/// <summary> /// Handle an error in the algorithm.Run method. /// </summary> /// <param name="job">Job we're processing</param> /// <param name="err">Error from algorithm stack</param> private void HandleAlgorithmError(AlgorithmNodePacket job, Exception err) { Log.Error(err, "Breaking out of parent try catch:"); if (_algorithmHandlers.DataFeed != null) { _algorithmHandlers.DataFeed.Exit(); } if (_algorithmHandlers.Results != null) { // perform exception interpretation err = _exceptionInterpreter.Interpret(err, _exceptionInterpreter); var message = "Runtime Error: " + _exceptionInterpreter.GetExceptionMessageHeader(err); Log.Trace("Engine.Run(): Sending runtime error to user..."); _algorithmHandlers.Results.LogMessage(message); _algorithmHandlers.Results.RuntimeError(message, err.ToString()); _systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, message + " Stack Trace: " + err); } }
/// <summary> /// Runs a single backtest/live job from the job queue /// </summary> /// <param name="job">The algorithm job to be processed</param> /// <param name="manager"></param> /// <param name="assemblyPath">The path to the algorithm's assembly</param> public void Run(AlgorithmNodePacket job, AlgorithmManager manager, string assemblyPath) { var algorithm = default(IAlgorithm); var algorithmManager = manager; try { //Reset thread holders. var initializeComplete = false; Thread threadFeed = null; Thread threadTransactions = null; Thread threadResults = null; Thread threadRealTime = null; Thread threadAlphas = null; //-> Initialize messaging system _systemHandlers.Notify.SetAuthentication(job); //-> Set the result handler type for this algorithm job, and launch the associated result thread. _algorithmHandlers.Results.Initialize(job, _systemHandlers.Notify, _systemHandlers.Api, _algorithmHandlers.DataFeed, _algorithmHandlers.Setup, _algorithmHandlers.Transactions); threadResults = new Thread(_algorithmHandlers.Results.Run, 0) { IsBackground = true, Name = "Result Thread" }; threadResults.Start(); IBrokerage brokerage = null; DataManager dataManager = null; try { // Save algorithm to cache, load algorithm instance: algorithm = _algorithmHandlers.Setup.CreateAlgorithmInstance(job, assemblyPath); // Set algorithm in ILeanManager _systemHandlers.LeanManager.SetAlgorithm(algorithm); // initialize the alphas handler with the algorithm instance _algorithmHandlers.Alphas.Initialize(job, algorithm, _systemHandlers.Notify, _systemHandlers.Api); // Initialize the brokerage IBrokerageFactory factory; brokerage = _algorithmHandlers.Setup.CreateBrokerage(job, algorithm, out factory); dataManager = new DataManager(_algorithmHandlers.DataFeed, algorithm); algorithm.SubscriptionManager.SetDataManager(dataManager); // Initialize the data feed before we initialize so he can intercept added securities/universes via events _algorithmHandlers.DataFeed.Initialize(algorithm, job, _algorithmHandlers.Results, _algorithmHandlers.MapFileProvider, _algorithmHandlers.FactorFileProvider, _algorithmHandlers.DataProvider, dataManager); // set the order processor on the transaction manager (needs to be done before initializing BrokerageHistoryProvider) algorithm.Transactions.SetOrderProcessor(_algorithmHandlers.Transactions); // set the history provider before setting up the algorithm var historyProvider = GetHistoryProvider(job.HistoryProvider); if (historyProvider is BrokerageHistoryProvider) { (historyProvider as BrokerageHistoryProvider).SetBrokerage(brokerage); } var historyDataCacheProvider = new ZipDataCacheProvider(_algorithmHandlers.DataProvider); historyProvider.Initialize(job, _algorithmHandlers.DataProvider, historyDataCacheProvider, _algorithmHandlers.MapFileProvider, _algorithmHandlers.FactorFileProvider, progress => { // send progress updates to the result handler only during initialization if (!algorithm.GetLocked() || algorithm.IsWarmingUp) { _algorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.History, string.Format("Processing