/// <summary>
/// Initializes a new instance of the <see cref="ChartingAlphaManagerExtension"/> class
/// </summary>
/// <param name="algorithm">The algorithm instance. This is only used for adding the charts
/// to the algorithm. We purposefully do not save a reference to avoid potentially inconsistent reads</param>
/// <param name="statisticsManager">Statistics manager used to access mean population scores for charting</param>
public ChartingAlphaManagerExtension(IAlgorithm algorithm, StatisticsAlphaManagerExtension statisticsManager)
{
_statisticsManager = statisticsManager;
_liveMode = algorithm.LiveMode;
// chart for average scores over sample period
var scoreChart = new Chart("Alpha");
foreach (var scoreType in AlphaManager.ScoreTypes)
{
var series = new Series($"{scoreType} Score", SeriesType.Line, "%");
scoreChart.AddSeries(series);
_alphaScoreSeriesByScoreType[scoreType] = series;
}
// chart for prediction count over sample period
var predictionCount = new Chart("Alpha Count");
predictionCount.AddSeries(_totalAlphaCountSeries);
algorithm.AddChart(scoreChart);
algorithm.AddChart(predictionCount);
algorithm.AddChart(_totalAlphaCountPerSymbolChart);
// removing this for now, not sure best way to display this data
//Algorithm.AddChart(_dailyAlphaCountPerSymbolChart);
}
/// <summary>
/// Initializes this alpha handler to accept alphas from the specified algorithm
/// </summary>
/// <param name="job">The algorithm job</param>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="messagingHandler">Handler used for sending alphas</param>
/// <param name="api">Api instance</param>
public virtual void Initialize(AlgorithmNodePacket job, IAlgorithm algorithm, IMessagingHandler messagingHandler, IApi api)
{
// initializing these properties just in case, doens't hurt to have them populated
Job = job;
Algorithm = algorithm;
_messagingHandler = messagingHandler;
_isNotFrameworkAlgorithm = !algorithm.IsFrameworkAlgorithm;
if (_isNotFrameworkAlgorithm)
{
return;
}
_securityValuesProvider = new AlgorithmSecurityValuesProvider(algorithm);
AlphaManager = CreateAlphaManager();
var statistics = new StatisticsAlphaManagerExtension();
RuntimeStatistics = statistics.Statistics;
AlphaManager.AddExtension(statistics);
_charting = new ChartingAlphaManagerExtension(algorithm, statistics);
AlphaManager.AddExtension(_charting);
// when alpha is generated, take snapshot of securities and place in queue for alpha manager to process on alpha thread
algorithm.AlphasGenerated += (algo, collection) => _alphaQueue.Enqueue(new AlphaQueueItem(collection.DateTimeUtc, CreateSecurityValuesSnapshot(), collection));
}