public void Initialize()
{
_algorithm = new QCAlgorithm();
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_portfolio = _algorithm.Portfolio;
_portfolio.CashBook.Add("EUR", 0, 1.20m);
_portfolio.CashBook.Add("BTC", 0, 15000m);
_portfolio.CashBook.Add("ETH", 0, 1000m);
_algorithm.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
_transactionHandler = new BacktestingTransactionHandler();
_brokerage = new BacktestingBrokerage(_algorithm);
_transactionHandler.Initialize(_algorithm, _brokerage, new TestResultHandler());
_algorithm.Transactions.SetOrderProcessor(_transactionHandler);
var tz = TimeZones.NewYork;
_btcusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[Currencies.USD],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCUSD", Currencies.USD, 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_ethusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[Currencies.USD],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHUSD", Currencies.USD, 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_btceur = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["EUR"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCEUR, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCEUR", "EUR", 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_ethbtc = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["BTC"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHBTC, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHBTC", "BTC", 1, 0.00001m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_buyingPowerModel = new CashBuyingPowerModel();
_timeKeeper = new LocalTimeKeeper(new DateTime(2019, 4, 22), DateTimeZone.Utc);
_btcusd.SetLocalTimeKeeper(_timeKeeper);
_ethusd.SetLocalTimeKeeper(_timeKeeper);
_btceur.SetLocalTimeKeeper(_timeKeeper);
_ethbtc.SetLocalTimeKeeper(_timeKeeper);
}
/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <param name="resultHandler">The configured result handler</param>
/// <param name="transactionHandler">The configuration transaction handler</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler)
{
var initializeComplete = false;
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Set the limits on the algorithm assets (for local no limits)
algorithm.SetAssetLimits(999, 999, 999);
algorithm.SetMaximumOrders(int.MaxValue);
//Setup Base Algorithm:
algorithm.Initialize();
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
else
{
throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
// we need to do this after algorithm initialization
brokerage = new BacktestingBrokerage(algorithm);
// set the transaction models base on the requested brokerage properties
SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
algorithm.Transactions.SetOrderProcessor(transactionHandler);
return(initializeComplete);
}
/// <summary>
/// Creates a new BacktestingTransactionHandler using the BacktestingBrokerage
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="brokerage">The BacktestingBrokerage</param>
/// <param name="resultHandler"></param>
public override void Initialize(IAlgorithm algorithm, IBrokerage brokerage, IResultHandler resultHandler)
{
if (!(brokerage is BacktestingBrokerage))
{
throw new ArgumentException("Brokerage must be of type BacktestingBrokerage for use wth the BacktestingTransactionHandler");
}
_brokerage = (BacktestingBrokerage)brokerage;
base.Initialize(algorithm, brokerage, resultHandler);
}
/// <summary>
/// Creates a new BacktestingTransactionHandler using the BacktestingBrokerage
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="brokerage">The BacktestingBrokerage</param>
/// <param name="resultHandler"></param>
public override void Initialize(IAlgorithm algorithm, IBrokerage brokerage, IResultHandler resultHandler)
{
if (!(brokerage is BacktestingBrokerage))
{
throw new ArgumentException("Brokerage must be of type BacktestingBrokerage for use wth the BacktestingTransactionHandler");
}
_brokerage = (BacktestingBrokerage)brokerage;
base.Initialize(algorithm, brokerage, resultHandler);
// non blocking implementation
_orderRequestQueue = new BusyCollection <OrderRequest>();
}
public void Initialize()
{
_algorithm = new QCAlgorithm();
_portfolio = _algorithm.Portfolio;
_portfolio.CashBook.Add("EUR", 0, 1.20m);
_portfolio.CashBook.Add("BTC", 0, 15000m);
_portfolio.CashBook.Add("ETH", 0, 1000m);
_algorithm.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
_transactionHandler = new BacktestingTransactionHandler();
_brokerage = new BacktestingBrokerage(_algorithm);
_transactionHandler.Initialize(_algorithm, _brokerage, new TestResultHandler());
new Thread(_transactionHandler.Run)
{
IsBackground = true
}.Start();
_algorithm.Transactions.SetOrderProcessor(_transactionHandler);