history {0}%...", progress)); } }); algorithm.HistoryProvider = historyProvider; // initialize the default brokerage message handler algorithm.BrokerageMessageHandler = factory.CreateBrokerageMessageHandler(algorithm, job, _systemHandlers.Api); //Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method. initializeComplete = _algorithmHandlers.Setup.Setup(algorithm, brokerage, job, _algorithmHandlers.Results, _algorithmHandlers.Transactions, _algorithmHandlers.RealTime); // set this again now that we've actually added securities _algorithmHandlers.Results.SetAlgorithm(algorithm); // alpha handler needs start/end dates to determine sample step sizes _algorithmHandlers.Alphas.OnAfterAlgorithmInitialized(algorithm); //If there are any reasons it failed, pass these back to the IDE. if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || _algorithmHandlers.Setup.Errors.Count > 0) { initializeComplete = false; //Get all the error messages: internal in algorithm and external in setup handler. var errorMessage = String.Join(",", algorithm.ErrorMessages); errorMessage += String.Join(",", _algorithmHandlers.Setup.Errors.Select(e => { var message = e.Message; if (e.InnerException != null) { var err = _exceptionInterpreter.Interpret(e.InnerException, _exceptionInterpreter); message += _exceptionInterpreter.GetExceptionMessageHeader(err); } return(message); })); Log.Error("Engine.Run(): " + errorMessage); _algorithmHandlers.Results.RuntimeError(errorMessage); _systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage); } } catch (Exception err) { Log.Error(err); var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err; _algorithmHandlers.Results.RuntimeError(runtimeMessage, err.ToString()); _systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, runtimeMessage); } // log the job endpoints Log.Trace("JOB HANDLERS: "); Log.Trace(" DataFeed: " + _algorithmHandlers.DataFeed.GetType().FullName); Log.Trace(" Setup: " + _algorithmHandlers.Setup.GetType().FullName); Log.Trace(" RealTime: " + _algorithmHandlers.RealTime.GetType().FullName); Log.Trace(" Results: " + _algorithmHandlers.Results.GetType().FullName); Log.Trace(" Transactions: " + _algorithmHandlers.Transactions.GetType().FullName); Log.Trace(" Alpha: " + _algorithmHandlers.Alphas.GetType().FullName); if (algorithm?.HistoryProvider != null) { Log.Trace(" History Provider: " + algorithm.HistoryProvider.GetType().FullName); } if (job is LiveNodePacket) { Log.Trace(" Brokerage: " + brokerage?.GetType().FullName); } //-> Using the job + initialization: load the designated handlers: if (initializeComplete) { // notify the LEAN manager that the algorithm is initialized and starting _systemHandlers.LeanManager.OnAlgorithmStart(); //-> Reset the backtest stopwatch; we're now running the algorithm. var startTime = DateTime.Now; //Set algorithm as locked; set it to live mode if we're trading live, and set it to locked for no further updates. algorithm.SetAlgorithmId(job.AlgorithmId); algorithm.SetLocked(); //Load the associated handlers for transaction and realtime events: _algorithmHandlers.Transactions.Initialize(algorithm, brokerage, _algorithmHandlers.Results); _algorithmHandlers.RealTime.Setup(algorithm, job, _algorithmHandlers.Results, _systemHandlers.Api); // wire up the brokerage message handler brokerage.Message += (sender, message) => { algorithm.BrokerageMessageHandler.Handle(message); // fire brokerage message events algorithm.OnBrokerageMessage(message); switch (message.Type) { case BrokerageMessageType.Disconnect: algorithm.OnBrokerageDisconnect(); break; case BrokerageMessageType.Reconnect: algorithm.OnBrokerageReconnect(); break; } }; //Send status to user the algorithm is now executing. _algorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.Running); //Launch the data, transaction and realtime handlers into dedicated threads threadFeed = new Thread(_algorithmHandlers.DataFeed.Run) { IsBackground = true, Name = "DataFeed Thread" }; threadTransactions = new Thread(_algorithmHandlers.Transactions.Run) { IsBackground = true, Name = "Transaction Thread" }; threadRealTime = new Thread(_algorithmHandlers.RealTime.Run) { IsBackground = true, Name = "RealTime Thread" }; threadAlphas = new Thread(() => _algorithmHandlers.Alphas.Run()) { IsBackground = true, Name = "Alpha Thread" }; //Launch the data feed, result sending, and transaction models/handlers in separate threads. threadFeed.Start(); // Data feed pushing data packets into thread bridge; threadTransactions.Start(); // Transaction modeller scanning new order requests threadRealTime.Start(); // RealTime scan time for time based events: threadAlphas.Start(); // Alpha thread for processing algorithm alpha insights // Result manager scanning message queue: (started earlier) _algorithmHandlers.Results.DebugMessage(string.Format("Launching analysis for {0} with LEAN Engine v{1}", job.AlgorithmId, Globals.Version)); try { //Create a new engine isolator class var isolator = new Isolator(); // Execute the Algorithm Code: var complete = isolator.ExecuteWithTimeLimit(_algorithmHandlers.Setup.MaximumRuntime, algorithmManager.TimeLoopWithinLimits, () => { try { //Run Algorithm Job: // -> Using this Data Feed, // -> Send Orders to this TransactionHandler, // -> Send Results to ResultHandler. algorithmManager.Run(job, algorithm, dataManager, _algorithmHandlers.Transactions, _algorithmHandlers.Results, _algorithmHandlers.RealTime, _systemHandlers.LeanManager, _algorithmHandlers.Alphas, isolator.CancellationToken); } catch (Exception err) { //Debugging at this level is difficult, stack trace needed. Log.Error(err); algorithm.RunTimeError = err; algorithmManager.SetStatus(AlgorithmStatus.RuntimeError); return; } Log.Trace("Engine.Run(): Exiting Algorithm Manager"); }, job.Controls.RamAllocation); if (!complete) { Log.Error("Engine.Main(): Failed to complete in time: " + _algorithmHandlers.Setup.MaximumRuntime.ToString("F")); throw new Exception("Failed to complete algorithm within " + _algorithmHandlers.Setup.MaximumRuntime.ToString("F") + " seconds. Please make it run faster."); } // Algorithm runtime error: if (algorithm.RunTimeError != null) { HandleAlgorithmError(job, algorithm.RunTimeError); } } catch (Exception err) { //Error running the user algorithm: purge datafeed, send error messages, set algorithm status to failed. HandleAlgorithmError(job, err); } // notify the LEAN manager that the algorithm has finished _systemHandlers.LeanManager.OnAlgorithmEnd(); try { var trades = algorithm.TradeBuilder.ClosedTrades; var charts = new Dictionary <string, Chart>(_algorithmHandlers.Results.Charts); var orders = new Dictionary <int, Order>(_algorithmHandlers.Transactions.Orders); var holdings = new Dictionary <string, Holding>(); var banner = new Dictionary <string, string>(); var statisticsResults = new StatisticsResults(); var csvTransactionsFileName = Config.Get("transaction-log"); if (!string.IsNullOrEmpty(csvTransactionsFileName)) { SaveListOfTrades(_algorithmHandlers.Transactions, csvTransactionsFileName); } try { //Generates error when things don't exist (no charting logged, runtime errors in main algo execution) const string strategyEquityKey = "Strategy Equity"; const string equityKey = "Equity"; const string dailyPerformanceKey = "Daily Performance"; const string benchmarkKey = "Benchmark"; // make sure we've taken samples for these series before just blindly requesting them if (charts.ContainsKey(strategyEquityKey) && charts[strategyEquityKey].Series.ContainsKey(equityKey) && charts[strategyEquityKey].Series.ContainsKey(dailyPerformanceKey) && charts.ContainsKey(benchmarkKey) && charts[benchmarkKey].Series.ContainsKey(benchmarkKey) ) { var equity = charts[strategyEquityKey].Series[equityKey].Values; var performance = charts[strategyEquityKey].Series[dailyPerformanceKey].Values; var profitLoss = new SortedDictionary <DateTime, decimal>(algorithm.Transactions.TransactionRecord); var