/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configuration transaction handler</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler)
{
var initializeComplete = false;
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Set the limits on the algorithm assets (for local no limits)
algorithm.SetAssetLimits(999, 999, 999);
algorithm.SetMaximumOrders(int.MaxValue);
//Setup Base Algorithm:
algorithm.Initialize();
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
else
{
throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
// we need to do this after algorithm initialization
brokerage = new BacktestingBrokerage(algorithm);
// set the transaction models base on the requested brokerage properties
SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
return(initializeComplete);
}
/// <summary>
/// Setup the algorithm cash, dates and data subscriptions as desired.
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">Brokerage instance</param>
/// <param name="baseJob">Algorithm job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <returns>Boolean true on successfully initializing the algorithm</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler)
{
var job = baseJob as BacktestNodePacket;
if (job == null)
{
throw new ArgumentException("Expected BacktestNodePacket but received " + baseJob.GetType().Name);
}
Log.Trace(string.Format("BacktestingSetupHandler.Setup(): Setting up job: Plan: {0}, UID: {1}, PID: {2}, Version: {3}, Source: {4}", job.UserPlan, job.UserId, job.ProjectId, job.Version, job.RequestSource));
brokerage = null;
if (algorithm == null)
{
Errors.Add("Could not create instance of algorithm");
return(false);
}
//Make sure the algorithm start date ok.
if (job.PeriodStart == default(DateTime))
{
Errors.Add("Algorithm start date was never set");
return(false);
}
//Execute the initialize code:
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(10), () =>
{
try
{
//Algorithm is backtesting, not live:
algorithm.SetLiveMode(false);
//Set the backtest level asset ram allocation limits
algorithm.SetAssetLimits(500, 100, 30);
//Set the algorithm time before we even initialize:
algorithm.SetDateTime(job.PeriodStart);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
}
catch (Exception err)
{
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
});
//Before continuing, detect if this is ready:
if (!initializeComplete)
{
return(false);
}
// this needs to be done after algorithm initialization
brokerage = new BacktestingBrokerage(algorithm);
SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
//Calculate the max runtime for the strategy
_maxRuntime = GetMaximumRuntime(job.PeriodStart, job.PeriodFinish, algorithm.SubscriptionManager.Count);
//Get starting capital:
_startingCaptial = algorithm.Portfolio.Cash;
//Max Orders: 10k per backtest:
if (job.UserPlan == UserPlan.Free)
{
_maxOrders = 10000;
}
else
{
_maxOrders = int.MaxValue;
_maxRuntime += _maxRuntime;
}
//Set back to the algorithm,
algorithm.SetMaximumOrders(_maxOrders);
//Starting date of the algorithm:
_startingDate = job.PeriodStart;
//Put into log for debugging:
Log.Trace("SetUp Backtesting: User: "******" ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
Log.Trace("Dates: Start: " + job.PeriodStart.ToShortDateString() + " End: " + job.PeriodFinish.ToShortDateString() + " Cash: " + _startingCaptial.ToString("C"));
if (Errors.Count > 0)
{
initializeComplete = false;
}
return(initializeComplete);
}
/// <summary>
/// Primary entry point to setup a new algorithm
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">New brokerage output instance</param>
/// <param name="job">Algorithm job task</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configurated transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket job, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
_algorithm = algorithm;
brokerage = default(IBrokerage);
// verify we were given the correct job packet type
var liveJob = job as LiveNodePacket;
if (liveJob == null)
{
AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
return(false);
}
// 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(string.Format("Brokerage Error Code: {0} - {1}", args.Code, args.Message));
}
};
try
{
Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");
resultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Initializing, "Initializing algorithm...");
//Execute the initialize code:
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(300), () =>
{
try
{
//Set the live trading level asset/ram allocation limits.
