/// <summary>
/// Initializes a new instance of the <see cref="ChartingInsightManagerExtension"/> 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 ChartingInsightManagerExtension(IAlgorithm algorithm, StatisticsInsightManagerExtension statisticsManager)
{
_statisticsManager = statisticsManager;
_liveMode = algorithm.LiveMode;
// chart for average scores over sample period
var scoreChart = new Chart("Alpha");
foreach (var scoreType in InsightManager.ScoreTypes)
{
var series = new Series($"{scoreType} Score", SeriesType.Line, "%");
scoreChart.AddSeries(series);
_insightScoreSeriesByScoreType[scoreType] = series;
}
// chart for insight count over sample period
var insightCount = new Chart("Insight Count");
insightCount.AddSeries(_totalInsightCountSeries);
algorithm.AddChart(scoreChart);
algorithm.AddChart(insightCount);
algorithm.AddChart(_totalInsightCountPerSymbolChart);
// removing this for now, not sure best way to display this data
//Algorithm.AddChart(_dailyInsightCountPerSymbolChart);
}
/// <summary>
/// Invokes the manager at the end of the time step.
/// Samples and plots insight counts and population score.
/// </summary>
/// <param name="frontierTimeUtc">The current frontier time utc</param>
public void Step(DateTime frontierTimeUtc)
{
// Only add our charts to the algorithm when we actually have an insight
// We will still update our internal charts anyways, but this keeps Alpha charts out of
// algorithms that don't use the framework.
if (!_chartsAdded && _dailyInsightCount > 0)
{
_algorithm.AddChart(_insightScoreChart);
_algorithm.AddChart(_totalInsightCountChart);
_algorithm.AddChart(_totalInsightCountPerSymbolChart);
_chartsAdded = true;
}
// sample insight/symbol counts each utc day change
if (frontierTimeUtc.Date > _lastInsightCountSampleDateUtc)
{
_lastInsightCountSampleDateUtc = frontierTimeUtc.Date;
// add sum of daily insight counts to the total insight count series
_totalInsightCountSeries.AddPoint(frontierTimeUtc.Date, _dailyInsightCount);
// Create the pie chart every minute or so
PopulateChartWithSeriesPerSymbol(_totalInsightCountPerSymbol, _totalInsightCountPerSymbolChart, SeriesType.Treemap, frontierTimeUtc);
// Resetting our storage
_dailyInsightCount = 0;
}
// sample average population scores
if (frontierTimeUtc >= _nextChartSampleAlgorithmTimeUtc)
{
try
{
// verify these scores have been computed before taking the first sample
if (_statisticsManager.RollingAverageIsReady)
{
// sample the rolling averaged population scores
foreach (var scoreType in InsightManager.ScoreTypes)
{
var score = 100 * _statisticsManager.Statistics.RollingAveragedPopulationScore.GetScore(scoreType);
_insightScoreSeriesByScoreType[scoreType].AddPoint(frontierTimeUtc, score.SafeDecimalCast());
}
_nextChartSampleAlgorithmTimeUtc = frontierTimeUtc + SampleInterval;
}
}
catch (Exception err)
{
Log.Error(err);
}
}
}
/// <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;
}
AlphaManager = CreateAlphaManager();
RuntimeStatistics = new AlphaRuntimeStatistics();
// wire events to update runtime statistics at key moments in alpha life cycle (new/period end/analysis end)
AlphaManager.AlphaReceived += (sender, context) => StatisticsUpdater.OnAlphaReceived(RuntimeStatistics, context);
AlphaManager.AlphaClosed += (sender, context) => StatisticsUpdater.OnAlphaClosed(RuntimeStatistics, context);
AlphaManager.AlphaAnalysisCompleted += (sender, context) => StatisticsUpdater.OnAlphaAnalysisCompleted(RuntimeStatistics, context);
algorithm.AlphasGenerated += (algo, collection) => OnAlphasGenerated(collection);
// chart for average scores over sample period
var scoreChart = new Chart("Alpha");
foreach (var scoreType in 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> /// Add a Chart object to algorithm collection /// </summary> /// <param name="chart">Chart object to add to collection.</param> public void AddChart(Chart chart) => _baseAlgorithm.AddChart(chart);