public void DoTick(string label = "Unlabelled")
{
TickTime = Time.time;
Ticks.Add(new Tick {
Context = Context, Label = label, Time = TickTime
});
}
/// <summary>
/// Adds the specified <see cref="BaseData"/> instance to the appropriate <see cref="DataDictionary{T}"/>
/// </summary>
private static void PopulateDataDictionaries(BaseData baseData, Ticks ticks, TradeBars tradeBars, QuoteBars quoteBars, OptionChains optionChains, FuturesChains futuresChains)
{
var symbol = baseData.Symbol;
// populate data dictionaries
switch (baseData.DataType)
{
case MarketDataType.Tick:
ticks.Add(symbol, (Tick)baseData);
break;
case MarketDataType.TradeBar:
tradeBars[symbol] = (TradeBar)baseData;
break;
case MarketDataType.QuoteBar:
quoteBars[symbol] = (QuoteBar)baseData;
break;
case MarketDataType.OptionChain:
optionChains[symbol] = (OptionChain)baseData;
break;
case MarketDataType.FuturesChain:
futuresChains[symbol] = (FuturesChain)baseData;
break;
}
}
private void Cast(Actor caster, Actor target)
{
//Deal damage
var damagePerTick = new Damage(_tickDamage, DamageType.Magical, DamageFlags.Ability);
var damage = new SourcedDamage(caster, damagePerTick);
var damageable = target.GetModule <IDamageable>();
void InternalTick()
{
damageable.TakeDamage(damage);
}
var tickWrapper = new TickAction
{
Callback = InternalTick,
TickCount = _tickCount,
TickInterval = _tickInterval
};
if (target.TryGetModule <IKillable>(out var killable))
{
killable.Died += RemoveTick;
}
void RemoveTick(object sender, DeathEventArgs args)
{
killable.Died -= RemoveTick;
Ticks.Remove(tickWrapper);
}
Ticks.Add(tickWrapper);
ApplyFX(target.transform, _tickInterval * _tickCount);
}
private async Task <bool> ExecuteLoadTickDataAsync(object parameter)
{
IsBusy = true;
StatusText = "Loading...";
if (parameter != null)
{
_lastLoadedDuration = (DurationEnum)Enum.Parse(typeof(DurationEnum), parameter.ToString());
}
Duration = _lastLoadedDuration.ToString();
var ticks = await _xtbWrapper.LoadData(Name, _lastLoadedDuration);
Ticks.Clear();
foreach (var tick in ticks)
{
Ticks.Add(tick);
}
UpdatePlot(_lastLoadedDuration);
StatusText = "Ready";
IsBusy = false;
IsLoaded = true;
return(true);
}
public void Recalculate(double min, double max, double fixedSpacingMajor, double fixedSpacingMinor)
{
Ticks.Clear();
double firstMajorTickPosition = min - (min % fixedSpacingMajor);
if (min > 0)
{
firstMajorTickPosition += fixedSpacingMajor;
}
for (double i = firstMajorTickPosition; i <= max; i += fixedSpacingMajor)
{
Ticks.Add(new Tick(i, Math.Round(i, 8).ToString(), true));
}
double[] majorTickPositions = Ticks.Select(x => x.Position).ToArray();
double firstMinorTickPosition = min - (min % fixedSpacingMinor);
if (min > 0)
{
firstMinorTickPosition += fixedSpacingMinor;
}
for (double i = firstMinorTickPosition; i <= max; i += fixedSpacingMinor)
{
if (!majorTickPositions.Contains(i))
{
Ticks.Add(new Tick(i));
}
}
}
/// <summary>
/// Poll for new tick to refresh conversion rate of non-USD denomination
/// </summary>
/// <param name="symbol"></param>
public void PollTick(Symbol symbol)
{
int delay = 36000000;
var token = _canceller.Token;
var listener = Task.Factory.StartNew(() =>
{
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Information, -1, $"GDAXBrokerage.PollLatestTick: started polling for ticks: {symbol.Value.ToString()}"));
while (true)
{
var rate = GetConversionRate(symbol.Value.Replace("USD", ""));
lock (TickLocker)
{
var latest = new Tick
{
Value = rate,
Time = DateTime.UtcNow,
Symbol = symbol
};
Ticks.Add(latest);
}
Thread.Sleep(delay);
if (token.IsCancellationRequested)
{
break;
}
}
OnMessage(new BrokerageMessageEvent(BrokerageMessageType.Information, -1, $"PollLatestTick: stopped polling for ticks: {symbol.Value.ToString()}"));
}, token, TaskCreationOptions.LongRunning, TaskScheduler.Default);
}
/// <summary>
///
/// </summary>
/// <param name="symbol"></param>
/// <param name="entries"></param>
private void EmitTradeTick(Symbol symbol, string[] entries)
{
try
{
var time = Time.UnixTimeStampToDateTime(double.Parse(entries[0], NumberStyles.Float, CultureInfo.InvariantCulture));
var price = decimal.Parse(entries[1], NumberStyles.Float, CultureInfo.InvariantCulture);
var amout = decimal.Parse(entries[2], NumberStyles.Float, CultureInfo.InvariantCulture);
lock (TickLocker)
{
Ticks.Add(new Tick
{
Value = price,
Time = time,
Symbol = symbol,
TickType = TickType.Trade,
Quantity = Math.Abs(amout)
});
}
}
catch (Exception e)
{
Log.Error(e);
throw;
}
}
// [[1, 250, 'Unscheduled'], [2, 54, 'Sprint 1'], [3, 20, 'Sprint Banana'], [4, 0, 'Sprint Cross Reference'], [5, 8, 'Sprint Sammy']]
private List <object> CreateTaskHoursPerSprintJsonList(Product product, int currentSprintId)
{
List <object> taskHoursPerSprintJsonList = new List <object>();
ScrumTimeEntities scrumTimeEntities = new ScrumTimeEntities();
TaskService taskService = new TaskService(scrumTimeEntities);
decimal unassignedTaskHours = taskService.GetUnassignedTaskHours(product.ProductId);
CheckSetYAxisMax(unassignedTaskHours);
List <object> unassignedHoursList = new List <object>();
unassignedHoursList.Add(1);
unassignedHoursList.Add(unassignedTaskHours);
unassignedHoursList.Add("Unassigned");
taskHoursPerSprintJsonList.Add(unassignedHoursList);
Ticks.Add(" ");
SprintService sprintService = new SprintService(scrumTimeEntities);
List <Sprint> mostRecentSprints = sprintService.GetMostRecentSprints(product.ProductId, currentSprintId, 4);
