public async Task <HttpResponseMessage> GetFiddle(string id)
{
var fiddleId = FiddleId.Parse(id);
var fiddleOutput = await Execution.Execute(Domain.getFiddle(fiddleId));
return(Json(fiddleOutput));
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
// generate, timestamp and emit insights
var insights = Alpha.Update(this, slice)
.Select(SetGeneratedAndClosedTimes)
.ToList();
// only fire insights generated event if we actually have insights
if (insights.Count != 0)
{
// debug printing of generated insights
if (DebugMode)
{
Log($"{Time}: ALPHA: {string.Join(" | ", insights.Select(i => i.ToString()).OrderBy(i => i))}");
}
OnInsightsGenerated(insights);
}
// construct portfolio targets from insights
var targets = PortfolioConstruction.CreateTargets(this, insights).ToList();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Any())
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverrides = RiskManagement.ManageRisk(this).ToList();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Any())
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
// execute on the targets, overriding targets for symbols w/ risk targets
Execution.Execute(this, riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol));
}
public static void Start()
{
Execution.Execute((i) => WithLambda(Mock.GenerateMock(i)));
Execution.Execute((i) => WithFor(Mock.GenerateMock(i)));
Execution.Execute((i) => WithForeach(Mock.GenerateMock(i)));
Execution.Execute((i) => WithParallelFor(Mock.GenerateMock(i)));
Execution.Execute((i) => WithParallelForeach(Mock.GenerateMock(i)));
}
public static void Main()
{
Common.WriteLine("Please, enter your dishes");
var entry = Common.ReadLine();
Execution.Execute(entry);
Common.ReadKey();
}
public async Task <HttpResponseMessage> SaveFiddle()
{
var rawInput = await Request.Content.ReadAsStringAsync();
var fiddleInput = JsonConvert.DeserializeObject <FiddleInput>(rawInput, _settings);
var fiddleId = await Execution.Execute(Domain.saveFiddle(fiddleInput));
return(Json(new { id = fiddleId.ToString() }));
}
public async Task <HttpResponseMessage> CheckFiddle()
{
var rawInput = await Request.Content.ReadAsStringAsync();
var fiddleInput = JsonConvert.DeserializeObject <FiddleInput>(rawInput, _settings);
var fiddleOutput = await Execution.Execute(Domain.checkFiddle(fiddleInput));
return(Json(fiddleOutput.Output));
}
public void Start(ExecutionMode mode)
{
Execution.Request.Mode = mode;
Finished = Task.Factory.StartNew(() =>
{
TheFinalResults = Execution.Execute(new GrammarSystem(), new Timings());
});
Execution.HasStarted.Wait();
}
public static void Start()
{
Execution.Execute((i) => {
if (i == 1)
{
WithMapper <UserModel, User>(InitializeAutomapper(), Mock.GenerateMock().First(), i);
}
else
{
WithMapper <List <UserModel>, List <User> >(InitializeAutomapper(), Mock.GenerateMock(i), i);
}
});
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
// generate, timestamp and emit alphas
var alphas = Alpha.Update(this, slice)
.Select(alpha => { alpha.GeneratedTimeUtc = UtcTime; return(alpha); })
.ToList();
if (alphas.Count != 0)
{
// only fire alphas generated event if we actually have alphas
OnAlphasGenerated(alphas);
}
// construct portfolio targets from alphas
var targets = PortfolioConstruction.CreateTargets(this, alphas);
// execute on the targets and manage risk
Execution.Execute(this, targets);
RiskManagement.ManageRisk(this);
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
// generate, timestamp and emit insights
var insights = Alpha.Update(this, slice)
.Select(SetGeneratedAndClosedTimes)
.ToList();
if (insights.Count != 0)
{
// only fire insights generated event if we actually have insights
OnInsightsGenerated(insights);
}
// construct portfolio targets from insights
var targets = PortfolioConstruction.CreateTargets(this, insights);
// execute on the targets and manage risk
Execution.Execute(this, targets);
RiskManagement.ManageRisk(this);
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
// generate, timestamp and emit insights
var insights = Alpha.Update(this, slice)
.Select(SetGeneratedAndClosedTimes)
.ToList();
if (insights.Count != 0)
{
// only fire insights generated event if we actually have insights
OnInsightsGenerated(insights);
}
// construct portfolio targets from insights
var targets = PortfolioConstruction.CreateTargets(this, insights);
var riskTargetOverrides = RiskManagement.ManageRisk(this);
// execute on the targets, overriding targets for symbols w/ risk targets
Execution.Execute(this, riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol));
}
/// <summary>
/// They different framework models will process the new provided insight.