totalTransactions = algorithm.Transactions.GetOrders(x => x.Status.IsFill()).Count(); var benchmark = charts[benchmarkKey].Series[benchmarkKey].Values; statisticsResults = StatisticsBuilder.Generate(trades, profitLoss, equity, performance, benchmark, _algorithmHandlers.Setup.StartingPortfolioValue, algorithm.Portfolio.TotalFees, totalTransactions); //Some users have $0 in their brokerage account / starting cash of $0. Prevent divide by zero errors var netReturn = _algorithmHandlers.Setup.StartingPortfolioValue > 0 ? (algorithm.Portfolio.TotalPortfolioValue - _algorithmHandlers.Setup.StartingPortfolioValue) / _algorithmHandlers.Setup.StartingPortfolioValue : 0; //Add other fixed parameters. banner.Add("Unrealized", "$" + algorithm.Portfolio.TotalUnrealizedProfit.ToString("N2")); banner.Add("Fees", "-$" + algorithm.Portfolio.TotalFees.ToString("N2")); banner.Add("Net Profit", "$" + algorithm.Portfolio.TotalProfit.ToString("N2")); banner.Add("Return", netReturn.ToString("P")); banner.Add("Equity", "$" + algorithm.Portfolio.TotalPortfolioValue.ToString("N2")); } } catch (Exception err) { Log.Error(err, "Error generating statistics packet"); } //Diagnostics Completed, Send Result Packet: var totalSeconds = (DateTime.Now - startTime).TotalSeconds; var dataPoints = algorithmManager.DataPoints + algorithm.HistoryProvider.DataPointCount; if (!_liveMode) { var kps = dataPoints / (double)1000 / totalSeconds; _algorithmHandlers.Results.DebugMessage($"Algorithm Id:({job.AlgorithmId}) completed in {totalSeconds:F2} seconds at {kps:F0}k data points per second. Processing total of {dataPoints:N0} data points."); } _algorithmHandlers.Results.SendFinalResult(job, orders, algorithm.Transactions.TransactionRecord, holdings, algorithm.Portfolio.CashBook, statisticsResults, banner); } catch (Exception err) { Log.Error(err, "Error sending analysis results"); } //Before we return, send terminate commands to close up the threads _algorithmHandlers.Transactions.Exit(); _algorithmHandlers.DataFeed.Exit(); _algorithmHandlers.RealTime.Exit(); _algorithmHandlers.Alphas.Exit(); } //Close result handler: _algorithmHandlers.Results.Exit(); //Wait for the threads to complete: var ts = Stopwatch.StartNew(); while ((_algorithmHandlers.Results.IsActive || (_algorithmHandlers.Transactions != null && _algorithmHandlers.Transactions.IsActive) || (_algorithmHandlers.DataFeed != null && _algorithmHandlers.DataFeed.IsActive) || (_algorithmHandlers.RealTime != null && _algorithmHandlers.RealTime.IsActive) || (_algorithmHandlers.Alphas != null && _algorithmHandlers.Alphas.IsActive)) && ts.ElapsedMilliseconds < 30 * 1000) { Thread.Sleep(100); Log.Trace("Waiting for threads to exit..."); } //Terminate threads still in active state. if (threadFeed != null && threadFeed.IsAlive) { threadFeed.Abort(); } if (threadTransactions != null && threadTransactions.IsAlive) { threadTransactions.Abort(); } if (threadResults != null && threadResults.IsAlive) { threadResults.Abort(); } if (threadAlphas != null && threadAlphas.IsAlive) { threadAlphas.Abort(); } if (brokerage != null) { Log.Trace("Engine.Run(): Disconnecting from brokerage..."); brokerage.Disconnect(); brokerage.Dispose(); } if (_algorithmHandlers.Setup != null) { Log.Trace("Engine.Run(): Disposing of setup handler..."); _algorithmHandlers.Setup.Dispose(); } Log.Trace("Engine.Main(): Analysis Completed and Results Posted."); } catch (Exception err) { Log.Error(err, "Error running algorithm"); } finally { //No matter what for live mode; make sure we've set algorithm status in the API for "not running" conditions: if (_liveMode && algorithmManager.State != AlgorithmStatus.Running && algorithmManager.State != AlgorithmStatus.RuntimeError) { _systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, algorithmManager.State); } _algorithmHandlers.Results.Exit(); _algorithmHandlers.DataFeed.Exit(); _algorithmHandlers.Transactions.Exit(); _algorithmHandlers.RealTime.Exit(); } }