//
public ActionResult _SortBenchMarkDemo()
{
//-------------------------------------------------
// LLAMADO A LA PÁGINA "_SortBenchMarkDemo"
//-------------------------------------------------
try
{
//
string unsortedListRaw = AlgorithmManager.GetUnsortedList
(
ARRAY_SIZE
);
//
string unsortedListEncoded = HttpUtility.HtmlEncode(unsortedListRaw).Replace("|", "<br/>");
//
ViewBag.Message = unsortedListEncoded;
//
Session["unsortedList"] = unsortedListRaw;
//
LogModel.Log("PAGE_SORT_BENCHAMRK_DEMO", this.GetIpValue(), LogModel.LogType.Info);
}
catch (Exception ex)
{
throw ex;
}
return(View());
}
public void TestAlgorithmManagerSpeed()
{
var algorithmManager = new AlgorithmManager(false);
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
var job = new BacktestNodePacket(1, 2, "3", null, 9m, $"{nameof(AlgorithmManagerTests)}.{nameof(TestAlgorithmManagerSpeed)}");
var feed = new MockDataFeed();
var transactions = new BacktestingTransactionHandler();
var results = new BacktestingResultHandler();
var realtime = new BacktestingRealTimeHandler();
var leanManager = new NullLeanManager();
var alphas = new NullAlphaHandler();
var token = new CancellationToken();
algorithm.Initialize();
results.Initialize(job, new QuantConnect.Messaging.Messaging(), new Api.Api(), feed, new BacktestingSetupHandler(), transactions);
results.SetAlgorithm(algorithm);
transactions.Initialize(algorithm, new BacktestingBrokerage(algorithm), results);
feed.Initialize(algorithm, job, results, null, null, null);
Log.Trace("Starting algorithm manager loop to process " + feed.Count + " time slices");
var sw = Stopwatch.StartNew();
algorithmManager.Run(job, algorithm, feed, transactions, results, realtime, leanManager, alphas, token);
sw.Stop();
var thousands = feed.Count / 1000d;
var seconds = sw.Elapsed.TotalSeconds;
Log.Trace("COUNT: " + feed.Count + " KPS: " + thousands / seconds);
}
public static void RunLocalBacktest(string algorithm, Dictionary <string, string> expectedStatistics, Language language)
{
var statistics = new Dictionary <string, string>();
Composer.Instance.Reset();
try
{
// set the configuration up
Config.Set("algorithm-type-name", algorithm);
Config.Set("live-mode", "false");
Config.Set("environment", "");
Config.Set("messaging-handler", "QuantConnect.Messaging.Messaging");
Config.Set("job-queue-handler", "QuantConnect.Queues.JobQueue");
Config.Set("api-handler", "QuantConnect.Api.Api");
Config.Set("result-handler", "QuantConnect.Lean.Engine.Results.BacktestingResultHandler");
Config.Set("algorithm-language", language.ToString());
Config.Set("algorithm-location", "QuantConnect.Algorithm." + language + ".dll");
var debugEnabled = Log.DebuggingEnabled;
var logHandlers = new ILogHandler[] { new ConsoleLogHandler(), new FileLogHandler("regression.log", false) };
using (Log.LogHandler = new CompositeLogHandler(logHandlers))
using (var algorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance))
using (var systemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance))
{
Log.DebuggingEnabled = true;
Log.LogHandler.Trace("");
Log.LogHandler.Trace("{0}: Running " + algorithm + "...", DateTime.UtcNow);
Log.LogHandler.Trace("");
// run the algorithm in its own thread
var engine = new Lean.Engine.Engine(systemHandlers, algorithmHandlers, false);
Task.Factory.StartNew(() =>
{
string algorithmPath;
var job = systemHandlers.JobQueue.NextJob(out algorithmPath);
var algorithmManager = new AlgorithmManager(false);
engine.Run(job, algorithmManager, algorithmPath);
}).Wait();
var backtestingResultHandler = (BacktestingResultHandler)algorithmHandlers.Results;
statistics = backtestingResultHandler.FinalStatistics;
Log.DebuggingEnabled = debugEnabled;
}
}
catch (Exception ex)
{
Log.LogHandler.Error("{0} {1}", ex.Message, ex.StackTrace);
}
foreach (var stat in expectedStatistics)
{
Assert.AreEqual(true, statistics.ContainsKey(stat.Key), "Missing key: " + stat.Key);
Assert.AreEqual(stat.Value, statistics[stat.Key], "Failed on " + stat.Key);
}
}
public static void Main(string[] args)
{
var manager = new AlgorithmManager(9876);
manager.Init();
Console.ReadLine();
}
public ActionResult _UnitTesting02()
{
//
string htmlNewLine = @"<br/>";
//
StringBuilder stringArray = new StringBuilder();
//
int ARRAY_SIZE = 25;
Random rand = new Random();
//
int[] arr = new int[ARRAY_SIZE];
//
int[] randomArray = AlgorithmManager.FisherYates(ARRAY_SIZE, rand);
//
for (int i = 0; i < ARRAY_SIZE; i++)
{
stringArray.Append(string.Format("{0}{1}", ((i == 0) ? "" : @"|"), randomArray[i].ToString()));
}
//
string unsortedList = stringArray.ToString();
//
AlgorithmManager am = new AlgorithmManager
(
unsortedList
, ARRAY_SIZE
);
//
string sortedList = am.BubbleSort();
//
ViewBag.Message = HttpUtility.HtmlEncode(unsortedList).Replace(@"|", htmlNewLine);
//
return(View());
}
// Use this for initialization
void Start()