int index = 2;
foreach (Sprint recentSprint in mostRecentSprints)
{
List <object> sprintHoursList = new List <object>();
sprintHoursList.Add(index);
sprintHoursList.Add(CalculateHoursForSprint(recentSprint));
sprintHoursList.Add(recentSprint.Name);
taskHoursPerSprintJsonList.Add(sprintHoursList);
Ticks.Add(" ");
index++;
}
return(taskHoursPerSprintJsonList);
}
/// <summary>
/// Poll for new tick to refresh conversion rate of non-USD denomination
/// </summary>
/// <param name="symbol"></param>
/// <param name="client"></param>
public void PollTick(Symbol symbol)
{
int delay = 36000000;
var token = _canceller.Token;
var listener = Task.Factory.StartNew(() =>
{
Log.Trace("PollLatestTick: " + "Started polling for ticks: " + symbol.Value.ToString());
while (true)
{
var rate = GetConversionRate(symbol.Value.Replace("USD", ""));
lock (_tickLocker)
{
var latest = new Tick
{
Value = rate,
Time = DateTime.UtcNow,
Symbol = symbol
};
Ticks.Add(latest);
}
Thread.Sleep(delay);
if (token.IsCancellationRequested)
{
break;
}
}
Log.Trace("PollLatestTick: " + "Stopped polling for ticks: " + symbol.Value.ToString());
}, token, TaskCreationOptions.LongRunning, TaskScheduler.Default);
}
public void DateTimeConversion()
{
UT_INIT();
Log.SetVerbosity(new ConsoleLogger(), Verbosity.Verbose, "/");
Log.MapThreadName("UnitTest");
Log.SetDomain("TickWatch", Scope.Method);
Log.Info("DateTime.MinValue(): " + (DateTime.MinValue.ToString()));
Log.Info("DateTime.MaxValue(): " + (DateTime.MaxValue.ToString()));
Ticks ticksNow = new Ticks();
// roundtrip 1
long millisEpochNow = ticksNow.InEpochMillis();
ticksNow.SetFromEpochMillis(millisEpochNow);
long ticksNowFromEpoch = ticksNow.Raw();
UT_TRUE(Math.Abs(ticksNow.Raw() - ticksNowFromEpoch) < 50000);
// roundtrip 2
long millis5_1_70_3_51 = 0
+ (4L * 24L * 60L * 60L * 1000L)
+ (3L * 60L * 60L * 1000L)
+ (51L * 60L * 1000L);
long millis5_1_71_3_51 = millis5_1_70_3_51
+ (365L * 24L * 60L * 60L * 1000L);
Ticks ticks5_1_70_3_51 = new Ticks(); ticks5_1_70_3_51.SetFromEpochMillis(millis5_1_70_3_51);
Ticks ticks5_1_71_3_51 = new Ticks(); ticks5_1_71_3_51.SetFromEpochMillis(millis5_1_71_3_51);
UT_TRUE(ticks5_1_70_3_51.Raw() < ticks5_1_71_3_51.Raw());
long millis5_1_70_3_51_back = ticks5_1_70_3_51.InEpochMillis();
long millis5_1_71_3_51_back = ticks5_1_71_3_51.InEpochMillis();
UT_TRUE(millis5_1_70_3_51_back == millis5_1_70_3_51);
UT_TRUE(millis5_1_71_3_51_back == millis5_1_71_3_51);
// add 1 day, 2h, 3min and 4sec days:
Ticks tomorrow = new Ticks(ticksNow);
Ticks span = new Ticks();
span.FromMillis((long)(new TimeSpan(1, 2, 3, 4)).TotalMilliseconds);
tomorrow.Add(span);
Log.Info("Today: is: " + (DateTime.Now.ToString()));
Log.Info("Today: is: " + (ticksNow.InDotNetDateTime().ToString()));
Log.Info("Today: is: " + ((new Ticks(ticksNowFromEpoch)).InDotNetDateTime().ToString()));
Log.Info("+1d, 2h,3m,4s: " + (tomorrow.InDotNetDateTime().ToString()));
Log.Info("5.1.70 3:51:00: " + (ticks5_1_70_3_51.InDotNetDateTime().ToString()));
Log.Info("5.1.71 3:51:00: " + (ticks5_1_71_3_51.InDotNetDateTime().ToString()));
}
internal HistoricalTicks(ResponseReader r)
{
RequestId = r.ReadInt();
int n = r.ReadInt();
for (int i = 0; i < n; i++)
{
Ticks.Add(new HistoricalTick(r));
}
Done = r.ReadBool();
}
private void HandleBadProductId()
{
List <object> taskHoursPerSprintJsonList = new List <object>();
taskHoursPerSprintJsonList.Add(0);
taskHoursPerSprintJsonList.Add(0);
taskHoursPerSprintJsonList.Add("None");
Data.Add(taskHoursPerSprintJsonList);
Ticks.Add(" ");
YAxisMax = 10;
}
public HistoricalTicks(ResponseComposer c)
{
RequestId = c.ReadInt();
var n = c.ReadInt();
for (int i = 0; i < n; i++)
{
Ticks.Add(new HistoricalTick(c));
}
Done = c.ReadBool();
}
public void InitializeTicks()
{
logger.Trace("InitializeTicks()...");
for (int j = 0; j < 10; j = j + 1)
{
DiaryTimeTick dtt = new DiaryTimeTick(this);
dtt.Top = j * 80;
Ticks.Add(dtt);
}
logger.Trace("InitializeTicks()...Done");
}
public override void Initialize(LinkedNavigationEvent linkedNavigationEvent)
{
var ticks = IoC.Get <IBacktestRepository>().GetBacktestTicks(linkedNavigationEvent.Key);
Ticks.Clear();
foreach (var tick in ticks)
{
Ticks.Add(tick);
}
TickView = CollectionViewSource.GetDefaultView(Ticks);
base.Initialize(linkedNavigationEvent);
}
public void AddTest()
{
IDataManager data = new OpenWealth.Data.Data();
//data.Init(); сейчас всё делается в конструкторе, но в будущем может понадобится
ISymbol symbol = data.GetSymbol("AddTest");
IScale scale = data.GetScale(ScaleEnum.tick, 1);
Ticks ticks = new Ticks(symbol, scale);
Assert.AreEqual(ticks.Count, 0);
IBar bar0 = new Bar(DateTime.Now, 10, 1, 1, 1, 1, 1);
ticks.Add(null, bar0);
Assert.AreEqual(ticks.Count, 1);
Assert.AreEqual(ticks[0], bar0);
IBar bar1 = new Bar(DateTime.Now, 20, 1, 1, 1, 1, 1);
ticks.Add(null, bar1);
Assert.AreEqual(ticks.Count, 2);
Assert.AreEqual(ticks[1], bar1);
IBar bar2 = new Bar(DateTime.Now, 15, 1, 1, 1, 1, 1);
ticks.Add(null, bar2);
Assert.AreEqual(ticks.Count, 3);
Assert.AreEqual(ticks[0], bar0);
Assert.AreEqual(ticks[1], bar2);
Assert.AreEqual(ticks[2], bar1);
IBar bar3 = new Bar(DateTime.Now, 15, 1, 1, 1, 1, 2);
ticks.Add(null, bar2);
Assert.AreEqual(ticks.Count, 3);
Assert.AreEqual(ticks[0], bar0);
Assert.AreEqual(ticks[1], bar2);
Assert.AreEqual(ticks[2], bar1);
}
public void BarExistsTest()
{
IDataManager data = new OpenWealth.Data.Data();