//Protects algorithm from linux killing the job by excess memory:
switch (job.ServerType)
{
case ServerType.Server1024:
algorithm.SetAssetLimits(100, 20, 10);
break;
case ServerType.Server2048:
algorithm.SetAssetLimits(400, 50, 30);
break;
default: //512
algorithm.SetAssetLimits(50, 25, 15);
break;
}
//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(realTimeHandler);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
});
if (!initializeComplete)
{
AddInitializationError("Initialization timed out.");
return(false);
}
try
{
// find the correct brokerage factory based on the specified brokerage in the live job packet
_factory = Composer.Instance.Single <IBrokerageFactory>(factory => factory.BrokerageType.MatchesTypeName(liveJob.Brokerage));
}
catch (Exception err)
{
Log.Error("BrokerageSetupHandler.Setup(): Error resolving brokerage factory for " + liveJob.Brokerage + ". " + err.Message);
AddInitializationError("Unable to locate factory for brokerage: " + liveJob.Brokerage);
}
// let the world know what we're doing since logging in can take a minute
resultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.LoggingIn, "Logging into brokerage...");
// initialize the correct brokerage using the resolved factory
brokerage = _factory.CreateBrokerage(liveJob, algorithm);
if (brokerage == null)
{
AddInitializationError("Failed to create instance of brokerage: " + liveJob.Brokerage);
return(false);
}
brokerage.Message += brokerageOnMessage;
// set the transaction and settlement models based on the brokerage properties
SetupHandler.UpdateModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
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(string.Format("Error connecting to brokerage: {0}. " +
"This may be caused by incorrect login credentials or an unsupported account type.", err.Message));
return(false);
}
if (!brokerage.IsConnected)
{
// if we're reporting that we're not connected, bail
AddInitializationError("Unable to connect to brokerage.");
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.Symbol + " cash to " + cash.Quantity);
algorithm.SetCash(cash.Symbol, cash.Quantity, cash.ConversionRate);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting cash balance from brokerage: " + err.Message);
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching open orders from brokerage...");
try
{
// populate the algorithm with the account's outstanding orders
var openOrders = brokerage.GetOpenOrders();
foreach (var order in openOrders)
{
// be sure to assign order IDs such that we increment from the SecurityTransactionManager to avoid ID collisions
Log.Trace("BrokerageSetupHandler.Setup(): Has open order: " + order.Symbol + " - " + order.Quantity);
order.Id = algorithm.Transactions.GetIncrementOrderId();
transactionHandler.Orders.AddOrUpdate(order.Id, order, (i, o) => order);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting open orders from brokerage: " + err.Message);
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Fetching holdings from brokerage...");
try
{
// populate the algorithm with the account's current holdings
var holdings = brokerage.GetAccountHoldings();
var supportedSecurityTypes = new HashSet <SecurityType> {
SecurityType.Equity, SecurityType.Forex
};
var minResolution = new Lazy <Resolution>(() => algorithm.Securities.Min(x => x.Value.Resolution));
foreach (var holding in holdings)
{
var symbol = new Symbol(holding.Symbol);
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.ToUpper());
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;
}
if (!algorithm.Portfolio.ContainsKey(symbol))
{
Log.Trace("BrokerageSetupHandler.Setup(): Adding unrequested security: " + holding.Symbol);
// for items not directly requested set leverage to 1 and at the min resolution
algorithm.AddSecurity(holding.Type, symbol, minResolution.Value, null, true, 1.0m, false);
}
algorithm.Portfolio[symbol].SetHoldings(holding.AveragePrice, (int)holding.Quantity);
algorithm.Securities[symbol].SetMarketPrice(new TradeBar
{
Time = DateTime.Now,
Open = holding.MarketPrice,
High = holding.MarketPrice,
Low = holding.MarketPrice,
Close = holding.MarketPrice,
Volume = 0,
Symbol = symbol,
DataType = MarketDataType.TradeBar
});
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting account holdings from brokerage: " + err.Message);
return(false);
}
Log.Trace("BrokerageSetupHandler.Setup(): Ensuring currency data feeds present...");
// call this after we've initialized everything from the brokerage since we may have added some holdings/currencies
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
//Set the starting portfolio value for the strategy to calculate performance:
StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
StartingDate = DateTime.Now;
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
finally
{
if (brokerage != null)
{
brokerage.Message -= brokerageOnMessage;
}
}
return(Errors.Count == 0);
}
/// <summary>
/// Primary entry point to setup a new algorithm
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="brokerage">New brokerage output instance</param>
/// <param name="job">Algorithm job task</param>
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket job)
{
_algorithm = algorithm;
brokerage = default(IBrokerage);
// verify we were given the correct job packet type
var liveJob = job as LiveNodePacket;
if (liveJob == null)
{
AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
return(false);
}
// verify the brokerage was specified
if (string.IsNullOrWhiteSpace(liveJob.Brokerage))
{
AddInitializationError("A brokerage must be specified");
return(false);
}
try
{
Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");
//Execute the initialize code:
var initializeComplete = Isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(10), () =>
{
try
{
//Set the live trading level asset/ram allocation limits.