{
characterManager = GameObject.Find("/Managers/CharacterManager")
.GetComponent <CharacterManager> ();
algorithmManager = GameObject.Find("/Managers/AlgorithmManager")
.GetComponent <AlgorithmManager> ();
proceedList = new ArrayList();
}
public void TestAlgorithmManagerSpeed()
{
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
var algorithmManager = new AlgorithmManager(false);
var job = new BacktestNodePacket(1, 2, "3", null, 9m, $"{nameof(AlgorithmManagerTests)}.{nameof(TestAlgorithmManagerSpeed)}");
var feed = new MockDataFeed();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataPermissionManager = new DataPermissionManager();
var dataManager = new DataManager(feed,
new UniverseSelection(
algorithm,
new SecurityService(algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDataBase,
algorithm,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCacheProvider(algorithm.Portfolio)),
dataPermissionManager,
new DefaultDataProvider()),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
false,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
algorithm.SubscriptionManager.SetDataManager(dataManager);
var transactions = new BacktestingTransactionHandler();
var results = new BacktestingResultHandler();
var realtime = new BacktestingRealTimeHandler();
var leanManager = new NullLeanManager();
var alphas = new NullAlphaHandler();
var token = new CancellationToken();
var nullSynchronizer = new NullSynchronizer(algorithm);
algorithm.Initialize();
algorithm.PostInitialize();
results.Initialize(job, new QuantConnect.Messaging.Messaging(), new Api.Api(), transactions);
results.SetAlgorithm(algorithm, algorithm.Portfolio.TotalPortfolioValue);
transactions.Initialize(algorithm, new BacktestingBrokerage(algorithm), results);
feed.Initialize(algorithm, job, results, null, null, null, dataManager, null, null);
Log.Trace("Starting algorithm manager loop to process " + nullSynchronizer.Count + " time slices");
var sw = Stopwatch.StartNew();
algorithmManager.Run(job, algorithm, nullSynchronizer, transactions, results, realtime, leanManager, alphas, token);
sw.Stop();
realtime.Exit();
results.Exit();
var thousands = nullSynchronizer.Count / 1000d;
var seconds = sw.Elapsed.TotalSeconds;
Log.Trace("COUNT: " + nullSynchronizer.Count + " KPS: " + thousands / seconds);
}
static Manager()
{
GameObject g = SafeFind("_managers");
Sound = (SoundManager)SafeComponent(g, "SoundManager");
Experiment = (ExperimentManager)SafeComponent(g, "ExperimentManager");
SceneSwitcher = (SceneSwitcher)SafeComponent(g, "SceneSwitcher");
Spawn = (SpawnManager)SafeComponent(g, "SpawnManager");
Algorithm = (AlgorithmManager)SafeComponent(g, "AlgorithmManager");
}
public AlgorithmRunnerResults(
string algorithm,
Language language,
AlgorithmManager manager,
BacktestingResultHandler results)
{
Algorithm = algorithm;
Language = language;
AlgorithmManager = manager;
Results = results;
}
public void StartSecondAssignment_AOCPasswordFile_346ValidPasswords()
{
//Arrange:
pwdManager = new PasswordManager();
algoManager = new AlgorithmManager();
//Act:
int result = algoManager.StartSecondAssignment(pwdManager);
//Assert:
Assert.AreEqual(346, result);
}
public string GenerateRandomVertex(ushort p_vertexSize, ushort p_sourcePoint)
{
//
ushort p_sampleSize = 23;
string status = string.Empty;
//
status = AlgorithmManager.GenerateRandomPoints(p_vertexSize, p_sampleSize, p_sourcePoint);
//
return(status);
}
private void LaunchLean()
{
ConfigMerger.Merge(_config, _id, this.GetType());
var systemHandlers = new LeanEngineSystemHandlers(
new JobQueue(),
new EmptyApiHandler(),
new Messaging(),
new LocalLeanManager());
systemHandlers.Initialize();
//separate log uniquely named
var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + _id + ".txt";
using (Log.LogHandler = new FileLogHandler(logFileName, true))
{
var map = new LocalDiskMapFileProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
new OptimizerResultHandler(),
new ConsoleSetupHandler(),
new FileSystemDataFeed(),
new BacktestingTransactionHandler(),
new BacktestingRealTimeHandler(),
map,
new LocalDiskFactorFileProvider(map),
new DefaultDataProvider(),
new OptimizerAlphaHandler(),
new EmptyObjectStore(),
new DataPermissionManager());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//todo: pass period through job
//job.PeriodStart = _config.StartDate;
//job.PeriodFinish = _config.EndDate;
try
{
var algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
engine.Run(job, algorithmManager, algorithmPath, WorkerThread.Instance);
}
finally
{
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
}
}
}
public void StartFirstAssigment_AOCPasswordFile_569ValidPasswords()
{
//Arrange:
pwdManager = new PasswordManager();
algoManager = new AlgorithmManager();
//Act:
int result = algoManager.StartFirstAssignment(pwdManager);
//Assert:
Assert.AreEqual(569, result);