//data.Init(); сейчас всё делается в конструкторе, но в будущем может понадобится
ISymbol symbol = data.GetSymbol("BarExistsTest");
IScale scale = data.GetScale(ScaleEnum.tick, 1);
Ticks ticks = new Ticks(symbol, scale);
int index;
Assert.AreEqual(ticks.BarExists(777, out index), false);
Assert.AreEqual(0, index);
ticks.Add(null, new Bar(DateTime.Now, 10, 1, 1, 1, 1, 1));
Assert.AreEqual(ticks.BarExists(5, out index), false);
Assert.AreEqual(0, index);
Assert.AreEqual(ticks.BarExists(10, out index), true);
Assert.AreEqual(0, index);
Assert.AreEqual(ticks.BarExists(20, out index), false);
Assert.AreEqual(1, index);
ticks.Add(null, new Bar(DateTime.Now, 20, 1, 1, 1, 1, 1));
Assert.AreEqual(ticks.BarExists(5, out index), false);
Assert.AreEqual(0, index);
Assert.AreEqual(ticks.BarExists(10, out index), true);
Assert.AreEqual(0, index);
Assert.AreEqual(ticks.BarExists(15, out index), false);
Assert.AreEqual(1, index);
Assert.AreEqual(ticks.BarExists(20, out index), true);
Assert.AreEqual(1, index);
Assert.AreEqual(ticks.BarExists(25, out index), false);
Assert.AreEqual(2, index);
}
/// <summary>
/// Emits a new trade tick from a match message
/// </summary>
private void EmitTradeTick(Messages.Matched message)
{
var symbol = ConvertProductId(message.ProductId);
lock (TickLocker)
{
Ticks.Add(new Tick
{
Value = message.Price,
Time = DateTime.UtcNow,
Symbol = symbol,
TickType = TickType.Trade,
Quantity = message.Size
});
}
}
private void EmitQuoteTick(Symbol symbol, decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize)
{
lock (TickLocker)
{
Ticks.Add(new Tick
{
AskPrice = askPrice,
BidPrice = bidPrice,
Value = (askPrice + bidPrice) / 2m,
Time = DateTime.UtcNow,
Symbol = symbol,
TickType = TickType.Quote,
AskSize = Math.Abs(askSize),
BidSize = Math.Abs(bidSize)
});
}
}
public void Add(TTick item)
{
var periodInstance = Period.CreateInstance();
if (Ticks.Any())
{
var tickEndTime = periodInstance.NextTimestamp(Ticks.Last().DateTime);
if (item.DateTime < tickEndTime)
{
throw new InvalidTimeFrameException(item.DateTime);
}
if (_maxTickCount.HasValue && Ticks.Count >= _maxTickCount.Value)
{
Ticks = Ticks.Skip(Ticks.Count - _maxTickCount.Value + 1).Take(_maxTickCount.Value).ToList();
}
}
Ticks.Add(item);
}
/// <summary>
/// Converts a ticker message and emits data as a new quote tick
/// </summary>
/// <param name="data"></param>
private void EmitQuoteTick(string data)
{
var message = JsonConvert.DeserializeObject <Messages.Ticker>(data, JsonSettings);
var symbol = ConvertProductId(message.ProductId);
lock (_tickLocker)
{
Ticks.Add(new Tick
{
AskPrice = message.BestAsk,
BidPrice = message.BestBid,
Value = (message.BestAsk + message.BestBid) / 2m,
Time = DateTime.UtcNow,
Symbol = symbol,
TickType = TickType.Quote
//todo: tick volume
});
}
}
/// <summary>
/// Event handler for streaming ticks
/// </summary>
/// <param name="json">The data object containing the received tick</param>
private void OnPricingDataReceived(string json)
{
var obj = (JObject)JsonConvert.DeserializeObject(json);
var type = obj["type"].ToString();
switch (type)
{
case "HEARTBEAT":
lock (LockerConnectionMonitor)
{
LastHeartbeatUtcTime = DateTime.UtcNow;
}
break;
case "PRICE":
var data = obj.ToObject <Price>();
var securityType = SymbolMapper.GetBrokerageSecurityType(data.Instrument);
var symbol = SymbolMapper.GetLeanSymbol(data.Instrument, securityType, Market.Oanda);
var time = GetTickDateTimeFromString(data.Time);
// live ticks timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.Oanda, symbol, securityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
time = time.ConvertFromUtc(exchangeTimeZone);
var bidPrice = Convert.ToDecimal(data.Bids.Last().Price);
var askPrice = Convert.ToDecimal(data.Asks.Last().Price);
var tick = new Tick(time, symbol, bidPrice, askPrice);
lock (Ticks)
{
Ticks.Add(tick);
}
break;
}
}
private void LedDeviceThreadProc()
{
var lastSentBytes = new byte[0];
while (!_isClosing)
{
Thread.Sleep(5);
Color[] colors;
lock (this)
colors = _colors.ToArray();
try
{
var fade = CurrentFade;
var bytes = colors.SelectMany(color => new[] { (byte)Math.Round(color.R * fade), (byte)Math.Round(color.G * fade), (byte)Math.Round(color.B * fade) }).ToArray();
if (!lastSentBytes.SequenceEqual(bytes))
{
_port?.Write("LEDS");
WriteByte((byte)colors.Length);
Write(bytes);
ReadResponse();
lastSentBytes = bytes;
Ticks.Add();
LastUpdated = DateTime.Now;
Updated?.Invoke();
}
}
catch (Exception exception)
{
Error = exception;
_port?.Dispose();
return;
}
}
_port?.Dispose();
}
/// <summary>
/// Event handler for streaming ticks
/// </summary>
/// <param name="data">The data object containing the received tick</param>
private void OnDataReceived(RateStreamResponse data)
{
if (data.IsHeartbeat())
{
lock (LockerConnectionMonitor)
{
LastHeartbeatUtcTime = DateTime.UtcNow;
}
return;
}
if (data.tick == null)
{
return;
}
var securityType = SymbolMapper.GetBrokerageSecurityType(data.tick.instrument);
var symbol = SymbolMapper.GetLeanSymbol(data.tick.instrument, securityType, Market.Oanda);
var time = OandaBrokerage.GetDateTimeFromString(data.tick.time);
// live ticks timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.Oanda, symbol, securityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
time = time.ConvertFromUtc(exchangeTimeZone);
var bidPrice = Convert.ToDecimal(data.tick.bid);
var askPrice = Convert.ToDecimal(data.tick.ask);
var tick = new Tick(time, symbol, bidPrice, askPrice);
