/// <summary>
/// Runs a single backtest/live job from the job queue
/// </summary>
/// <param name="job">The algorithm job to be processed</param>
/// <param name="assemblyPath">The path to the algorithm's assembly</param>
public void Run(AlgorithmNodePacket job, string assemblyPath)
{
var algorithm = default(IAlgorithm);
var algorithmManager = new AlgorithmManager(_liveMode);
//Start monitoring the backtest active status:
var statusPing = new StateCheck.Ping(algorithmManager, _systemHandlers.Api, _algorithmHandlers.Results, _systemHandlers.Notify, job);
var statusPingThread = new Thread(statusPing.Run);
statusPingThread.Start();
try
{
//Reset thread holders.
var initializeComplete = false;
Thread threadFeed = null;
Thread threadTransactions = null;
Thread threadResults = null;
Thread threadRealTime = 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) {Name = "Result Thread"};
threadResults.Start();
IBrokerage brokerage = null;
try
{
// Save algorithm to cache, load algorithm instance:
algorithm = _algorithmHandlers.Setup.CreateAlgorithmInstance(assemblyPath, job.Language);
// Initialize the brokerage
brokerage = _algorithmHandlers.Setup.CreateBrokerage(job, algorithm);
// 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);
// initialize command queue system
_algorithmHandlers.CommandQueue.Initialize(job, algorithm);
// set the history provider before setting up the algorithm
_algorithmHandlers.HistoryProvider.Initialize(job, _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 = _algorithmHandlers.HistoryProvider;
// initialize the default brokerage message handler
algorithm.BrokerageMessageHandler = new DefaultBrokerageMessageHandler(algorithm, job, _algorithmHandlers.Results, _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);
//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);
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.StackTrace;
_algorithmHandlers.Results.RuntimeError(runtimeMessage, err.StackTrace);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, runtimeMessage);
}
//-> Using the job + initialization: load the designated handlers:
if (initializeComplete)
{
//-> 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) {Name = "DataFeed Thread"};
threadTransactions = new Thread(_algorithmHandlers.Transactions.Run) {Name = "Transaction Thread"};
threadRealTime = new Thread(_algorithmHandlers.RealTime.Run) {Name = "RealTime 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:
// 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, _algorithmHandlers.DataFeed, _algorithmHandlers.Transactions, _algorithmHandlers.Results, _algorithmHandlers.RealTime, _algorithmHandlers.CommandQueue, 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.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)
{
throw algorithm.RunTimeError;
}
}
catch (Exception err)
{
//Error running the user algorithm: purge datafeed, send error messages, set algorithm status to failed.
Log.Error(err, "Breaking out of parent try catch:");
if (_algorithmHandlers.DataFeed != null) _algorithmHandlers.DataFeed.Exit();
if (_algorithmHandlers.Results != null)
{
var message = "Runtime Error: " + err.Message;
Log.Trace("Engine.Run(): Sending runtime error to user...");
_algorithmHandlers.Results.LogMessage(message);
_algorithmHandlers.Results.RuntimeError(message, err.StackTrace);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, message + " Stack Trace: " + err.StackTrace);
}
}
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();
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))
{
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:", "$" + algorithm.Portfolio.TotalPortfolioValue.ToString("N2"));
banner.Add("Holdings:", "$" + algorithm.Portfolio.TotalHoldingsValue.ToString("N2"));
banner.Add("Volume:", "$" + algorithm.Portfolio.TotalSaleVolume.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 + _algorithmHandlers.HistoryProvider.DataPointCount;
_algorithmHandlers.Results.DebugMessage(
string.Format("Algorithm Id:({0}) completed in {1} seconds at {2}k data points per second. Processing total of {3} data points.",
job.AlgorithmId, totalSeconds.ToString("F2"), ((dataPoints/(double) 1000)/totalSeconds).ToString("F0"),
dataPoints.ToString("N0")));
_algorithmHandlers.Results.SendFinalResult(job, orders, algorithm.Transactions.TransactionRecord, holdings, 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();
}
//Close result handler:
_algorithmHandlers.Results.Exit();
statusPing.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))
&& 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 (statusPingThread != null && statusPingThread.IsAlive) statusPingThread.Abort();
if (brokerage != null)
{
Log.Trace("Engine.Run(): Disconnecting from brokerage...");
brokerage.Disconnect();
}
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();
}
}
public void SendFinalResult(AlgorithmNodePacket job,
Dictionary<int, Order> orders,
Dictionary<DateTime, decimal> profitLoss,
Dictionary<string, Holding> holdings,
StatisticsResults statisticsResults,
Dictionary<string, string> banner)
{
}
/// <summary>
/// Algorithm final analysis results dumped to the console.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary<int, Order> orders, Dictionary<DateTime, decimal> profitLoss, Dictionary<string, Holding> holdings, StatisticsResults statisticsResults, Dictionary<string, string> banner)
{
// uncomment these code traces to help write regression tests
//Console.WriteLine("var statistics = new Dictionary<string, string>();");
// Bleh. Nicely format statistical analysis on your algorithm results. Save to file etc.
