/// <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>
/// Initializes this alpha handler to accept insights 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 insights</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;
_fitnessScore = new FitnessScoreManager();
_securityValuesProvider = new AlgorithmSecurityValuesProvider(algorithm);
InsightManager = CreateInsightManager();
// send scored insights to messaging handler
InsightManager.AddExtension(CreateAlphaResultPacketSender());
var statistics = new StatisticsInsightManagerExtension(algorithm);
RuntimeStatistics = statistics.Statistics;
InsightManager.AddExtension(statistics);
_charting = new ChartingInsightManagerExtension(algorithm, statistics);
InsightManager.AddExtension(_charting);
// when insight is generated, take snapshot of securities and place in queue for insight manager to process on alpha thread
algorithm.InsightsGenerated += (algo, collection) => InsightManager.Step(collection.DateTimeUtc, CreateSecurityValuesSnapshot(), collection);
}
/// <summary>
/// Initializes this alpha handler to accept insights 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 insights</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, doesn't hurt to have them populated
Job = job;
Algorithm = algorithm;
MessagingHandler = messagingHandler;
_fitnessScore = new FitnessScoreManager();
_insights = new List <Insight>();
_securityValuesProvider = new AlgorithmSecurityValuesProvider(algorithm);
InsightManager = CreateInsightManager();
var statistics = new StatisticsInsightManagerExtension(algorithm);
RuntimeStatistics = statistics.Statistics;
InsightManager.AddExtension(statistics);
AddInsightManagerCustomExtensions(statistics);
// when insight is generated, take snapshot of securities and place in queue for insight manager to process on alpha thread
algorithm.InsightsGenerated += (algo, collection) =>
{
lock (_insights)
{
_insights.AddRange(collection.Insights);
}
};
}
/// <summary>
/// Initializes this alpha handler to accept insights 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 insights</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;
}
_securityValuesProvider = new AlgorithmSecurityValuesProvider(algorithm);
InsightManager = CreateInsightManager();
var statistics = new StatisticsInsightManagerExtension();
RuntimeStatistics = statistics.Statistics;
InsightManager.AddExtension(statistics);
_charting = new ChartingInsightManagerExtension(algorithm, statistics);
InsightManager.AddExtension(_charting);
// when insight is generated, take snapshot of securities and place in queue for insight manager to process on alpha thread
algorithm.InsightsGenerated += (algo, collection) => _insightQueue.Enqueue(new InsightQueueItem(collection.DateTimeUtc, CreateSecurityValuesSnapshot(), collection));
}
/// <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)
{
_algorithm = algorithm;
_statisticsManager = statisticsManager;
_liveMode = algorithm.LiveMode;
// Add our series for average scores over sample period to our "Alpha" chart
foreach (var scoreType in InsightManager.ScoreTypes)
{
var series = new Series($"{scoreType} Score", SeriesType.Line, "%");
_insightScoreSeriesByScoreType[scoreType] = series;
_insightScoreChart.AddSeries(series);
}
// Add a series for insight count over sample period to the "Insight Count" chart
_totalInsightCountChart.AddSeries(_totalInsightCountSeries);
}
/// <summary>
/// Initializes this alpha handler to accept insights 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 insights</param>
/// <param name="api">Api instance</param>
/// <param name="transactionHandler">Algorithms transaction handler</param>
public virtual void Initialize(AlgorithmNodePacket job, IAlgorithm algorithm, IMessagingHandler messagingHandler, IApi api, ITransactionHandler transactionHandler)
{
// initializing these properties just in case, doesn't hurt to have them populated
Job = job;
Algorithm = algorithm;
MessagingHandler = messagingHandler;
_fitnessScore = new FitnessScoreManager();
_insights = new List <Insight>();
_securityValuesProvider = new AlgorithmSecurityValuesProvider(algorithm);
InsightManager = CreateInsightManager();
var statistics = new StatisticsInsightManagerExtension(algorithm);
RuntimeStatistics = statistics.Statistics;
InsightManager.AddExtension(statistics);
AddInsightManagerCustomExtensions(statistics);
var baseDirectory = Config.Get("results-destination-folder", Directory.GetCurrentDirectory());
var directory = Path.Combine(baseDirectory, AlgorithmId);
if (!Directory.Exists(directory))
{
Directory.CreateDirectory(directory);
}
_alphaResultsPath = Path.Combine(directory, "alpha-results.json");
// when insight is generated, take snapshot of securities and place in queue for insight manager to process on alpha thread
algorithm.InsightsGenerated += (algo, collection) =>
{
lock (_insights)
{
_insights.AddRange(collection.Insights);
}
};
}
/// <summary>
/// Allows each alpha handler implementation to add there own optional extensions
/// </summary>
protected virtual void AddInsightManagerCustomExtensions(StatisticsInsightManagerExtension statistics)
{
// send scored insights to messaging handler
InsightManager.AddExtension(new AlphaResultPacketSender(Job, MessagingHandler, TimeSpan.FromSeconds(3), 50));
InsightManager.AddExtension(new ChartingInsightManagerExtension(Algorithm, statistics));
}