lock (Ticks)
{
Ticks.Add(tick);
}
}
private void ReCalculateTimelineTicks()
{
// for now
Ticks.Clear();
// do a tick for each hour
var hours = (int)(TickEndDateTime - TickStartDateTime).TotalHours;
// round up to the nearest hour
// need to get the tick based rounding code
DateTime baseHourTick = TickStartDateTime.AddHours(1).AddMinutes(TickStartDateTime.Minute * -1);
for (int i = 0; i < hours; i++)
{
Ticks.Add(
new TimelineTick()
{
Time = baseHourTick.AddHours(i)
}
);
}
}
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="feed">Datafeed object</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <param name="token">Cancellation token</param>
/// <remarks>Modify with caution</remarks>
public void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, CancellationToken token)
{
//Initialize:
_dataPointCount = 0;
var startingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary <Type, MethodInvoker>();
var marginCallFrequency = TimeSpan.FromMinutes(5);
var nextMarginCallTime = DateTime.MinValue;
var delistingTickets = new List <OrderTicket>();
//Initialize Properties:
_algorithmId = job.AlgorithmId;
_algorithmState = AlgorithmStatus.Running;
_previousTime = algorithm.StartDate.Date;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
// Algorithm 2.0 data accessors
var hasOnDataTradeBars = AddMethodInvoker <TradeBars>(algorithm, methodInvokers);
var hasOnDataTicks = AddMethodInvoker <Ticks>(algorithm, methodInvokers);
// dividend and split events
var hasOnDataDividends = AddMethodInvoker <Dividends>(algorithm, methodInvokers);
var hasOnDataSplits = AddMethodInvoker <Splits>(algorithm, methodInvokers);
var hasOnDataDelistings = AddMethodInvoker <Delistings>(algorithm, methodInvokers);
// Algorithm 3.0 data accessors
var hasOnDataSlice = algorithm.GetType().GetMethods()
.Where(x => x.Name == "OnData" && x.GetParameters().Length == 1 && x.GetParameters()[0].ParameterType == typeof(Slice))
.FirstOrDefault(x => x.DeclaringType == algorithm.GetType()) != null;
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in feed.Subscriptions)
{
//If type is a tradebar, combine tradebars and ticks into unified array:
if (config.Type.Name != "TradeBar" && config.Type.Name != "Tick")
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//If we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type))
{
continue;
}
//If we couldnt find the event handler, let the user know we can't fire that event.
if (genericMethod == null && !hasOnDataSlice)
{
algorithm.RunTimeError = new Exception("Data event handler not found, please create a function matching this template: public void OnData(" + config.Type.Name + " data) { }");
_algorithmState = AlgorithmStatus.RuntimeError;
return;
}
if (genericMethod != null)
{
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
}
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Trace("AlgorithmManager.Run(): Begin DataStream - Start: " + algorithm.StartDate + " Stop: " + algorithm.EndDate);
foreach (var timeSlice in feed.Bridge.GetConsumingEnumerable(token))
{
// reset our timer on each loop
_currentTimeStepTime = DateTime.UtcNow;
//Check this backtest is still running:
if (_algorithmState != AlgorithmStatus.Running)
{
Log.Error(string.Format("AlgorithmManager.Run(): Algorthm state changed to {0} at {1}", _algorithmState, timeSlice.Time));
break;
}
//Execute with TimeLimit Monitor:
if (token.IsCancellationRequested)
{
Log.Error("AlgorithmManager.Run(): CancellationRequestion at " + timeSlice.Time);
return;
}
var time = timeSlice.Time;
var newData = timeSlice.Data;
//If we're in backtest mode we need to capture the daily performance. We do this here directly
//before updating the algorithm state with the new data from this time step, otherwise we'll
//produce incorrect samples (they'll take into account this time step's new price values)
if (backtestMode)
{
//On day-change sample equity and daily performance for statistics calculations
if (_previousTime.Date != time.Date)
{
//Sample the portfolio value over time for chart.
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
//Check for divide by zero
if (startingPortfolioValue == 0m)
{
results.SamplePerformance(_previousTime.Date, 0);
}
else
{
results.SamplePerformance(_previousTime.Date, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPortfolioValue) * 100 / startingPortfolioValue, 10));
}
startingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
}
}
//Update algorithm state after capturing performance from previous day
//Set the algorithm and real time handler's time
algorithm.SetDateTime(time);
realtime.SetTime(algorithm.Time);
//On each time step push the real time prices to the cashbook so we can have updated conversion rates
algorithm.Portfolio.CashBook.Update(newData);
//Update the securities properties: first before calling user code to avoid issues with data
algorithm.Securities.Update(time, newData);
// process fill models on the updated data before entering algorithm, applies to all non-market orders
transactions.ProcessSynchronousEvents();
if (delistingTickets.Count != 0)
{
for (int i = 0; i < delistingTickets.Count; i++)
{
var ticket = delistingTickets[i];
if (ticket.Status == OrderStatus.Filled)
{
algorithm.Securities.Remove(ticket.Symbol);
delistingTickets.RemoveAt(i--);
Log.Trace("AlgorithmManager.Run(): Security removed: " + ticket.Symbol);
}
}
}
//Check if the user's signalled Quit: loop over data until day changes.