}
public void AppliesDividendsOnce()
{
// init algorithm
var algorithm = new AlgorithmStub();
algorithm.SetLiveMode(true);
var dividend = new Dividend(Symbols.SPY, DateTime.UtcNow, 10m, 100m);
var feed = new TestDividendDataFeed(algorithm, dividend);
var dataManager = new DataManager(feed, new UniverseSelection(feed, algorithm), algorithm.Settings, algorithm.TimeKeeper);
algorithm.SubscriptionManager.SetDataManager(dataManager);
algorithm.AddSecurities(equities: new List <string> {
"SPY"
});
algorithm.Securities[Symbols.SPY].Holdings.SetHoldings(100m, 1);
algorithm.PostInitialize();
var initializedCash = algorithm.Portfolio.CashBook["USD"].Amount;
// init algorithm manager
var manager = new AlgorithmManager(true);
var job = new LiveNodePacket
{
UserId = 1,
ProjectId = 2,
DeployId = $"{nameof(PaperBrokerageTests)}.{nameof(AppliesDividendsOnce)}"
};
var results = new LiveTradingResultHandler();
var transactions = new BacktestingTransactionHandler();
var brokerage = new PaperBrokerage(algorithm, job);
// initialize results and transactions
results.Initialize(job, new EventMessagingHandler(), new Api.Api(), feed, new BrokerageSetupHandler(), transactions);
results.SetAlgorithm(algorithm);
transactions.Initialize(algorithm, brokerage, results);
// run algorithm manager
manager.Run(job,
algorithm,
dataManager,
transactions,
results,
new BacktestingRealTimeHandler(),
new AlgorithmManagerTests.NullLeanManager(),
new AlgorithmManagerTests.NullAlphaHandler(),
new CancellationToken()
);
var postDividendCash = algorithm.Portfolio.CashBook["USD"].Amount;
Assert.AreEqual(initializedCash + dividend.Distribution, postDividendCash);
}
public void Run(Dictionary <string, string> parameters)
{
const string mode = "DEBUG";
Console.OutputEncoding = System.Text.Encoding.UTF8;
var liveMode = Config.GetBool("live-mode");
Log.DebuggingEnabled = Config.GetBool("debug-mode");
Log.FilePath = Path.Combine(Config.Get("results-destination-folder"), "log.txt");
Log.LogHandler = Composer.Instance.GetExportedValueByTypeName <ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
Log.Trace($"Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v{Globals.Version} Mode: {mode} ({(Environment.Is64BitProcess ? "64" : "32")}bit)");
Log.Trace($"Engine.Main(): Started {DateTime.Now.ToShortTimeString()}");
var systemHandler = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance);
systemHandler.Initialize();
var job = systemHandler.JobQueue.NextJob(out var assemblyPath);
foreach (var kvp in parameters)
{
job.Parameters[kvp.Key] = kvp.Value;
}
var algorithmHandler = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
try
{
var algorithmManager = new AlgorithmManager(liveMode, job);
systemHandler.LeanManager.Initialize(systemHandler, algorithmHandler, job, algorithmManager);
var engine = new Engine(systemHandler, algorithmHandler, liveMode);
engine.Run(job, algorithmManager, assemblyPath, WorkerThread.Instance);
}
finally
{
Console.WriteLine("Engine.Main(): Analysis Complete. Press any key to continue.");
Console.ReadKey(true);
systemHandler.Dispose();
algorithmHandler.Dispose();
Log.LogHandler.Dispose();
Log.Trace("Program.Main(): Exiting Lean...");
Thread.Sleep(2000);
Environment.Exit(0);
}
}
//
public string GenerateRandomVertex()
{
//
string status = string.Empty;
//
const ushort sampleSize = 23;
const ushort vertexSize = 6;
const ushort sourcePoint = 5;
status = AlgorithmManager.GenerateRandomPoints(vertexSize, sampleSize, sourcePoint);
return(status);
}
private void simpleButton_GO_Click(object sender, EventArgs e)
{
ChildModuleOf计算结果 mo = new ChildModuleOf计算结果();
//选择数据源
//执行选中的算法
string header = "==========" + comboBoxEdit_公式选择.Text + "==========\n";
string res = AlgorithmManager.Go(comboBoxEdit_公式选择.Text, new List <TestResult测试结果信息>(WaitProcessTestResults));
//打印执行结果
mo.richTextBox1.AppendText(header + res);
mo.ShowDialog();
}
public TrackModel Run(TrackModel model, AccountModel account, SettingModel settings, HostDomainLogger logger)
{
if (model == null)
{
throw new ArgumentNullException(nameof(model));
}
Log.LogHandler = logger;
if (!SetConfig(model, account, settings))
{
return(model);
}
// Register all data providers
ProviderFactory.RegisterProviders(settings);
Log.Trace("LeanLanucher: Memory " + OS.ApplicationMemoryUsed + "Mb-App " + OS.TotalPhysicalMemoryUsed + "Mb-Used");
try
{
var liveMode = Config.GetBool("live-mode");
using var algorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
using var systemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance);
systemHandlers.Initialize();
var engine = new Engine(systemHandlers, algorithmHandlers, liveMode);
var algorithmManager = new AlgorithmManager(liveMode);
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out string assemblyPath);
job.UserPlan = UserPlan.Professional;
job.Language = model.AlgorithmLanguage;
