/// <summary>
/// Data arriving here will now be filtered.
/// </summary>
/// <param name="data">Ticks data array</param>
public void OnData(Ticks data)
{
if (!data.ContainsKey("SPY")) return;
var spyTickList = data["SPY"];
//Ticks return a list of ticks this second
foreach (var tick in spyTickList)
{
Log(tick.Exchange);
}
if (!Portfolio.Invested)
{
SetHoldings("SPY", 1);
}
}
/// <summary>
/// Data arriving here will now be filtered.
/// </summary>
/// <param name="data">Ticks data array</param>
public void OnData(Ticks data)
{
if (!data.ContainsKey("SPY"))
{
return;
}
var spyTickList = data["SPY"];
//Ticks return a list of ticks this second
foreach (var tick in spyTickList)
{
Log(tick.Exchange);
}
if (!Portfolio.Invested)
{
SetHoldings("SPY", 1);
}
}
/********************************************************
* 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));
}
/********************************************************
* 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();