if (algorithm.GetQuit())
{
_algorithmState = AlgorithmStatus.Quit;
Log.Trace("AlgorithmManager.Run(): Algorithm quit requested.");
break;
}
if (algorithm.RunTimeError != null)
{
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Trace(string.Format("AlgorithmManager.Run(): Algorithm encountered a runtime error at {0}. Error: {1}", timeSlice.Time, algorithm.RunTimeError));
break;
}
// perform margin calls, in live mode we can also use realtime to emit these
if (time >= nextMarginCallTime || (_liveMode && nextMarginCallTime > DateTime.Now))
{
// determine if there are possible margin call orders to be executed
bool issueMarginCallWarning;
var marginCallOrders = algorithm.Portfolio.ScanForMarginCall(out issueMarginCallWarning);
if (marginCallOrders.Count != 0)
{
try
{
// tell the algorithm we're about to issue the margin call
algorithm.OnMarginCall(marginCallOrders);
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: OnMarginCall: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
// execute the margin call orders
var executedTickets = algorithm.Portfolio.MarginCallModel.ExecuteMarginCall(marginCallOrders);
foreach (var ticket in executedTickets)
{
algorithm.Error(string.Format("{0} - Executed MarginCallOrder: {1} - Quantity: {2} @ {3}", algorithm.Time, ticket.Symbol, ticket.Quantity, ticket.OrderEvents.Last().FillPrice));
}
}
// we didn't perform a margin call, but got the warning flag back, so issue the warning to the algorithm
else if (issueMarginCallWarning)
{
try
{
algorithm.OnMarginCallWarning();
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: OnMarginCallWarning: " + err.Message + " STACK >>> " + err.StackTrace);
}
}
nextMarginCallTime = time + marginCallFrequency;
}
//Trigger the data events: Invoke the types we have data for:
var newBars = new TradeBars(algorithm.Time);
var newTicks = new Ticks(algorithm.Time);
var newDividends = new Dividends(algorithm.Time);
var newSplits = new Splits(algorithm.Time);
var newDelistings = new Delistings(algorithm.Time);
//Invoke all non-tradebars, non-ticks methods and build up the TradeBars and Ticks dictionaries
// --> i == Subscription Configuration Index, so we don't need to compare types.
foreach (var i in newData.Keys)
{
//Data point and config of this point:
var dataPoints = newData[i];
var config = feed.Subscriptions[i];
//Keep track of how many data points we've processed
_dataPointCount += dataPoints.Count;
//We don't want to pump data that we added just for currency conversions
if (config.IsInternalFeed)
{
continue;
}
//Create TradeBars Unified Data --> OR --> invoke generic data event. One loop.
// Aggregate Dividends and Splits -- invoke portfolio application methods
foreach (var dataPoint in dataPoints)
{
var dividend = dataPoint as Dividend;
if (dividend != null)
{
Log.Trace("AlgorithmManager.Run(): Applying Dividend for " + dividend.Symbol);
// if this is a dividend apply to portfolio
algorithm.Portfolio.ApplyDividend(dividend);
if (hasOnDataDividends)
{
// and add to our data dictionary to pump into OnData(Dividends data)
newDividends.Add(dividend);
}
continue;
}
var split = dataPoint as Split;
if (split != null)
{
Log.Trace("AlgorithmManager.Run(): Applying Split for " + split.Symbol);
// if this is a split apply to portfolio
algorithm.Portfolio.ApplySplit(split);
if (hasOnDataSplits)
{
// and add to our data dictionary to pump into OnData(Splits data)
newSplits.Add(split);
}
continue;
}
var delisting = dataPoint as Delisting;
if (delisting != null)
{
if (hasOnDataDelistings)
{
// add to out data dictonary to pump into OnData(Delistings data)
newDelistings.Add(delisting);
}
}
//Update registered consolidators for this symbol index
try
{
for (var j = 0; j < config.Consolidators.Count; j++)
{
config.Consolidators[j].Update(dataPoint);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Consolidators update: " + err.Message);
return;
}
// TRADEBAR -- add to our dictionary
if (dataPoint.DataType == MarketDataType.TradeBar)
{
var bar = dataPoint as TradeBar;
if (bar != null)
{
newBars[bar.Symbol] = bar;
continue;
}
}
// TICK -- add to our dictionary
if (dataPoint.DataType == MarketDataType.Tick)
{
var tick = dataPoint as Tick;
if (tick != null)
{
List <Tick> ticks;
if (!newTicks.TryGetValue(tick.Symbol, out ticks))
{
ticks = new List <Tick>(3);
newTicks.Add(tick.Symbol, ticks);
}
ticks.Add(tick);
continue;
}
}
// if it was nothing else then it must be custom data
// CUSTOM DATA -- invoke on data method
//Send data into the generic algorithm event handlers
try
{
MethodInvoker methodInvoker;
if (methodInvokers.TryGetValue(config.Type, out methodInvoker))
{
methodInvoker(algorithm, dataPoint);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
}
try
{
// fire off the dividend and split events before pricing events
if (hasOnDataDividends && newDividends.Count != 0)
{
methodInvokers[typeof(Dividends)](algorithm, newDividends);
}
if (hasOnDataSplits && newSplits.Count != 0)
{
methodInvokers[typeof(Splits)](algorithm, newSplits);
}
if (hasOnDataDelistings && newDelistings.Count != 0)
{
methodInvokers[typeof(Delistings)](algorithm, newDelistings);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Dividends/Splits/Delistings: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
// run the delisting logic after firing delisting events
HandleDelistedSymbols(algorithm, newDelistings, delistingTickets);
//After we've fired all other events in this second, fire the pricing events:
try
{
if (hasOnDataTradeBars && newBars.Count > 0)
{
methodInvokers[typeof(TradeBars)](algorithm, newBars);
}
if (hasOnDataTicks && newTicks.Count > 0)
{
methodInvokers[typeof(Ticks)](algorithm, newTicks);
}
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
// EVENT HANDLER v3.0 -- all data in a single event
var slice = new Slice(algorithm.Time, newData.Values.SelectMany(x => x),
newBars.Count == 0 ? null : newBars,
newTicks.Count == 0 ? null : newTicks,
newSplits.Count == 0 ? null : newSplits,
newDividends.Count == 0 ? null : newDividends,
newDelistings.Count == 0 ? null : newDelistings
);
try
{
algorithm.OnData(slice);
}
catch (Exception err)
{
algorithm.RunTimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Slice: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
//Save the previous time for the sample calculations
_previousTime = time;
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
} // End of ForEach feed.Bridge.GetConsumingEnumerable
// stop timing the loops
_currentTimeStepTime = DateTime.MinValue;
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
_algorithmState = AlgorithmStatus.RuntimeError;
algorithm.RunTimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
Log.Error("AlgorithmManager.OnEndOfAlgorithm(): " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents(forceProcess: true);
//Liquidate Holdings for Calculations:
if (_algorithmState == AlgorithmStatus.Liquidated && _liveMode)
{
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.LogMessage("Algorithm Liquidated");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithmState == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.LogMessage("Algorithm Stopped");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithmState == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Completed);
//Take final samples:
results.SampleRange(algorithm.GetChartUpdates());
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
results.SamplePerformance(_previousTime, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPortfolioValue) * 100 / startingPortfolioValue, 10));
} // End of Run();
public void AddTick()
{
Ticks.Add(MockUtilities.GenerateTicks("backtestidToImplement", 1)[0]);
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="feed">Datafeed object</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="setup">Setup handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <remarks>Modify with caution</remarks>
public static void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, ITransactionHandler transactions, IResultHandler results, ISetupHandler setup, IRealTimeHandler realtime)
{
//Initialize:
var backwardsCompatibilityMode = false;
var tradebarsType = typeof(TradeBars);
var ticksType = typeof(Ticks);
var startingPerformance = setup.StartingCapital;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary <Type, MethodInvoker>();
//Initialize Properties:
_frontier = setup.StartingDate;
_runtimeError = null;
_algorithmId = job.AlgorithmId;
_algorithmState = AlgorithmStatus.Running;
_previousTime = setup.StartingDate.Date;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
//Algorithm 1.0 Data Accessors.
