/// <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>
/// <returns>Boolean true on successfully initializing the algorithm</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob)
{
var job = baseJob as BacktestNodePacket;
if (job == null)
{
throw new ArgumentException("Expected BacktestNodePacket but received " + baseJob.GetType().Name);
}
// Must be set since its defined as an out parameters
brokerage = new BacktestingBrokerage(algorithm);
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 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();
}
catch (Exception err)
{
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
});
//Before continuing, detect if this is ready:
if (!initializeComplete) return false;
//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: 100 per day:
_maxOrders = (int)(job.PeriodFinish - job.PeriodStart).TotalDays * 100;
//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>
/// 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>
/// <param name="realTimeHandler">The configured real time handler</param>
/// <returns>Boolean true on successfully initializing the algorithm</returns>
public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
{
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));
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;
}
var controls = job.Controls;
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromMinutes(5), () =>
{
try
{
//Set our parameters
algorithm.SetParameters(job.Parameters);
//Algorithm is backtesting, not live:
algorithm.SetLiveMode(false);
//Set the algorithm time before we even initialize:
algorithm.SetDateTime(job.PeriodStart.ConvertToUtc(algorithm.TimeZone));
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(realTimeHandler);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
}
catch (Exception err)
{
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
});
//Before continuing, detect if this is ready:
if (!initializeComplete) return false;
algorithm.Transactions.SetOrderProcessor(transactionHandler);
algorithm.PostInitialize();
//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>
/// Initialize the result handler with this result packet.
/// </summary>
/// <param name="packet">Algorithm job packet for this result handler</param>
/// <param name="messagingHandler"></param>
/// <param name="api"></param>
/// <param name="dataFeed"></param>
/// <param name="setupHandler"></param>
/// <param name="transactionHandler"></param>
public void Initialize(AlgorithmNodePacket packet, IMessagingHandler messagingHandler, IApi api, IDataFeed dataFeed, ISetupHandler setupHandler, ITransactionHandler transactionHandler)
{
// we expect one of two types here, the backtest node packet or the live node packet
var job = packet as BacktestNodePacket;
if (job != null)
{
_algorithmNode = new BacktestConsoleStatusHandler(job);
}
else
{
var live = packet as LiveNodePacket;
if (live == null)
{
throw new ArgumentException("Unexpected AlgorithmNodeType: " + packet.GetType().Name);
}
_algorithmNode = new LiveConsoleStatusHandler(live);
}
_resamplePeriod = _algorithmNode.ComputeSampleEquityPeriod();
var time = DateTime.Now.ToString("yyyy-MM-dd-HH-mm");
_chartDirectory = Path.Combine("../../../Charts/", packet.AlgorithmId, time);
if (Directory.Exists(_chartDirectory))
{
foreach (var file in Directory.EnumerateFiles(_chartDirectory, "*.csv", SearchOption.AllDirectories))
{
File.Delete(file);
}
Directory.Delete(_chartDirectory, true);
}
Directory.CreateDirectory(_chartDirectory);
_messagingHandler = messagingHandler;
}
/********************************************************
* PUBLIC CONSTRUCTOR
*********************************************************/
/// <summary>
/// Console result handler constructor.
/// </summary>
/// <remarks>Setup the default sampling and notification periods based on the backtest length.</remarks>
public ConsoleResultHandler(AlgorithmNodePacket packet)
{
FinalStatistics = new Dictionary<string, string>();
Log.Trace("Launching Console Result Handler: QuantConnect v2.0");
Messages = new ConcurrentQueue<Packet>();
Charts = new ConcurrentDictionary<string, Chart>();
_chartLock = new Object();
_isActive = true;
// we expect one of two types here, the backtest node packet or the live node packet
if (packet is BacktestNodePacket)
{
var backtest = packet as BacktestNodePacket;
_algorithmNode = new BacktestConsoleStatusHandler(backtest);
}
else
{
var live = packet as LiveNodePacket;
if (live == null)
{
throw new ArgumentException("Unexpected AlgorithmNodeType: " + packet.GetType().Name);
}
_algorithmNode = new LiveConsoleStatusHandler(live);
}
_resamplePeriod = _algorithmNode.ComputeSampleEquityPeriod();
//Notification Period for pushes:
_notificationPeriod = TimeSpan.FromSeconds(5);
}
/// <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);
}
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;
}