, SecurityType.Option, SecurityType.Future, SecurityType.Crypto
};
var minResolution = new Lazy <Resolution>(() => algorithm.Securities.Select(x => x.Value.Resolution).DefaultIfEmpty(Resolution.Second).Min());
Log.Trace("BrokerageSetupHandler.Setup(): Fetching open orders from brokerage...");
try
{
GetOpenOrders(algorithm, parameters.ResultHandler, parameters.TransactionHandler, brokerage, supportedSecurityTypes, minResolution.Value);
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting open orders from brokerage: " + err.Message, err);
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching holdings from brokerage...");
try
{
var utcNow = DateTime.UtcNow;
// populate the algorithm with the account's current holdings
var holdings = brokerage.GetAccountHoldings();
// add options first to ensure raw data normalization mode is set on the equity underlyings
foreach (var holding in holdings.OrderByDescending(x => x.Type))
{
Log.Trace("BrokerageSetupHandler.Setup(): Has existing holding: " + holding);
// verify existing holding security type
if (!supportedSecurityTypes.Contains(holding.Type))
{
Log.Error("BrokerageSetupHandler.Setup(): Unsupported security type: " + holding.Type + "-" + holding.Symbol.Value);
AddInitializationError("Found unsupported security type in existing brokerage holdings: " + holding.Type + ". " +
"QuantConnect currently supports the following security types: " + string.Join(",", supportedSecurityTypes));
// keep aggregating these errors
continue;
}
AddUnrequestedSecurity(algorithm, holding.Symbol, minResolution.Value);
var security = algorithm.Securities[holding.Symbol];
var exchangeTime = utcNow.ConvertFromUtc(security.Exchange.TimeZone);
security.Holdings.SetHoldings(holding.AveragePrice, holding.Quantity);
security.SetMarketPrice(new TradeBar
{
Time = exchangeTime,
Open = holding.MarketPrice,
High = holding.MarketPrice,
Low = holding.MarketPrice,
Close = holding.MarketPrice,
Volume = 0,
Symbol = holding.Symbol,
DataType = MarketDataType.TradeBar
});
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting account holdings from brokerage: " + err.Message, err);
return(false);
}
//Finalize Initialization
algorithm.PostInitialize();
BaseSetupHandler.SetupCurrencyConversions(algorithm, parameters.UniverseSelection);
if (algorithm.Portfolio.TotalPortfolioValue == 0)
{
algorithm.Debug("Warning: No cash balances or holdings were found in the brokerage account.");
}
//Set the starting portfolio value for the strategy to calculate performance:
StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
StartingDate = DateTime.Now;
// we set the free portfolio value based on the initial total value and the free percentage value
algorithm.Settings.FreePortfolioValue =
algorithm.Portfolio.TotalPortfolioValue * algorithm.Settings.FreePortfolioValuePercentage;
}
catch (Exception err)
{
AddInitializationError(err.ToString(), err);
}
finally
{
if (brokerage != null)
{
brokerage.Message -= brokerageOnMessage;
}
}
return(Errors.Count == 0);
}