if (job is BacktestNodePacket backtest)
{
backtest.PeriodStart = model.StartDate;
backtest.PeriodFinish = model.EndDate;
backtest.CashAmount = new CashAmount(model.InitialCapital, Currencies.USD);
}
systemHandlers.LeanManager.Initialize(systemHandlers, algorithmHandlers, job, algorithmManager);
engine.Run(job, algorithmManager, assemblyPath, WorkerThread.Instance);
BacktestResultHandler resultHandler = algorithmHandlers.Results as BacktestResultHandler;
model.Result = resultHandler?.JsonResult ?? string.Empty;
model.Logs = resultHandler?.Logs ?? string.Empty;
}
catch (Exception ex)
{
Log.Error("{0}: {1}", ex.GetType(), ex.Message);
}
NetMQConfig.Cleanup(false);
Log.LogHandler.Dispose();
return(model);
}
public void Works()
{
var algorithm = new AlgorithmStub();
algorithm.HistoryProvider = new TestHistoryProvider();
var security = algorithm.AddEquity(Symbols.SPY);
var model = new TestVolatilityModel();
security.VolatilityModel = model;
AlgorithmManager.ProcessVolatilityHistoryRequirements(algorithm);
Assert.AreEqual(1, model.dataUpdate.Count);
Assert.AreEqual(Symbols.SPY, model.dataUpdate.First().Symbol);
Assert.AreEqual(4, model.dataUpdate.First().Price);
}
public TrackModel Run(TrackModel model, AccountModel account, SettingService settings, HostDomainLogger logger)
{
if (model == null)
{
throw new ArgumentNullException(nameof(model));
}
Log.LogHandler = logger;
if (!SetConfig(model, account, settings))
{
return(model);
}
// Register all data providers
ProviderFactory.RegisterProviders();
Log.Trace("LeanLanucher: Memory " + OS.ApplicationMemoryUsed + "Mb-App " + OS.TotalPhysicalMemoryUsed + "Mb-Used");
try
{
var liveMode = Config.GetBool("live-mode");
using (var algorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance))
using (var systemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance))
{
string assemblyPath;
systemHandlers.Initialize();
var engine = new Engine(systemHandlers, algorithmHandlers, liveMode);
var algorithmManager = new AlgorithmManager(liveMode);
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out assemblyPath);
job.UserPlan = UserPlan.Professional;
systemHandlers.LeanManager.Initialize(systemHandlers, algorithmHandlers, job, algorithmManager);
engine.Run(job, algorithmManager, assemblyPath);
systemHandlers.JobQueue.AcknowledgeJob(job);
BacktestResultHandler resultHandler = algorithmHandlers.Results as BacktestResultHandler;
model.Result = resultHandler?.JsonResult ?? string.Empty;
model.Logs = resultHandler?.Logs ?? string.Empty;
}
}
catch (Exception ex)
{
Log.Error("{0}: {1}", ex.GetType(), ex.Message);
}
NetMQConfig.Cleanup(false);
Log.LogHandler.Dispose();
return(model);
}
//
public string _GetGraph()
{
//--------------------------------------------------
// DECLARACION DE VARIABLES
//--------------------------------------------------
string status = "ok";
try
{
//--------------------------------------------------
// LOG
//--------------------------------------------------
#if DEBUG
LogModel.Log("DIJKSTRA DEMO. GET_GRAPH");
#endif
//--------------------------------------------------
// CREAR GRAFO
//--------------------------------------------------
string vertexList = AlgorithmManager.Dijkstra();
//--------------------------------------------------
// CONVERTIR LISTADO A CADENA VISIBLE EN HTML
//--------------------------------------------------
string sortedListEncoded = string.Empty;
sortedListEncoded = HttpUtility.HtmlEncode(vertexList);
sortedListEncoded = sortedListEncoded.Replace(@",", @"<br/>");
sortedListEncoded = sortedListEncoded.Replace(@"\t", @" ");
//
status = sortedListEncoded;
//
}
catch (Exception ex)
{
LogModel.Log(string.Format("REGEX_ÈRROR. ='{0}'-'{1}'"
, ex.Message
, ex.StackTrace)
, string.Empty
, LogModel.LogType.Error
);
}
//
return(status);
}
//
public string _NewSort()
{
//
string status = "OK";
try
{
//
string unsortedListRaw = AlgorithmManager.GetUnsortedList
(
ARRAY_SIZE
);
//
string unsortedListEncoded = HttpUtility.HtmlEncode(unsortedListRaw).Replace("|", "<br/>");
//
Session["unsortedList"] = unsortedListRaw;
//
status = unsortedListEncoded;
//
}
catch (Exception ex)
{
LogModel.Log(string.Format("REGEX_ÈRROR. ='{0}'-'{1}'"
, ex.Message
, ex.StackTrace)
, string.Empty
, LogModel.LogType.Error
);
}
//--------------------------------------------------
// LOG
//--------------------------------------------------
#if DEBUG
LogModel.Log(string.Format("SORT_BENCHMARK . NEW SORT : {0}", status));
#endif
//
return(status);
}
public void AppliesDividendsOnce()
{
// init algorithm
var algorithm = new AlgorithmStub(new MockDataFeed());
algorithm.SetLiveMode(true);
var dividend = new Dividend(Symbols.SPY, DateTime.UtcNow, 10m, 100m);
var feed = new MockDataFeed();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataPermissionManager = new DataPermissionManager();
var dataManager = new DataManager(feed,
