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 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);
}
public void AppliesDividendsOnce()
{
// init algorithm
var algorithm = new AlgorithmStub();
algorithm.SetLiveMode(true);
var dividend = new Dividend(Symbols.SPY, DateTime.UtcNow, 10m, 100m);
var feed = new TestDividendDataFeed(algorithm, dividend);
var dataManager = new DataManager(feed, new UniverseSelection(feed, algorithm), algorithm.Settings, algorithm.TimeKeeper);
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["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(), feed, new BrokerageSetupHandler(), transactions);
results.SetAlgorithm(algorithm);
transactions.Initialize(algorithm, brokerage, results);
// run algorithm manager
manager.Run(job,
algorithm,
dataManager,
transactions,
results,
new BacktestingRealTimeHandler(),
new AlgorithmManagerTests.NullLeanManager(),
new AlgorithmManagerTests.NullAlphaHandler(),
new CancellationToken()
);
var postDividendCash = algorithm.Portfolio.CashBook["USD"].Amount;
Assert.AreEqual(initializedCash + dividend.Distribution, postDividendCash);
}
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);
}