private void LaunchLean()
{
ConfigMerger.Merge(_config, _id, this.GetType());
var systemHandlers = new LeanEngineSystemHandlers(
new JobQueue(),
new EmptyApiHandler(),
new Messaging(),
new LocalLeanManager());
systemHandlers.Initialize();
//separate log uniquely named
var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + _id + ".txt";
using (Log.LogHandler = new FileLogHandler(logFileName, true))
{
var map = new LocalDiskMapFileProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
new OptimizerResultHandler(),
new ConsoleSetupHandler(),
new FileSystemDataFeed(),
new BacktestingTransactionHandler(),
new BacktestingRealTimeHandler(),
map,
new LocalDiskFactorFileProvider(map),
new DefaultDataProvider(),
new OptimizerAlphaHandler(),
new EmptyObjectStore(),
new DataPermissionManager());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//todo: pass period through job
//job.PeriodStart = _config.StartDate;
//job.PeriodFinish = _config.EndDate;
try
{
var algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
engine.Run(job, algorithmManager, algorithmPath, WorkerThread.Instance);
}
finally
{
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
}
}
}
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;
}
}