//If the users defined these methods, add them in manually. This allows keeping backwards compatibility to algorithm 1.0.
var oldTradeBarsMethodInfo = (algorithm.GetType()).GetMethod("OnTradeBar", new[] { typeof(Dictionary <string, TradeBar>) });
var oldTicksMethodInfo = (algorithm.GetType()).GetMethod("OnTick", new[] { typeof(Dictionary <string, List <Tick> >) });
//Algorithm 2.0 Data Generics Accessors.
//New hidden access to tradebars with custom type.
var newTradeBarsMethodInfo = (algorithm.GetType()).GetMethod("OnData", new[] { tradebarsType });
var newTicksMethodInfo = (algorithm.GetType()).GetMethod("OnData", new[] { ticksType });
if (newTradeBarsMethodInfo == null && newTicksMethodInfo == null)
{
backwardsCompatibilityMode = true;
if (oldTradeBarsMethodInfo != null)
{
methodInvokers.Add(tradebarsType, oldTradeBarsMethodInfo.DelegateForCallMethod());
}
if (oldTradeBarsMethodInfo != null)
{
methodInvokers.Add(ticksType, oldTicksMethodInfo.DelegateForCallMethod());
}
}
else
{
backwardsCompatibilityMode = false;
if (newTradeBarsMethodInfo != null)
{
methodInvokers.Add(tradebarsType, newTradeBarsMethodInfo.DelegateForCallMethod());
}
if (newTicksMethodInfo != null)
{
methodInvokers.Add(ticksType, newTicksMethodInfo.DelegateForCallMethod());
}
}
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in feed.Subscriptions)
{
//If type is a tradebar, combine tradebars and ticks into unified array:
if (config.Type.Name != "TradeBar" && config.Type.Name != "Tick")
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//Is we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type))
{
continue;
}
//If we couldnt find the event handler, let the user know we can't fire that event.
if (genericMethod == null)
{
_runtimeError = new Exception("Data event handler not found, please create a function matching this template: public void OnData(" + config.Type.Name + " data) { }");
_algorithmState = AlgorithmStatus.RuntimeError;
return;
}
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Debug("AlgorithmManager.Run(): Algorithm initialized, launching time loop.");
foreach (var newData in DataStream.GetData(feed, setup.StartingDate))
{
//Check this backtest is still running:
if (_algorithmState != AlgorithmStatus.Running)
{
break;
}
//Go over each time stamp we've collected, pass it into the algorithm in order:
foreach (var time in newData.Keys)
{
//Set the time frontier:
_frontier = time;
//Execute with TimeLimit Monitor:
if (Isolator.IsCancellationRequested)
{
return;
}
//Refresh the realtime event monitor:
realtime.SetTime(time);
//Fire EOD if the time packet we just processed is greater
if (backtestMode && _previousTime.Date != time.Date)
{
//Sample the portfolio value over time for chart.
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
if (startingPerformance == 0)
{
results.SamplePerformance(_previousTime.Date, 0);
}
else
{
results.SamplePerformance(_previousTime.Date, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPerformance) * 100 / startingPerformance, 10));
}
startingPerformance = algorithm.Portfolio.TotalPortfolioValue;
}
//Check if the user's signalled Quit: loop over data until day changes.
if (algorithm.GetQuit())
{
_algorithmState = AlgorithmStatus.Quit;
break;
}
//Pass in the new time first:
algorithm.SetDateTime(time);
//Trigger the data events: Invoke the types we have data for:
var oldBars = new Dictionary <string, TradeBar>();
var oldTicks = new Dictionary <string, List <Tick> >();
var newBars = new TradeBars(time);
var newTicks = new Ticks(time);
//Invoke all non-tradebars, non-ticks methods:
// --> i == Subscription Configuration Index, so we don't need to compare types.
foreach (var i in newData[time].Keys)
{
//Data point and config of this point:
var dataPoints = newData[time][i];
var config = feed.Subscriptions[i];
//Create TradeBars Unified Data --> OR --> invoke generic data event. One loop.
foreach (var dataPoint in dataPoints)
{
//Update the securities properties: first before calling user code to avoid issues with data
algorithm.Securities.Update(time, dataPoint);
//Update registered consolidators for this symbol index
for (var j = 0; j < config.Consolidators.Count; j++)
{
config.Consolidators[j].Update(dataPoint);
}
switch (config.Type.Name)
{
case "TradeBar":
var bar = dataPoint as TradeBar;
try
{
if (bar != null)
{
if (backwardsCompatibilityMode)
{
if (!oldBars.ContainsKey(bar.Symbol))
{
oldBars.Add(bar.Symbol, bar);
}
}
else
{
if (!newBars.ContainsKey(bar.Symbol))
{
newBars.Add(bar.Symbol, bar);
}
}
}
}
catch (Exception err)
{
Log.Error(time.ToLongTimeString() + " >> " + bar.Time.ToLongTimeString() + " >> " + bar.Symbol + " >> " + bar.Value.ToString("C"));
Log.Error("AlgorithmManager.Run(): Failed to add TradeBar (" + bar.Symbol + ") Time: (" + time.ToLongTimeString() + ") Count:(" + newBars.Count + ") " + err.Message);
}
break;
case "Tick":
var tick = dataPoint as Tick;
if (tick != null)
{
if (backwardsCompatibilityMode)
{
if (!oldTicks.ContainsKey(tick.Symbol))
{
oldTicks.Add(tick.Symbol, new List <Tick>());
}
oldTicks[tick.Symbol].Add(tick);
}
else
{
if (!newTicks.ContainsKey(tick.Symbol))
{
newTicks.Add(tick.Symbol, new List <Tick>());
}
newTicks[tick.Symbol].Add(tick);
}
}
break;
default:
//Send data into the generic algorithm event handlers
try
{
methodInvokers[config.Type](algorithm, dataPoint);
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
break;
}
}
}
//After we've fired all other events in this second, fire the pricing events:
if (backwardsCompatibilityMode)
{
//Log.Debug("AlgorithmManager.Run(): Invoking v1.0 Event Handlers...");
try
{
if (oldTradeBarsMethodInfo != null && oldBars.Count > 0)
{
methodInvokers[tradebarsType](algorithm, oldBars);
}
if (oldTicksMethodInfo != null && oldTicks.Count > 0)
{
methodInvokers[ticksType](algorithm, oldTicks);
}
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: Backwards Compatibility Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
else
{
//Log.Debug("AlgorithmManager.Run(): Invoking v2.0 Event Handlers...");
try
{
if (newTradeBarsMethodInfo != null && newBars.Count > 0)
{
methodInvokers[tradebarsType](algorithm, newBars);
}
if (newTicksMethodInfo != null && newTicks.Count > 0)
{
methodInvokers[ticksType](algorithm, newTicks);
}