var tz = TimeZones.NewYork;
_btcusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[CashBook.AccountCurrency],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCUSD", "USD", 1, 0.01m, 0.00000001m));
_ethusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[CashBook.AccountCurrency],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHUSD", "USD", 1, 0.01m, 0.00000001m));
_btceur = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["EUR"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCEUR, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCEUR", "EUR", 1, 0.01m, 0.00000001m));
_ethbtc = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["BTC"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHBTC, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHBTC", "BTC", 1, 0.00001m, 0.00000001m));
_buyingPowerModel = new CashBuyingPowerModel();
}
public void UpdateOrderRequestShouldFailForFilledOrder()
{
// Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
var broker = new BacktestingBrokerage(_algorithm);
transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler());
// Creates a limit order
var security = _algorithm.Securities[Ticker];
var price = 1.12m;
security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price));
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 1.11m, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock <IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny <int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
// Submit and process a limit order
var orderTicket = transactionHandler.Process(orderRequest);
transactionHandler.HandleOrderRequest(orderRequest);
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted);
broker.Scan();
Assert.AreEqual(orderTicket.Status, OrderStatus.Filled);
var updateRequest = new UpdateOrderRequest(DateTime.Now, orderTicket.OrderId, new UpdateOrderFields());
transactionHandler.Process(updateRequest);
Assert.AreEqual(updateRequest.Status, OrderRequestStatus.Error);
Assert.IsTrue(updateRequest.Response.IsError);
Assert.AreEqual(updateRequest.Response.ErrorCode, OrderResponseErrorCode.InvalidOrderStatus);
Assert.AreEqual(orderTicket.Status, OrderStatus.Filled);
Assert.AreEqual(_algorithm.OrderEvents.Count, 2);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Submitted), 1);
Assert.AreEqual(_algorithm.OrderEvents.Count(orderEvent => orderEvent.Status == OrderStatus.Filled), 1);
}
public void OptionExerciseWhenFullyInvested()
{
var algorithm = new AlgorithmStub();
algorithm.SetFinishedWarmingUp();
var backtestingTransactionHandler = new BacktestingTransactionHandler();
var brokerage = new BacktestingBrokerage(algorithm);
algorithm.Transactions.SetOrderProcessor(backtestingTransactionHandler);
backtestingTransactionHandler.Initialize(algorithm, brokerage, new TestResultHandler());
const decimal price = 2600m;
var time = new DateTime(2020, 10, 14);
var expDate = new DateTime(2021, 3, 19);
// For this symbol we dont have any history, but only one date and margins line
var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
var future = Symbol.CreateFuture(ticker, Market.CME, expDate);
var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m,
new DateTime(2021, 3, 19));
var optionSecurity = algorithm.AddOptionContract(symbol);
optionSecurity.Underlying = algorithm.AddFutureContract(future);
optionSecurity.Underlying.SetMarketPrice(new Tick {
Value = price, Time = time
});
optionSecurity.SetMarketPrice(new Tick {
Value = 150, Time = time
});
optionSecurity.Holdings.SetHoldings(1.5m, 10);
var ticket = algorithm.ExerciseOption(optionSecurity.Symbol, 10, true);
Assert.AreEqual(OrderStatus.Filled, ticket.Status);
}
public void GetOpenOrdersWorksForSubmittedFilledStatus()
{
// Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
var broker = new BacktestingBrokerage(_algorithm);
transactionHandler.Initialize(_algorithm, broker, new BacktestingResultHandler());
// Creates a limit order
var security = _algorithm.Securities[Ticker];
var price = 1.12m;
security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price));
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 1.11m, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock <IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny <int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
Assert.AreEqual(transactionHandler.GetOpenOrders().Count, 0);
// Submit and process a limit order
var orderTicket = transactionHandler.Process(orderRequest);
transactionHandler.HandleOrderRequest(orderRequest);
Assert.AreEqual(orderTicket.Status, OrderStatus.Submitted);
var openOrders = transactionHandler.GetOpenOrders();
Assert.AreEqual(openOrders.Count, 1);
Assert.AreEqual(openOrders[0].Id, orderTicket.OrderId);