new UniverseSelection(
algorithm,
new SecurityService(algorithm.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algorithm, RegisteredSecurityDataTypesProvider.Null, new SecurityCacheProvider(algorithm.Portfolio)),
dataPermissionManager,
new DefaultDataProvider()),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
true,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
var synchronizer = new NullSynchronizer(algorithm, dividend);
algorithm.SubscriptionManager.SetDataManager(dataManager);
algorithm.AddSecurities(equities: new List <string> {
"SPY"
});
algorithm.Securities[Symbols.SPY].Holdings.SetHoldings(100m, 1);
algorithm.PostInitialize();
var initializedCash = algorithm.Portfolio.CashBook[Currencies.USD].Amount;
// init algorithm manager
var manager = new AlgorithmManager(true);
var job = new LiveNodePacket
{
UserId = 1,
ProjectId = 2,
DeployId = $"{nameof(PaperBrokerageTests)}.{nameof(AppliesDividendsOnce)}"
};
var results = new LiveTradingResultHandler();
var transactions = new BacktestingTransactionHandler();
var brokerage = new PaperBrokerage(algorithm, job);
// initialize results and transactions
results.Initialize(job, new EventMessagingHandler(), new Api.Api(), transactions);
results.SetAlgorithm(algorithm, algorithm.Portfolio.TotalPortfolioValue);
transactions.Initialize(algorithm, brokerage, results);
var realTime = new BacktestingRealTimeHandler();
// run algorithm manager
manager.Run(job,
algorithm,
synchronizer,
transactions,
results,
realTime,
new AlgorithmManagerTests.NullLeanManager(),
new AlgorithmManagerTests.NullAlphaHandler(),
new CancellationToken()
);
var postDividendCash = algorithm.Portfolio.CashBook[Currencies.USD].Amount;
realTime.Exit();
results.Exit();
Assert.AreEqual(initializedCash + dividend.Distribution, postDividendCash);
}
/// <summary>
/// Empty implementation of the ILeanManager interface
/// </summary>
/// <param name="systemHandlers">Exposes lean engine system handlers running LEAN</param>
/// <param name="algorithmHandlers">Exposes the lean algorithm handlers running lean</param>
/// <param name="job">The job packet representing either a live or backtest Lean instance</param>
/// <param name="algorithmManager">The Algorithm manager</param>
public void Initialize(LeanEngineSystemHandlers systemHandlers, LeanEngineAlgorithmHandlers algorithmHandlers, AlgorithmNodePacket job, AlgorithmManager algorithmManager)
{
// NOP
}
static void Main(string[] args)
{
//Initialize:
var mode = "RELEASE";
#if DEBUG
mode = "DEBUG";
#endif
if (OS.IsWindows)
{
Console.OutputEncoding = System.Text.Encoding.UTF8;
}
// expect first argument to be config file name
if (args.Length > 0)
{
Config.MergeCommandLineArgumentsWithConfiguration(LeanArgumentParser.ParseArguments(args));
}
var liveMode = Config.GetBool("live-mode");
Log.DebuggingEnabled = Config.GetBool("debug-mode");
Log.FilePath = Path.Combine(Config.Get("results-destination-folder"), "log.txt");
Log.LogHandler = Composer.Instance.GetExportedValueByTypeName <ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
//Name thread for the profiler:
Thread.CurrentThread.Name = "Algorithm Analysis Thread";
Log.Trace($"Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v{Globals.Version} Mode: {mode} ({(Environment.Is64BitProcess ? "64" : "32")}bit) Host: {Environment.MachineName}");
Log.Trace("Engine.Main(): Started " + DateTime.Now.ToShortTimeString());
//Import external libraries specific to physical server location (cloud/local)
try
{
leanEngineSystemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance);
}
catch (CompositionException compositionException)
{
Log.Error("Engine.Main(): Failed to load library: " + compositionException);
throw;
}
//Setup packeting, queue and controls system: These don't do much locally.
leanEngineSystemHandlers.Initialize();
//-> Pull job from QuantConnect job queue, or, pull local build:
string assemblyPath;
job = leanEngineSystemHandlers.JobQueue.NextJob(out assemblyPath);
if (job == null)
{
const string jobNullMessage = "Engine.Main(): Sorry we could not process this algorithm request.";
Log.Error(jobNullMessage);
throw new ArgumentException(jobNullMessage);
}
try
{
leanEngineAlgorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
}
catch (CompositionException compositionException)
{
Log.Error("Engine.Main(): Failed to load library: " + compositionException);
throw;
}
// if the job version doesn't match this instance version then we can't process it
// we also don't want to reprocess redelivered jobs
if (job.Redelivered)
{
Log.Error("Engine.Run(): Job Version: " + job.Version + " Deployed Version: " + Globals.Version + " Redelivered: " + job.Redelivered);
//Tiny chance there was an uncontrolled collapse of a server, resulting in an old user task circulating.
//In this event kill the old algorithm and leave a message so the user can later review.
leanEngineSystemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, _collapseMessage);
leanEngineSystemHandlers.Notify.SetAuthentication(job);
leanEngineSystemHandlers.Notify.Send(new RuntimeErrorPacket(job.UserId, job.AlgorithmId, _collapseMessage));
leanEngineSystemHandlers.JobQueue.AcknowledgeJob(job);
Exit(1);
}
try
{
// Set our exit handler for the algorithm
Console.CancelKeyPress += new ConsoleCancelEventHandler(ExitKeyPress);
// Create the algorithm manager and start our engine
algorithmManager = new AlgorithmManager(liveMode, job);
leanEngineSystemHandlers.LeanManager.Initialize(leanEngineSystemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine.Engine(leanEngineSystemHandlers, leanEngineAlgorithmHandlers, liveMode);
engine.Run(job, algorithmManager, assemblyPath, WorkerThread.Instance);
}
finally
{
var algorithmStatus = algorithmManager?.State ?? AlgorithmStatus.DeployError;
Exit(algorithmStatus != AlgorithmStatus.Completed ? 1 : 0);
}
}
public static void RunLocalBacktest(string algorithm, Dictionary <string, string> expectedStatistics, AlphaRuntimeStatistics expectedAlphaStatistics, Language language)
{
var statistics = new Dictionary <string, string>();
var alphaStatistics = new AlphaRuntimeStatistics();
Composer.Instance.Reset();
var ordersLogFile = string.Empty;
var logFile = $"./regression/{algorithm}.{language.ToLower()}.log";
Directory.CreateDirectory(Path.GetDirectoryName(logFile));
File.Delete(logFile);
try
{
// set the configuration up
Config.Set("algorithm-type-name", algorithm);
Config.Set("live-mode", "false");
Config.Set("environment", "");
Config.Set("messaging-handler", "QuantConnect.Messaging.Messaging");
Config.Set("job-queue-handler", "QuantConnect.Queues.JobQueue");
Config.Set("setup-handler", "RegressionSetupHandlerWrapper");
Config.Set("history-provider", "RegressionHistoryProviderWrapper");
Config.Set("api-handler", "QuantConnect.Api.Api");
Config.Set("result-handler", "QuantConnect.Lean.Engine.Results.RegressionResultHandler");
Config.Set("algorithm-language", language.ToString());
Config.Set("algorithm-location",
language == Language.Python
? "../../../Algorithm.Python/" + algorithm + ".py"
: "QuantConnect.Algorithm." + language + ".dll");
var debugEnabled = Log.DebuggingEnabled;
var logHandlers = new ILogHandler[] { new ConsoleLogHandler(), new FileLogHandler(logFile, false) };
using (Log.LogHandler = new CompositeLogHandler(logHandlers))
using (var algorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance))
using (var systemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance))
{
Log.DebuggingEnabled = true;
Log.LogHandler.Trace("");
Log.LogHandler.Trace("{0}: Running " + algorithm + "...", DateTime.UtcNow);
Log.LogHandler.Trace("");
// run the algorithm in its own thread
var engine = new Lean.Engine.Engine(systemHandlers, algorithmHandlers, false);
Task.Factory.StartNew(() =>
{
string algorithmPath;
var job = systemHandlers.JobQueue.NextJob(out algorithmPath);
var algorithmManager = new AlgorithmManager(false);
engine.Run(job, algorithmManager, algorithmPath);
ordersLogFile = ((RegressionResultHandler)algorithmHandlers.Results).OrdersLogFilePath;
}).Wait();
var backtestingResultHandler = (BacktestingResultHandler)algorithmHandlers.Results;
statistics = backtestingResultHandler.FinalStatistics;
var defaultAlphaHandler = (DefaultAlphaHandler)algorithmHandlers.Alphas;
alphaStatistics = defaultAlphaHandler.RuntimeStatistics;
Log.DebuggingEnabled = debugEnabled;
}
}
catch (Exception ex)
{
Log.LogHandler.Error("{0} {1}", ex.Message, ex.StackTrace);
}
foreach (var stat in expectedStatistics)
{
Assert.AreEqual(true, statistics.ContainsKey(stat.Key), "Missing key: " + stat.Key);
Assert.AreEqual(stat.Value, statistics[stat.Key], "Failed on " + stat.Key);
}
if (expectedAlphaStatistics != null)
{
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.MeanPopulationScore.Direction);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.MeanPopulationScore.Magnitude);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.RollingAveragedPopulationScore.Direction);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.RollingAveragedPopulationScore.Magnitude);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.LongShortRatio);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.TotalInsightsClosed);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.TotalInsightsGenerated);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.TotalAccumulatedEstimatedAlphaValue);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.TotalInsightsAnalysisCompleted);
}
// we successfully passed the regression test, copy the log file so we don't have to continually
// re-run master in order to compare against a passing run
var passedFile = logFile.Replace("./regression/", "./passed/");
Directory.CreateDirectory(Path.GetDirectoryName(passedFile));
File.Delete(passedFile);
File.Copy(logFile, passedFile);
var passedOrderLogFile = ordersLogFile.Replace("./regression/", "./passed/");
Directory.CreateDirectory(Path.GetDirectoryName(passedFile));
File.Delete(passedOrderLogFile);
if (File.Exists(ordersLogFile))
{
File.Copy(ordersLogFile, passedOrderLogFile);
}
}
private void LaunchLean()
{
Config.Set("environment", "backtesting");
if (!string.IsNullOrEmpty(_config.AlgorithmTypeName))
{
Config.Set("algorithm-type-name", _config.AlgorithmTypeName);
}
if (!string.IsNullOrEmpty(_config.AlgorithmLocation))
{
Config.Set("algorithm-location", Path.GetFileName(_config.AlgorithmLocation));
}
if (!string.IsNullOrEmpty(_config.DataFolder))