foreach (var pair in statisticsResults.Summary)
{
Log.Trace("STATISTICS:: " + pair.Key + " " + pair.Value);
//Console.WriteLine(string.Format("statistics.Add(\"{0}\",\"{1}\");", pair.Key, pair.Value));
}
//foreach (var pair in statisticsResults.RollingPerformances)
//{
// Log.Trace("ROLLINGSTATS:: " + pair.Key + " SharpeRatio: " + Math.Round(pair.Value.PortfolioStatistics.SharpeRatio, 3));
//}
FinalStatistics = statisticsResults.Summary;
}
/// <summary>
/// Algorithm final analysis results dumped to the console.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary<int, Order> orders, Dictionary<DateTime, decimal> profitLoss, Dictionary<string, Holding> holdings, StatisticsResults statisticsResults, Dictionary<string, string> banner)
{
// uncomment these code traces to help write regression tests
//Log.Trace("var statistics = new Dictionary<string, string>();");
// Bleh. Nicely format statistical analysis on your algorithm results. Save to file etc.
foreach (var pair in statisticsResults.Summary)
{
DebugMessage("STATISTICS:: " + pair.Key + " " + pair.Value);
}
FinalStatistics = statisticsResults.Summary;
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="runtime">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary<int, Order> orders, Dictionary<DateTime, decimal> profitLoss, Dictionary<string, Holding> holdings, StatisticsResults statisticsResults, Dictionary<string, string> runtime)
{
try
{
//Convert local dictionary:
var charts = new Dictionary<string, Chart>(Charts);
//Create a packet:
var result = new LiveResultPacket((LiveNodePacket)job, new LiveResult(charts, orders, profitLoss, holdings, statisticsResults.Summary, runtime));
//Save the processing time:
result.ProcessingTime = (DateTime.Now - _startTime).TotalSeconds;
//Store to S3:
StoreResult(result, false);
//Truncate packet to fit within 32kb:
result.Results = new LiveResult();
//Send the truncated packet:
_messagingHandler.Send(result);
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary<int, Order> orders, Dictionary<DateTime, decimal> profitLoss, Dictionary<string, Holding> holdings, StatisticsResults statisticsResults, Dictionary<string, string> banner)
{
try
{
FinalStatistics = statisticsResults.Summary;
//Convert local dictionary:
var charts = new Dictionary<string, Chart>(Charts);
_processingFinalPacket = true;
// clear the trades collection before placing inside the backtest result
foreach (var ap in statisticsResults.RollingPerformances.Values)
{
ap.ClosedTrades.Clear();
}
//Create a result packet to send to the browser.
var result = new BacktestResultPacket((BacktestNodePacket) job,
new BacktestResult(charts, orders, profitLoss, statisticsResults.Summary, statisticsResults.RollingPerformances), 1m)
{
ProcessingTime = (DateTime.Now - _startTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
//Place result into storage.
StoreResult(result);
//Second, send the truncated packet:
_messagingHandler.Send(result);
Log.Trace("BacktestingResultHandler.SendAnalysisResult(): Processed final packet");
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Send a final analysis result back to the IDE.
/// </summary>
/// <param name="job">Lean AlgorithmJob task</param>
/// <param name="orders">Collection of orders from the algorithm</param>
/// <param name="profitLoss">Collection of time-profit values for the algorithm</param>
/// <param name="holdings">Current holdings state for the algorithm</param>
/// <param name="statisticsResults">Statistics information for the algorithm (empty if not finished)</param>
/// <param name="banner">Runtime statistics banner information</param>
public void SendFinalResult(AlgorithmNodePacket job, Dictionary<int, Order> orders, Dictionary<DateTime, decimal> profitLoss, Dictionary<string, Holding> holdings, StatisticsResults statisticsResults, Dictionary<string, string> banner)
{
try
{
//Convert local dictionary:
var charts = new Dictionary<string, Chart>(Charts);
_processingFinalPacket = true;
//Create a result packet to send to the browser.
BacktestResultPacket result = new BacktestResultPacket((BacktestNodePacket) job,
new BacktestResult(charts, orders, profitLoss, statisticsResults.Summary), 1m)
{
ProcessingTime = (DateTime.Now - _startTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
//Place result into storage.
StoreResult(result);
//Truncate packet to fit within 32kb of messaging limits.
result.Results = new BacktestResult();
//Second, send the truncated packet:
_messagingHandler.BacktestResult(result, finalPacket: true);
Log.Trace("BacktestingResultHandler.SendAnalysisResult(): Processed final packet");
}
catch (Exception err)
{
Log.Error("Algorithm.Worker.SendResult(): " + err.Message);
}
}