/// <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>
/// 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
{
//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();
}
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>
/// <param name="resultHandler"></param>
/// <returns>Boolean true on successfully setting up the console.</returns>
public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler)
{
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);
//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);
return initializeComplete;
}
/// <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);
}
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;
}
/// <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);
//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;
}