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Error("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
//Save the previous time for the sample calculations
_previousTime = time;
} // End of Time Loop
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
} // End of ForEach DataStream
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
_runtimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
_algorithmState = AlgorithmStatus.RuntimeError;
return;
}
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
//Liquidate Holdings for Calculations:
if (_algorithmState == AlgorithmStatus.Liquidated || !Engine.LiveMode)
{
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithmState == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithmState == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Completed);
//Take final samples:
results.SampleRange(algorithm.GetChartUpdates());
results.SampleEquity(_frontier, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
results.SamplePerformance(_frontier, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPerformance) * 100 / startingPerformance, 10));
} // End of Run();
public static TimeSpan Add(TimeSpan timeout1, TimeSpan timeout2)
{
return(Ticks.ToTimeSpan(Ticks.Add(Ticks.FromTimeSpan(timeout1), Ticks.FromTimeSpan(timeout2))));
}
protected override void AddTrade(TradeEvent tradeEvent)
{
Ticks.Add(tradeEvent.Tick);
}
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Launch the algorithm manager to run this strategy
/// </summary>
/// <param name="job">Algorithm job</param>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="feed">Datafeed object</param>
/// <param name="transactions">Transaction manager object</param>
/// <param name="results">Result handler object</param>
/// <param name="setup">Setup handler object</param>
/// <param name="realtime">Realtime processing object</param>
/// <remarks>Modify with caution</remarks>
public static void Run(AlgorithmNodePacket job, IAlgorithm algorithm, IDataFeed feed, ITransactionHandler transactions, IResultHandler results, ISetupHandler setup, IRealTimeHandler realtime)
{
//Initialize:
var backwardsCompatibilityMode = false;
var tradebarsType = typeof (TradeBars);
var ticksType = typeof(Ticks);
var startingPerformance = setup.StartingCapital;
var backtestMode = (job.Type == PacketType.BacktestNode);
var methodInvokers = new Dictionary<Type, MethodInvoker>();
//Initialize Properties:
_frontier = setup.StartingDate;
_runtimeError = null;
_algorithmId = job.AlgorithmId;
_algorithmState = AlgorithmStatus.Running;
_previousTime = setup.StartingDate.Date;
//Create the method accessors to push generic types into algorithm: Find all OnData events:
//Algorithm 1.0 Data Accessors.
//If the users defined these methods, add them in manually. This allows keeping backwards compatibility to algorithm 1.0.
var oldTradeBarsMethodInfo = (algorithm.GetType()).GetMethod("OnTradeBar", new[] { typeof(Dictionary<string, TradeBar>) });
var oldTicksMethodInfo = (algorithm.GetType()).GetMethod("OnTick", new[] { typeof(Dictionary<string, List<Tick>>) });
//Algorithm 2.0 Data Generics Accessors.
//New hidden access to tradebars with custom type.
var newTradeBarsMethodInfo = (algorithm.GetType()).GetMethod("OnData", new[] { tradebarsType });
var newTicksMethodInfo = (algorithm.GetType()).GetMethod("OnData", new[] { ticksType });
if (newTradeBarsMethodInfo == null && newTicksMethodInfo == null)
{
backwardsCompatibilityMode = true;
if (oldTradeBarsMethodInfo != null) methodInvokers.Add(tradebarsType, oldTradeBarsMethodInfo.DelegateForCallMethod());
if (oldTradeBarsMethodInfo != null) methodInvokers.Add(ticksType, oldTicksMethodInfo.DelegateForCallMethod());
}
else
{
backwardsCompatibilityMode = false;
if (newTradeBarsMethodInfo != null) methodInvokers.Add(tradebarsType, newTradeBarsMethodInfo.DelegateForCallMethod());
if (newTicksMethodInfo != null) methodInvokers.Add(ticksType, newTicksMethodInfo.DelegateForCallMethod());
}
//Go through the subscription types and create invokers to trigger the event handlers for each custom type:
foreach (var config in feed.Subscriptions)
{
//If type is a tradebar, combine tradebars and ticks into unified array:
if (config.Type.Name != "TradeBar" && config.Type.Name != "Tick")
{
//Get the matching method for this event handler - e.g. public void OnData(Quandl data) { .. }
var genericMethod = (algorithm.GetType()).GetMethod("OnData", new[] { config.Type });
//Is we already have this Type-handler then don't add it to invokers again.
if (methodInvokers.ContainsKey(config.Type)) continue;
//If we couldnt find the event handler, let the user know we can't fire that event.
if (genericMethod == null)
{
_runtimeError = new Exception("Data event handler not found, please create a function matching this template: public void OnData(" + config.Type.Name + " data) { }");
_algorithmState = AlgorithmStatus.RuntimeError;
return;
}
methodInvokers.Add(config.Type, genericMethod.DelegateForCallMethod());
}
}
//Loop over the queues: get a data collection, then pass them all into relevent methods in the algorithm.
Log.Debug("AlgorithmManager.Run(): Algorithm initialized, launching time loop.");
foreach (var newData in DataStream.GetData(feed, setup.StartingDate))
{
//Check this backtest is still running:
if (_algorithmState != AlgorithmStatus.Running) break;
//Go over each time stamp we've collected, pass it into the algorithm in order:
foreach (var time in newData.Keys)
{
//Set the time frontier:
_frontier = time;
//Execute with TimeLimit Monitor:
if (Isolator.IsCancellationRequested) return;
//Refresh the realtime event monitor:
realtime.SetTime(time);
//Fire EOD if the time packet we just processed is greater
if (backtestMode && _previousTime.Date != time.Date)
{
//Sample the portfolio value over time for chart.
results.SampleEquity(_previousTime, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
if (startingPerformance == 0)
{
results.SamplePerformance(_previousTime.Date, 0);
}
else
{
results.SamplePerformance(_previousTime.Date, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPerformance) * 100 / startingPerformance, 10));
}
startingPerformance = algorithm.Portfolio.TotalPortfolioValue;
}
//Check if the user's signalled Quit: loop over data until day changes.