broker.Scan();
Assert.AreEqual(orderTicket.Status, OrderStatus.Filled);
Assert.AreEqual(transactionHandler.GetOpenOrders().Count, 0);
}
/// <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, SecurityExchangeHoursProvider.FromDataFolder());
}
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);
}
public void SendingNewOrderFromOnOrderEvent()
{
//Initializes the transaction handler
var transactionHandler = new BacktestingTransactionHandler();
var brokerage = new BacktestingBrokerage(_algorithm);
transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler());
// Creates a market order
var security = _algorithm.Securities[Ticker];
var price = 1.12m;
security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price));
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, DateTime.UtcNow, "");
var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1000, 0, 0, 0, DateTime.UtcNow, "");
orderRequest.SetOrderId(1);
orderRequest2.SetOrderId(2);
// Mock the the order processor
var orderProcessorMock = new Mock <IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is <int>(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is <int>(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
var orderEventCalls = 0;
brokerage.OrderStatusChanged += (sender, orderEvent) =>
{
orderEventCalls++;
switch (orderEventCalls)
{
case 1:
Assert.AreEqual(1, orderEvent.OrderId);
Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status);
// we send a new order request
var ticket2 = transactionHandler.Process(orderRequest2);
break;
case 2:
Assert.AreEqual(2, orderEvent.OrderId);
Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status);
break;
case 3:
Assert.AreEqual(1, orderEvent.OrderId);
Assert.AreEqual(OrderStatus.Filled, orderEvent.Status);
break;
case 4:
Assert.AreEqual(2, orderEvent.OrderId);
Assert.AreEqual(OrderStatus.Filled, orderEvent.Status);
break;
}
Log.Trace($"{orderEvent}");
};
var ticket = transactionHandler.Process(orderRequest);
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status);
Assert.IsTrue(orderRequest2.Response.IsProcessed);
Assert.IsTrue(orderRequest2.Response.IsSuccess);
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status);
var order1 = transactionHandler.GetOrderById(1);
Assert.AreEqual(OrderStatus.Filled, order1.Status);
var order2 = transactionHandler.GetOrderById(2);
Assert.AreEqual(OrderStatus.Filled, order2.Status);
// 2 submitted and 2 filled
Assert.AreEqual(4, orderEventCalls);
}
/// <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
{
//0.0 Set the algorithm time before we even initialize:
algorithm.SetDateTime(job.PeriodStart);
//1.0 Initialise the algorithm, get the required data:
algorithm.Initialize();
//1.2 Set the algorithm to locked to avoid messing with cash:
algorithm.SetLocked();
}
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 portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob)
{
var initializeComplete = false;
brokerage = new BacktestingBrokerage(algorithm);
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Set the limits on the algorithm assets (for local no limits)
algorithm.SetAssetLimits(999, 999, 999);
algorithm.SetMaximumOrders(int.MaxValue);
//Setup Base Algorithm:
algorithm.Initialize();
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager);
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
else
{
var liveJob = baseJob as LiveNodePacket;
//Live Job Parameters:
liveJob.DeployId = "LOCALHOST";
liveJob.Type = PacketType.LiveNode;
//Call in the brokerage setup:
var setup = new BrokerageSetupHandler();
setup.Setup(algorithm, out brokerage, baseJob);
//Live Specific Parameters:
StartingDate = DateTime.Now;
StartingPortfolioValue = algorithm.Portfolio.Cash;
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
return(initializeComplete);
}
/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob)
{
var initializeComplete = false;
brokerage = new BacktestingBrokerage(algorithm);
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Setup Base Algorithm:
algorithm.Initialize();
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Endpoints:
backtestJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
backtestJob.ResultEndpoint = ResultHandlerEndpoint.Console;
backtestJob.DataEndpoint = DataFeedEndpoint.FileSystem;
backtestJob.RealTimeEndpoint = RealTimeEndpoint.Backtesting;
backtestJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingCapital = algorithm.Portfolio.Cash;
}
else
{
var liveJob = baseJob as LiveNodePacket;
//Live Job Parameters:
liveJob.UserId = liveJob.UserId;
liveJob.DeployId = "LOCALHOST";
liveJob.IssuedAt = DateTime.Now.Subtract(TimeSpan.FromSeconds(86399 - 60)); //For testing, first access token expires in 60 sec. refresh.