{
Config.Set("data-folder", _config.DataFolder);
}
if (!string.IsNullOrEmpty(_config.TransactionLog))
{
var filename = _config.TransactionLog;
filename = Path.Combine(AppDomain.CurrentDomain.BaseDirectory,
Path.GetFileNameWithoutExtension(filename) + _id + Path.GetExtension(filename));
Config.Set("transaction-log", filename);
}
var systemHandlers = new LeanEngineSystemHandlers(
new JobQueue(),
new EmptyApiHandler(),
new Messaging(),
new LocalLeanManager());
systemHandlers.Initialize();
//separate log uniquely named
var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + _id + ".txt";
using (Log.LogHandler = new FileLogHandler(logFileName, true))
{
//override config to use custom result handler
Config.Set("backtesting.result-handler", nameof(OptimizerResultHandler));
var map = new LocalDiskMapFileProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
new OptimizerResultHandler(),
new ConsoleSetupHandler(),
new FileSystemDataFeed(),
new BacktestingTransactionHandler(),
new BacktestingRealTimeHandler(),
map,
new LocalDiskFactorFileProvider(map),
new DefaultDataProvider(),
new OptimizerAlphaHandler(),
new EmptyObjectStore());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//todo: pass period through job
//job.PeriodStart = _config.StartDate;
//job.PeriodFinish = _config.EndDate;
try
{
var algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
engine.Run(job, algorithmManager, algorithmPath, WorkerThread.Instance);
}
finally
{
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
}
}
}
public static AlgorithmRunnerResults RunLocalBacktest(
string algorithm,
Dictionary <string, string> expectedStatistics,
AlphaRuntimeStatistics expectedAlphaStatistics,
Language language,
AlgorithmStatus expectedFinalStatus,
DateTime?startDate = null,
DateTime?endDate = null,
string setupHandler = "RegressionSetupHandlerWrapper",
decimal?initialCash = null)
{
AlgorithmManager algorithmManager = null;
var statistics = new Dictionary <string, string>();
var alphaStatistics = new AlphaRuntimeStatistics(new TestAccountCurrencyProvider());
BacktestingResultHandler results = null;
Composer.Instance.Reset();
SymbolCache.Clear();
var ordersLogFile = string.Empty;
var logFile = $"./regression/{algorithm}.{language.ToLower()}.log";
Directory.CreateDirectory(Path.GetDirectoryName(logFile));
File.Delete(logFile);
try
{
// set the configuration up
Config.Set("algorithm-type-name", algorithm);
Config.Set("live-mode", "false");
Config.Set("environment", "");
Config.Set("messaging-handler", "QuantConnect.Messaging.Messaging");
Config.Set("job-queue-handler", "QuantConnect.Queues.JobQueue");
Config.Set("setup-handler", setupHandler);
Config.Set("history-provider", "RegressionHistoryProviderWrapper");
Config.Set("api-handler", "QuantConnect.Api.Api");
Config.Set("result-handler", "QuantConnect.Lean.Engine.Results.RegressionResultHandler");
Config.Set("algorithm-language", language.ToString());
Config.Set("algorithm-location",
language == Language.Python
? "../../../Algorithm.Python/" + algorithm + ".py"
: "QuantConnect.Algorithm." + language + ".dll");
// Store initial log variables
var initialLogHandler = Log.LogHandler;
var initialDebugEnabled = Log.DebuggingEnabled;
// Log handlers specific to this test function
var newLogHandlers = new ILogHandler[] { new ConsoleErrorLogHandler(), new FileLogHandler(logFile, false) };
using (Log.LogHandler = new CompositeLogHandler(newLogHandlers))
using (var algorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance))
using (var systemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance))
using (var workerThread = new TestWorkerThread())
{
Log.DebuggingEnabled = true;
Log.Trace("");
Log.Trace("{0}: Running " + algorithm + "...", DateTime.UtcNow);
Log.Trace("");
// run the algorithm in its own thread
var engine = new Lean.Engine.Engine(systemHandlers, algorithmHandlers, false);
Task.Factory.StartNew(() =>
{
try
{
string algorithmPath;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out algorithmPath);
job.BacktestId = algorithm;
job.PeriodStart = startDate;
job.PeriodFinish = endDate;
if (initialCash.HasValue)
{
job.CashAmount = new CashAmount(initialCash.Value, Currencies.USD);
}
algorithmManager = new AlgorithmManager(false, job);
systemHandlers.LeanManager.Initialize(systemHandlers, algorithmHandlers, job, algorithmManager);
engine.Run(job, algorithmManager, algorithmPath, workerThread);
ordersLogFile = ((RegressionResultHandler)algorithmHandlers.Results).LogFilePath;
}
catch (Exception e)
{
Log.Trace($"Error in AlgorithmRunner task: {e}");
}
}).Wait();
var backtestingResultHandler = (BacktestingResultHandler)algorithmHandlers.Results;
results = backtestingResultHandler;
statistics = backtestingResultHandler.FinalStatistics;
var defaultAlphaHandler = (DefaultAlphaHandler)algorithmHandlers.Alphas;
alphaStatistics = defaultAlphaHandler.RuntimeStatistics;
}
// Reset settings to initial values
Log.LogHandler = initialLogHandler;
Log.DebuggingEnabled = initialDebugEnabled;
}
catch (Exception ex)
{
if (expectedFinalStatus != AlgorithmStatus.RuntimeError)
{
Log.Error("{0} {1}", ex.Message, ex.StackTrace);
}
}
if (algorithmManager?.State != expectedFinalStatus)
{
Assert.Fail($"Algorithm state should be {expectedFinalStatus} and is: {algorithmManager?.State}");
}
foreach (var stat in expectedStatistics)
{
Assert.AreEqual(true, statistics.ContainsKey(stat.Key), "Missing key: " + stat.Key);
Assert.AreEqual(stat.Value, statistics[stat.Key], "Failed on " + stat.Key);
}
if (expectedAlphaStatistics != null)
{
