/// <summary>
/// Compose Live Result Data Packet - With tradable dates
/// </summary>
/// <param name="job">Job that started this request</param>
/// <param name="results">Results class for the Backtest job</param>
public LiveResultPacket(LiveNodePacket job, LiveResult results)
: base(PacketType.LiveResult)
{
try
{
SessionId = job.SessionId;
CompileId = job.CompileId;
DeployId = job.DeployId;
Results = results;
UserId = job.UserId;
ProjectId = job.ProjectId;
SessionId = job.SessionId;
Channel = job.Channel;
}
catch (Exception err) {
Log.Error(err);
}
}
/// <summary>
/// Compose the packet from a JSON string:
/// </summary>
public LiveResultPacket(string json)
: base(PacketType.LiveResult)
{
try
{
var packet = JsonConvert.DeserializeObject <LiveResultPacket>(json);
CompileId = packet.CompileId;
Channel = packet.Channel;
SessionId = packet.SessionId;
DeployId = packet.DeployId;
Type = packet.Type;
UserId = packet.UserId;
ProjectId = packet.ProjectId;
Results = packet.Results;
ProcessingTime = packet.ProcessingTime;
}
catch (Exception err)
{
Log.Trace($"LiveResultPacket(): Error converting json: {err}");
}
}
/// <summary>
/// Truncates the chart and order data in the result packet to within the specified time frame
/// </summary>
private static void Truncate(LiveResult result, DateTime start, DateTime stop)
{
var unixDateStart = Time.DateTimeToUnixTimeStamp(start);
var unixDateStop = Time.DateTimeToUnixTimeStamp(stop);
//Log.Trace("LiveTradingResultHandler.Truncate: Start: " + start.ToString("u") + " Stop : " + stop.ToString("u"));
//Log.Trace("LiveTradingResultHandler.Truncate: Truncate Delta: " + (unixDateStop - unixDateStart) + " Incoming Points: " + result.Charts["Strategy Equity"].Series["Equity"].Values.Count);
var charts = new Dictionary<string, Chart>();
foreach (var kvp in result.Charts)
{
var chart = kvp.Value;
var newChart = new Chart(chart.Name, chart.ChartType);
charts.Add(kvp.Key, newChart);
foreach (var series in chart.Series.Values)
{
var newSeries = new Series(series.Name, series.SeriesType);
newSeries.Values.AddRange(series.Values.Where(chartPoint => chartPoint.x >= unixDateStart && chartPoint.x <= unixDateStop));
newChart.AddSeries(newSeries);
}
}
result.Charts = charts;
result.Orders = result.Orders.Values.Where(x => x.Time >= start && x.Time <= stop).ToDictionary(x => x.Id);
//Log.Trace("LiveTradingResultHandler.Truncate: Truncate Outgoing: " + result.Charts["Strategy Equity"].Series["Equity"].Values.Count);
//For live charting convert to UTC
foreach (var order in result.Orders)
{
order.Value.Time = order.Value.Time.ToUniversalTime();
}
}
/// <summary>
/// Save the snapshot of the total results to storage.
/// </summary>
/// <param name="packet">Packet to store.</param>
/// <param name="async">Store the packet asyncronously to speed up the thread.</param>
/// <remarks>
/// Async creates crashes in Mono 3.10 if the thread disappears before the upload is complete so it is disabled for now.
/// For live trading we're making assumption its a long running task and safe to async save large files.
/// </remarks>
public void StoreResult(Packet packet, bool async = true)
{
// this will hold all the serialized data and the keys to be stored
var data_keys = Enumerable.Range(0, 0).Select(x => new
{
Key = (string)null,
Serialized = (string)null
}).ToList();
try
{
Log.Debug("LiveTradingResultHandler.StoreResult(): Begin store result sampling");
lock (_chartLock)
{
// Make sure this is the right type of packet:
if (packet.Type != PacketType.LiveResult) return;
// Port to packet format:
var live = packet as LiveResultPacket;
if (live != null)
{
// we need to down sample
var start = DateTime.UtcNow.Date;
var stop = start.AddDays(1);
// truncate to just today, we don't need more than this for anyone
Truncate(live.Results, start, stop);
var highResolutionCharts = new Dictionary<string, Chart>(live.Results.Charts);
// 10 minute resolution data, save today
var tenminuteSampler = new SeriesSampler(TimeSpan.FromMinutes(10));
var tenminuteCharts = tenminuteSampler.SampleCharts(live.Results.Charts, start, stop);
live.Results.Charts = tenminuteCharts;
data_keys.Add(new
{
Key = CreateKey("10minute"),
Serialized = JsonConvert.SerializeObject(live.Results)
});
// minute resoluton data, save today
var minuteSampler = new SeriesSampler(TimeSpan.FromMinutes(1));
var minuteCharts = minuteSampler.SampleCharts(live.Results.Charts, start, stop);
// swap out our charts with the sampeld data
live.Results.Charts = minuteCharts;
data_keys.Add(new
{
Key = CreateKey("minute"),
Serialized = JsonConvert.SerializeObject(live.Results)
});
// high resolution data, we only want to save an hour
live.Results.Charts = highResolutionCharts;
start = DateTime.UtcNow.RoundDown(TimeSpan.FromHours(1));
stop = DateTime.UtcNow.RoundUp(TimeSpan.FromHours(1));
Truncate(live.Results, start, stop);
foreach (var name in live.Results.Charts.Keys)
{
var newPacket = new LiveResult();
newPacket.Orders = new Dictionary<int, Order>(live.Results.Orders);
newPacket.Holdings = new Dictionary<string, Holding>(live.Results.Holdings);
newPacket.Charts = new Dictionary<string, Chart>();
newPacket.Charts.Add(name, live.Results.Charts[name]);
data_keys.Add(new
{
Key = CreateKey("second_" + Uri.EscapeUriString(name), "yyyy-MM-dd-HH"),
Serialized = JsonConvert.SerializeObject(newPacket)
});
}
}
else
{
Log.Error("LiveResultHandler.StoreResult(): Result Null.");
}
}
Log.Debug("LiveTradingResultHandler.StoreResult(): End store result sampling");
// Upload Results Portion
foreach (var dataKey in data_keys)
{
_api.Store(dataKey.Serialized, dataKey.Key, StoragePermissions.Authenticated, async);
}
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Compose Live Result Data Packet - With tradable dates
/// </summary>
/// <param name="job">Job that started this request</param>
/// <param name="results">Results class for the Backtest job</param>
public LiveResultPacket(LiveNodePacket job, LiveResult results)
: base(PacketType.LiveResult)
{
try
{
SessionId = job.SessionId;
CompileId = job.CompileId;
DeployId = job.DeployId;
Results = results;
UserId = job.UserId;
ProjectId = job.ProjectId;
SessionId = job.SessionId;
Channel = job.Channel;
}
catch (Exception err) {
Log.Error("LiveResultPacket.Constructor: " + err.Message);
}
}
/// <summary>
/// Compose the packet from a JSON string:
/// </summary>
public LiveResultPacket(string json)
: base(PacketType.LiveResult)
{
try
{
var packet = JsonConvert.DeserializeObject<LiveResultPacket>(json);
CompileId = packet.CompileId;
Channel = packet.Channel;
SessionId = packet.SessionId;
DeployId = packet.DeployId;
Type = packet.Type;
UserId = packet.UserId;
ProjectId = packet.ProjectId;
Results = packet.Results;
ProcessingTime = packet.ProcessingTime;
}
catch (Exception err)
{
Log.Trace("LiveResultPacket(): Error converting json: " + err.Message);
}
}