/// The <see cref="IPortfolioConstructionModel"/> will create targets,
/// the <see cref="IRiskManagementModel"/> will adjust the targets
/// and the <see cref="IExecutionModel"/> will execute the <see cref="IPortfolioTarget"/>
/// </summary>
/// <param name="insights">The insight to process</param>
private void ProcessInsights(Insight[] insights)
{
// construct portfolio targets from insights
var targetsEnumerable = PortfolioConstruction.CreateTargets(this, insights);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var targets = targetsEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] {} : targetsEnumerable.ToArray();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Length > 0)
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverridesEnumerable = RiskManagement.ManageRisk(this, targets);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var riskTargetOverrides = riskTargetOverridesEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] { } : riskTargetOverridesEnumerable.ToArray();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
IPortfolioTarget[] riskAdjustedTargets;
// for performance we check the length before
if (riskTargetOverrides.Length != 0 ||
targets.Length != 0)
{
// execute on the targets, overriding targets for symbols w/ risk targets
riskAdjustedTargets = riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol).ToArray();
}
else
{
riskAdjustedTargets = new IPortfolioTarget[] { };
}
if (DebugMode)
{
// only log adjusted targets if we've performed an adjustment
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
Execution.Execute(this, riskAdjustedTargets);
}
/// <summary>
/// They different framework models will process the new provided insight.
/// The <see cref="IPortfolioConstructionModel"/> will create targets,
/// the <see cref="IRiskManagementModel"/> will adjust the targets
/// and the <see cref="IExecutionModel"/> will execute the <see cref="IPortfolioTarget"/>
/// </summary>
/// <param name="insights">The insight to process</param>
protected void ProcessInsights(Insight[] insights)
{
// construct portfolio targets from insights
var targetsEnumerable = PortfolioConstruction.CreateTargets(this, insights);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var targets = targetsEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] {} : targetsEnumerable.ToArray();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Length > 0)
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverridesEnumerable = RiskManagement.ManageRisk(this, targets);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var riskTargetOverrides = riskTargetOverridesEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] { } : riskTargetOverridesEnumerable.ToArray();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
IPortfolioTarget[] riskAdjustedTargets;
// for performance we check the length before
if (riskTargetOverrides.Length != 0 ||
targets.Length != 0)
{
// execute on the targets, overriding targets for symbols w/ risk targets
riskAdjustedTargets = riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol).ToArray();
}
else
{
riskAdjustedTargets = new IPortfolioTarget[] { };
}
if (DebugMode)
{
// only log adjusted targets if we've performed an adjustment
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
if (riskAdjustedTargets.Length > 0 &&
Execution.GetType() != typeof(NullExecutionModel) &&
BrokerageModel.AccountType == AccountType.Cash)
{
throw new InvalidOperationException($"Non null {nameof(IExecutionModel)} and {nameof(IPortfolioConstructionModel)} are currently unsuitable for Cash Modeled brokerages (e.g. GDAX) and may result in unexpected trades."