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.MeanPopulationScore.Direction);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.MeanPopulationScore.Magnitude);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.RollingAveragedPopulationScore.Direction);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.RollingAveragedPopulationScore.Magnitude);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.LongShortRatio);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.TotalInsightsClosed);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.TotalInsightsGenerated);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.TotalAccumulatedEstimatedAlphaValue);
AssertAlphaStatistics(expectedAlphaStatistics, alphaStatistics, s => s.TotalInsightsAnalysisCompleted);
}
// we successfully passed the regression test, copy the log file so we don't have to continually
// re-run master in order to compare against a passing run
var passedFile = logFile.Replace("./regression/", "./passed/");
Directory.CreateDirectory(Path.GetDirectoryName(passedFile));
File.Delete(passedFile);
File.Copy(logFile, passedFile);
var passedOrderLogFile = ordersLogFile.Replace("./regression/", "./passed/");
Directory.CreateDirectory(Path.GetDirectoryName(passedFile));
File.Delete(passedOrderLogFile);
if (File.Exists(ordersLogFile))
{
File.Copy(ordersLogFile, passedOrderLogFile);
}
return(new AlgorithmRunnerResults(algorithm, language, algorithmManager, results));
}
static void Main(string[] args)
{
if (OS.IsWindows)
{
Console.OutputEncoding = System.Text.Encoding.UTF8;
}
// expect first argument to be config file name
if (args.Length > 0)
{
Config.MergeCommandLineArgumentsWithConfiguration(LeanArgumentParser.ParseArguments(args));
}
var liveMode = Config.GetBool("live-mode");
//Name thread for the profiler:
Thread.CurrentThread.Name = "Algorithm Analysis Thread";
Initializer.Start();
leanEngineSystemHandlers = Initializer.GetSystemHandlers();
//-> Pull job from QuantConnect job queue, or, pull local build:
string assemblyPath;
job = leanEngineSystemHandlers.JobQueue.NextJob(out assemblyPath);
leanEngineAlgorithmHandlers = Initializer.GetAlgorithmHandlers();
if (job == null)
{
const string jobNullMessage = "Engine.Main(): Sorry we could not process this algorithm request.";
Log.Error(jobNullMessage);
throw new ArgumentException(jobNullMessage);
}
// if the job version doesn't match this instance version then we can't process it
// we also don't want to reprocess redelivered jobs
if (job.Redelivered)
{
Log.Error("Engine.Run(): Job Version: " + job.Version + " Deployed Version: " + Globals.Version + " Redelivered: " + job.Redelivered);
//Tiny chance there was an uncontrolled collapse of a server, resulting in an old user task circulating.
//In this event kill the old algorithm and leave a message so the user can later review.
leanEngineSystemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, _collapseMessage);
leanEngineSystemHandlers.Notify.SetAuthentication(job);
leanEngineSystemHandlers.Notify.Send(new RuntimeErrorPacket(job.UserId, job.AlgorithmId, _collapseMessage));
leanEngineSystemHandlers.JobQueue.AcknowledgeJob(job);
Exit(1);
}
try
{
// Set our exit handler for the algorithm
Console.CancelKeyPress += new ConsoleCancelEventHandler(ExitKeyPress);
// Create the algorithm manager and start our engine
algorithmManager = new AlgorithmManager(liveMode, job);
leanEngineSystemHandlers.LeanManager.Initialize(leanEngineSystemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine.Engine(leanEngineSystemHandlers, leanEngineAlgorithmHandlers, liveMode);
engine.Run(job, algorithmManager, assemblyPath, WorkerThread.Instance);
}
finally
{
var algorithmStatus = algorithmManager?.State ?? AlgorithmStatus.DeployError;
Exit(algorithmStatus != AlgorithmStatus.Completed ? 1 : 0);
}
}
private void LaunchLean()
{
Config.Set("environment", "backtesting");
if (!string.IsNullOrEmpty(_config.AlgorithmTypeName))
{
Config.Set("algorithm-type-name", _config.AlgorithmTypeName);
}
if (!string.IsNullOrEmpty(_config.AlgorithmLocation))
{
Config.Set("algorithm-location", Path.GetFileName(_config.AlgorithmLocation));
}
if (!string.IsNullOrEmpty(_config.DataFolder))
{
Config.Set("data-folder", _config.DataFolder);
}
if (!string.IsNullOrEmpty(_config.TransactionLog))
{
var filename = _config.TransactionLog;
filename = Path.Combine(AppDomain.CurrentDomain.BaseDirectory,
Path.GetFileNameWithoutExtension(filename) + _id + Path.GetExtension(filename));
Config.Set("transaction-log", filename);
}
//transaction-log
Config.Set("api-handler", nameof(EmptyApiHandler));
var systemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance);
systemHandlers.Initialize();
//separate log uniquely named
var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + _id + ".txt";
using (Log.LogHandler = new FileLogHandler(logFileName, true))
{
LeanEngineAlgorithmHandlers leanEngineAlgorithmHandlers;
try
{
//override config to use custom result handler
Config.Set("backtesting.result-handler", nameof(OptimizerResultHandler));
leanEngineAlgorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
}
catch (CompositionException compositionException)
{
Log.Error("Engine.Main(): Failed to load library: " + compositionException);
throw;
}
string algorithmPath;
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out algorithmPath);
try
{
var algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
engine.Run(job, algorithmManager, algorithmPath);
}
finally
{
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
}
}
}