if (algorithm.GetQuit())
{
_algorithmState = AlgorithmStatus.Quit;
break;
}
//Pass in the new time first:
algorithm.SetDateTime(time);
//Trigger the data events: Invoke the types we have data for:
var oldBars = new Dictionary<string, TradeBar>();
var oldTicks = new Dictionary<string, List<Tick>>();
var newBars = new TradeBars(time);
var newTicks = new Ticks(time);
//Invoke all non-tradebars, non-ticks methods:
// --> i == Subscription Configuration Index, so we don't need to compare types.
foreach (var i in newData[time].Keys)
{
//Data point and config of this point:
var dataPoints = newData[time][i];
var config = feed.Subscriptions[i];
//Create TradeBars Unified Data --> OR --> invoke generic data event. One loop.
foreach (var dataPoint in dataPoints)
{
//Update the securities properties: first before calling user code to avoid issues with data
algorithm.Securities.Update(time, dataPoint);
//Update registered consolidators for this symbol index
for (var j = 0; j < config.Consolidators.Count; j++)
{
config.Consolidators[j].Update(dataPoint);
}
switch (config.Type.Name)
{
case "TradeBar":
var bar = dataPoint as TradeBar;
try
{
if (bar != null)
{
if (backwardsCompatibilityMode)
{
if (!oldBars.ContainsKey(bar.Symbol)) oldBars.Add(bar.Symbol, bar);
}
else
{
if (!newBars.ContainsKey(bar.Symbol)) newBars.Add(bar.Symbol, bar);
}
}
}
catch (Exception err)
{
Log.Error(time.ToLongTimeString() + " >> " + bar.Time.ToLongTimeString() + " >> " + bar.Symbol + " >> " + bar.Value.ToString("C"));
Log.Error("AlgorithmManager.Run(): Failed to add TradeBar (" + bar.Symbol + ") Time: (" + time.ToLongTimeString() + ") Count:(" + newBars.Count + ") " + err.Message);
}
break;
case "Tick":
var tick = dataPoint as Tick;
if (tick != null)
{
if (backwardsCompatibilityMode) {
if (!oldTicks.ContainsKey(tick.Symbol)) { oldTicks.Add(tick.Symbol, new List<Tick>()); }
oldTicks[tick.Symbol].Add(tick);
}
else
{
if (!newTicks.ContainsKey(tick.Symbol)) { newTicks.Add(tick.Symbol, new List<Tick>()); }
newTicks[tick.Symbol].Add(tick);
}
}
break;
default:
//Send data into the generic algorithm event handlers
try
{
methodInvokers[config.Type](algorithm, dataPoint);
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: Custom Data: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
break;
}
}
}
//After we've fired all other events in this second, fire the pricing events:
if (backwardsCompatibilityMode)
{
//Log.Debug("AlgorithmManager.Run(): Invoking v1.0 Event Handlers...");
try
{
if (oldTradeBarsMethodInfo != null && oldBars.Count > 0) methodInvokers[tradebarsType](algorithm, oldBars);
if (oldTicksMethodInfo != null && oldTicks.Count > 0) methodInvokers[ticksType](algorithm, oldTicks);
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: Backwards Compatibility Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
else
{
//Log.Debug("AlgorithmManager.Run(): Invoking v2.0 Event Handlers...");
try
{
if (newTradeBarsMethodInfo != null && newBars.Count > 0) methodInvokers[tradebarsType](algorithm, newBars);
if (newTicksMethodInfo != null && newTicks.Count > 0) methodInvokers[ticksType](algorithm, newTicks);
}
catch (Exception err)
{
_runtimeError = err;
_algorithmState = AlgorithmStatus.RuntimeError;
Log.Debug("AlgorithmManager.Run(): RuntimeError: New Style Mode: " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
}
//If its the historical/paper trading models, wait until market orders have been "filled"
// Manually trigger the event handler to prevent thread switch.
transactions.ProcessSynchronousEvents();
//Save the previous time for the sample calculations
_previousTime = time;
} // End of Time Loop
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents();
} // End of ForEach DataStream
//Stream over:: Send the final packet and fire final events:
Log.Trace("AlgorithmManager.Run(): Firing On End Of Algorithm...");
try
{
algorithm.OnEndOfAlgorithm();
}
catch (Exception err)
{
_algorithmState = AlgorithmStatus.RuntimeError;
_runtimeError = new Exception("Error running OnEndOfAlgorithm(): " + err.Message, err.InnerException);
Log.Debug("AlgorithmManager.OnEndOfAlgorithm(): " + err.Message + " STACK >>> " + err.StackTrace);
return;
}
// Process any required events of the results handler such as sampling assets, equity, or stock prices.
results.ProcessSynchronousEvents(forceProcess: true);
//Liquidate Holdings for Calculations:
if (_algorithmState == AlgorithmStatus.Liquidated || !Engine.LiveMode)
{
Log.Trace("AlgorithmManager.Run(): Liquidating algorithm holdings...");
algorithm.Liquidate();
results.LogMessage("Algorithm Liquidated");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Liquidated);
}
//Manually stopped the algorithm
if (_algorithmState == AlgorithmStatus.Stopped)
{
Log.Trace("AlgorithmManager.Run(): Stopping algorithm...");
results.LogMessage("Algorithm Stopped");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Stopped);
}
//Backtest deleted.
if (_algorithmState == AlgorithmStatus.Deleted)
{
Log.Trace("AlgorithmManager.Run(): Deleting algorithm...");
results.DebugMessage("Algorithm Id:(" + job.AlgorithmId + ") Deleted by request.");
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Deleted);
}
//Algorithm finished, send regardless of commands:
results.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Completed);
//Take final samples:
results.SampleRange(algorithm.GetChartUpdates());
results.SampleEquity(_frontier, Math.Round(algorithm.Portfolio.TotalPortfolioValue, 4));
results.SamplePerformance(_frontier, Math.Round((algorithm.Portfolio.TotalPortfolioValue - startingPerformance) * 100 / startingPerformance, 10));
}
/// <summary>
/// Adds the specified <see cref="BaseData"/> instance to the appropriate <see cref="DataDictionary{T}"/>
/// </summary>
private static void PopulateDataDictionaries(BaseData baseData, Ticks ticks, TradeBars tradeBars, QuoteBars quoteBars, OptionChains optionChains)
{
var symbol = baseData.Symbol;
// populate data dictionaries
switch (baseData.DataType)
{
case MarketDataType.Tick:
ticks.Add(symbol, (Tick)baseData);
break;
case MarketDataType.TradeBar:
tradeBars[symbol] = (TradeBar) baseData;
break;
case MarketDataType.QuoteBar:
quoteBars[symbol] = (QuoteBar) baseData;
break;
case MarketDataType.OptionChain:
optionChains[symbol] = (OptionChain) baseData;
break;
}
}