+ " To prevent possible user error we've restricted them to Margin trading. You can select margin account types with"
+ $" SetBrokerage( ... AccountType.Margin). Or please set them to {nameof(NullExecutionModel)}, {nameof(NullPortfolioConstructionModel)}");
}
Execution.Execute(this, riskAdjustedTargets);
}
public ExecutionSummary Run(Type testClass, bool isOnlyTestClass)
{
var methods = methodDiscoverer.TestMethods(testClass);
var summary = new ExecutionSummary();
if (!methods.Any())
{
return(summary);
}
Start(testClass);
var classStopwatch = Stopwatch.StartNew();
var orderedMethods = OrderedMethods(methods, summary);
bool classLifecycleFailed = false;
bool runCasesInvokedByLifecycle = false;
try
{
Action <Action <Case> > runCases = caseLifecycle =>
{
runCasesInvokedByLifecycle = true;
foreach (var @case in YieldCases(orderedMethods, summary))
{
Start(@case);
Exception caseLifecycleException = null;
string consoleOutput;
using (var console = new RedirectedConsole())
{
var caseStopwatch = Stopwatch.StartNew();
try
{
caseLifecycle(@case);
}
catch (Exception exception)
{
caseLifecycleException = exception;
}
caseStopwatch.Stop();
@case.Duration += caseStopwatch.Elapsed;
consoleOutput = console.Output;
@case.Output += consoleOutput;
}
Console.Write(consoleOutput);
var caseHasNormalResult = @case.State == CaseState.Failed || @case.State == CaseState.Passed;
var caseLifecycleFailed = caseLifecycleException != null;
if (caseHasNormalResult)
{
if (@case.State == CaseState.Failed)
{
Fail(@case, summary);
}
else if (!caseLifecycleFailed)
{
Pass(@case, summary);
}
}
if (caseLifecycleFailed)
{
Fail(new Case(@case, caseLifecycleException), summary);
}
else if (!caseHasNormalResult)
{
Skip(@case, summary);
}
}
};
var runContext = isOnlyTestClass && methods.Count == 1
? new TestClass(testClass, runCases, methods.Single())
: new TestClass(testClass, runCases);
execution.Execute(runContext);
}
catch (Exception exception)
{
classLifecycleFailed = true;
foreach (var method in orderedMethods)
{
Fail(method, exception, summary);
}
}
if (!runCasesInvokedByLifecycle && !classLifecycleFailed)
{
//No cases ran, and we didn't already emit a general
//failure for each method, so emit a general skip for
//each method.
foreach (var method in orderedMethods)
{
var @case = new Case(method);
Skip(@case, summary);
}
}
classStopwatch.Stop();
Complete(testClass, summary, classStopwatch.Elapsed);
return(summary);
}
/// <summary>
/// Used to send data updates to algorithm framework models
/// </summary>
/// <param name="slice">The current data slice</param>
public sealed override void OnFrameworkData(Slice slice)
{
if (UtcTime >= UniverseSelection.GetNextRefreshTimeUtc())
{
var universes = UniverseSelection.CreateUniverses(this).ToDictionary(u => u.Configuration.Symbol);
// remove deselected universes by symbol
foreach (var ukvp in UniverseManager)
{
var universeSymbol = ukvp.Key;
var qcUserDefined = UserDefinedUniverse.CreateSymbol(ukvp.Value.SecurityType, ukvp.Value.Market);
if (universeSymbol.Equals(qcUserDefined))
{
// prevent removal of qc algorithm created user defined universes
continue;
}
Universe universe;
if (!universes.TryGetValue(universeSymbol, out universe))
{
if (ukvp.Value.DisposeRequested)
{
UniverseManager.Remove(universeSymbol);
}
// mark this universe as disposed to remove all child subscriptions
ukvp.Value.Dispose();
}
}
// add newly selected universes
foreach (var ukvp in universes)
{
// note: UniverseManager.Add uses TryAdd, so don't need to worry about duplicates here
UniverseManager.Add(ukvp);
}
}
// we only want to run universe selection if there's no data available in the slice
if (!slice.HasData)
{
return;
}
// insight timestamping handled via InsightsGenerated event handler
var insights = Alpha.Update(this, slice).ToArray();
// only fire insights generated event if we actually have insights
if (insights.Length != 0)
{
// debug printing of generated insights
if (DebugMode)
{
Log($"{Time}: ALPHA: {string.Join(" | ", insights.Select(i => i.ToString()).OrderBy(i => i))}");
}
OnInsightsGenerated(insights);
}
// construct portfolio targets from insights
var targets = PortfolioConstruction.CreateTargets(this, insights).ToArray();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Length > 0)
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverrides = RiskManagement.ManageRisk(this, targets).ToArray();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
// execute on the targets, overriding targets for symbols w/ risk targets
var riskAdjustedTargets = riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol).ToArray();
if (DebugMode)
{
// only log adjusted targets if we've performed an adjustment
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
Execution.Execute(this, riskAdjustedTargets);
}