liveJob.LifeTime = TimeSpan.FromSeconds(86399);
liveJob.AccessToken = "123456";
liveJob.AccountId = 123456;
liveJob.RefreshToken = "";
liveJob.Type = PacketType.LiveNode;
//Endpoints:
liveJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
liveJob.ResultEndpoint = ResultHandlerEndpoint.LiveTrading;
bool testLiveTradingEnabled = Config.GetBool("test-live-trading-enabled", defaultValue: false);
liveJob.DataEndpoint = testLiveTradingEnabled ? DataFeedEndpoint.Test : DataFeedEndpoint.LiveTrading;
liveJob.RealTimeEndpoint = RealTimeEndpoint.LiveTrading;
liveJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Call in the paper trading setup:
var setup = new PaperTradingSetupHandler();
setup.Setup(algorithm, out brokerage, baseJob);
//Live Specific Parameters:
StartingDate = DateTime.Now;
StartingCapital = algorithm.Portfolio.Cash;
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
return(initializeComplete);
}
/// <summary>
/// Creates a new BacktestingTransactionHandler using the BacktestingBrokerage
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="brokerage">The BacktestingBrokerage</param>
public BacktestingTransactionHandler(IAlgorithm algorithm, BacktestingBrokerage brokerage)
: base(algorithm, brokerage)
{
_brokerage = brokerage;
}
/// <summary>
/// Setup the algorithm cash, dates and portfolio as desired.
/// </summary>
/// <param name="algorithm">Existing algorithm instance</param>
/// <param name="brokerage">New brokerage instance</param>
/// <param name="baseJob">Backtesting job</param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob)
{
var initializeComplete = false;
brokerage = new BacktestingBrokerage(algorithm);
try
{
//Set common variables for console programs:
if (baseJob.Type == PacketType.BacktestNode)
{
var backtestJob = baseJob as BacktestNodePacket;
//Set the limits on the algorithm assets (for local no limits)
algorithm.SetAssetLimits(999, 999, 999);
algorithm.SetMaximumOrders(int.MaxValue);
//Setup Base Algorithm:
algorithm.Initialize();
//Add currency data feeds that weren't explicity added in Initialize
algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.SubscriptionManager, algorithm.Securities);
//Construct the backtest job packet:
backtestJob.PeriodStart = algorithm.StartDate;
backtestJob.PeriodFinish = algorithm.EndDate;
backtestJob.BacktestId = "LOCALHOST";
backtestJob.UserId = 1001;
backtestJob.Type = PacketType.BacktestNode;
//Endpoints:
backtestJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
backtestJob.ResultEndpoint = ResultHandlerEndpoint.Console;
backtestJob.DataEndpoint = DataFeedEndpoint.FileSystem;
backtestJob.RealTimeEndpoint = RealTimeEndpoint.Backtesting;
backtestJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Backtest Specific Parameters:
StartingDate = backtestJob.PeriodStart;
StartingCapital = algorithm.Portfolio.Cash;
}
else
{
var liveJob = baseJob as LiveNodePacket;
//Live Job Parameters:
liveJob.DeployId = "LOCALHOST";
liveJob.IssuedAt = DateTime.Now.Subtract(TimeSpan.FromSeconds(86399 - 60)); //For testing, first access token expires in 60 sec. refresh.
liveJob.LifeTime = TimeSpan.FromSeconds(86399);
liveJob.AccessToken = "123456";
liveJob.AccountId = "123456";
liveJob.RefreshToken = "";
liveJob.Type = PacketType.LiveNode;
//Endpoints:
liveJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
liveJob.ResultEndpoint = ResultHandlerEndpoint.LiveTrading;
liveJob.DataEndpoint = DataFeedEndpoint.LiveTrading;
liveJob.RealTimeEndpoint = RealTimeEndpoint.LiveTrading;
liveJob.SetupEndpoint = SetupHandlerEndpoint.Console;
//Call in the paper trading setup:
var setup = new PaperTradingSetupHandler();
setup.Setup(algorithm, out brokerage, baseJob);
//Live Specific Parameters:
StartingDate = DateTime.Now;
StartingCapital = algorithm.Portfolio.Cash;
}
}
catch (Exception err)
{
Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
}
if (Errors.Count == 0)
{
initializeComplete = true;
}
return(initializeComplete);
}