//Protects algorithm from linux killing the job by excess memory:
switch (job.ServerType)
{
case ServerType.Server1024:
algorithm.SetAssetLimits(100, 20, 10);
break;
case ServerType.Server2048:
algorithm.SetAssetLimits(400, 50, 30);
break;
default: //512
algorithm.SetAssetLimits(50, 25, 15);
break;
}
//Algorithm is live, not backtesting:
algorithm.SetLiveMode(true);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
});
if (!initializeComplete)
{
AddInitializationError("Initialization timed out.");
return(false);
}
try
{
// find the correct brokerage factory based on the specified brokerage in the live job packet
_factory = Composer.Instance.Single <IBrokerageFactory>(factory => factory.BrokerageType.MatchesTypeName(liveJob.Brokerage));
}
catch (Exception err)
{
Log.Error("BrokerageSetupHandler.Setup(): Error resolving brokerage factory for " + liveJob.Brokerage + ". " + err.Message);
AddInitializationError("Unable to locate factory for brokerage: " + liveJob.Brokerage);
}
// let the world know what we're doing since logging in can take a minute
Engine.ResultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.LoggingIn, "Logging into brokerage...");
// initialize the correct brokerage using the resolved factory
brokerage = _factory.CreateBrokerage(liveJob, algorithm);
// set the transaction models base on the brokerage properties
SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
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.");
return(false);
}
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.Symbol + " cash to " + cash.Quantity);
algorithm.SetCash(cash.Symbol, cash.Quantity, cash.ConversionRate);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting cash balance from brokerage.");
return(false);
}
try
{
// populate the algorithm with the account's outstanding orders
var openOrders = brokerage.GetOpenOrders();
foreach (var order in openOrders)
{
// be sure to assign order IDs such that we increment from the SecurityTransactionManager to avoid ID collisions
Log.Trace("BrokerageSetupHandler.Setup(): Has open order: " + order.Symbol + " - " + order.Quantity);
order.Id = algorithm.Transactions.GetIncrementOrderId();
algorithm.Orders.AddOrUpdate(order.Id, order, (i, o) => order);
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting open orders from brokerage.");
return(false);
}
try
{
// populate the algorithm with the account's current holdings
var holdings = brokerage.GetAccountHoldings();
var minResolution = new Lazy <Resolution>(() => algorithm.Securities.Min(x => x.Value.Resolution));
foreach (var holding in holdings)
{
Log.Trace("BrokerageSetupHandler.Setup(): Has existing holding: " + holding);
if (!algorithm.Portfolio.ContainsKey(holding.Symbol))
{
Log.Trace("BrokerageSetupHandler.Setup(): Adding unrequested security: " + holding.Symbol);
// for items not directly requested set leverage to 1 and at the min resolution
algorithm.AddSecurity(holding.Type, holding.Symbol, minResolution.Value, true, 1.0m, false);
}
algorithm.Portfolio[holding.Symbol].SetHoldings(holding.AveragePrice, (int)holding.Quantity);
algorithm.Securities[holding.Symbol].SetMarketPrice(DateTime.Now, new TradeBar
{
Time = DateTime.Now,
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.");
return(false);
}
// call this after we've initialized everything from the brokerage since we may have added some holdings/currencies
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager);
//Set the starting portfolio value for the strategy to calculate performance:
StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
StartingDate = DateTime.Now;
}
catch (Exception err)
{
AddInitializationError(err.Message);
}
return(Errors.Count == 0);
}
/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configuration transaction handler</param>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
var initializeComplete = false;
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Set our default markets
algorithm.SetDefaultMarkets(BacktestingBrokerageFactory.DefaultMarketMap.ToDictionary());
algorithm.SetMaximumOrders(int.MaxValue);
// set our parameters
algorithm.SetParameters(baseJob.Parameters);
algorithm.SetLiveMode(false);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Setup Base Algorithm:
algorithm.Initialize();
//Set the time frontier of the algorithm
algorithm.SetDateTime(algorithm.StartDate.ConvertToUtc(algorithm.TimeZone));
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, MarketHoursDatabase.FromDataFolder());
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
else
{
throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
}
}
catch (Exception err)
{
Log.Error(err);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
// set the transaction and settlement models based on the brokerage properties
SetupHandler.UpdateModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
return(initializeComplete);
}
