/// DB Ping Run Method:
public static void Run()
{
//Don't run at all if local.
if (Engine.IsLocal)
{
return;
}
while (!_exitTriggered)
{
if (AlgorithmManager.AlgorithmId != "" && AlgorithmManager.QuitState == false)
{
try
{
//Get the state from the central server:
var state = Engine.Api.GetAlgorithmStatus(AlgorithmManager.AlgorithmId);
AlgorithmManager.SetStatus(state.Status);
//Set which chart the user is look at, so we can reduce excess messaging (e.g. trading 100 symbols, only send 1).
Engine.ResultHandler.SetChartSubscription(state.ChartSubscription);
Log.Debug("StateCheck.Ping.Run(): Algorithm Status: " + state.Status + " Subscription: " + state.ChartSubscription);
}
catch
{
Log.Debug("StateCheck.Run(): Error in state check.");
}
}
else
{
Log.Debug("StateCheck.Ping.Run(): Opted to not ping: " + AlgorithmManager.AlgorithmId + " " + AlgorithmManager.QuitState);
}
Thread.Sleep(1000);
}
}
/// DB Ping Run Method:
public void Run()
{
while (!_exitEvent.Wait(1000))
{
try
{
if (_algorithmManager.AlgorithmId != "" && _algorithmManager.QuitState == false)
{
//Get the state from the central server:
var state = _api.GetAlgorithmStatus(_algorithmManager.AlgorithmId, _job.UserId);
//Set state via get/set method:
_algorithmManager.SetStatus(state.Status);
//Set which chart the user is look at, so we can reduce excess messaging (e.g. trading 100 symbols, only send 1).
_resultHandler.SetChartSubscription(state.ChartSubscription);
_messagingHandler.HasSubscribers = state.HasSubscribers;
}
}
catch (ThreadAbortException)
{
return;
}
catch (Exception err)
{
Log.Error(err);
}
}
Log.Trace("StateCheck.Ping.Run(): Exited thread.");
}
/// DB Ping Run Method:
public static void Run()
{
while (!_exitTriggered)
{
if (AlgorithmManager.AlgorithmId != "" && AlgorithmManager.QuitState == false)
{
try
{
//Get the state from the central server:
var state = Engine.Api.GetAlgorithmStatus(AlgorithmManager.AlgorithmId);
//Set state via get/set method:
AlgorithmManager.SetStatus(state.Status);
//Set which chart the user is look at, so we can reduce excess messaging (e.g. trading 100 symbols, only send 1).
Engine.ResultHandler.SetChartSubscription(state.ChartSubscription);
}
catch (ThreadAbortException err)
{
return;
}
catch (Exception err)
{
Log.Error("StateCheck.Run(): Error in state check: " + err.Message);
}
}
Thread.Sleep(500);
}
}
/// DB Ping Run Method:
public static void Run()
{
//Don't run at all if local.
if (_local)
{
return;
}
while (!_exitTriggered)
{
if (AlgorithmManager.AlgorithmId != "" && AlgorithmManager.QuitState == false)
{
try
{
//Get the state from the central server:
var state = Controls.GetAlgorithmStatus(AlgorithmManager.AlgorithmId);
AlgorithmManager.SetStatus(state);
Log.Debug("StateCheck.Ping.Run(): Algorithm Status: " + state);
}
catch
{
Log.Debug("StateCheck.Run(): Error in state check.");
}
}
else
{
Log.Debug("StateCheck.Ping.Run(): Opted to not ping: " + AlgorithmManager.AlgorithmId + " " + AlgorithmManager.QuitState);
}
Thread.Sleep(1000);
}
}
/// <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);
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.SetChannel(job.Channel);
//-> 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 internal state of algorithm and job: executes the algorithm.Initialize() method.
initializeComplete = _algorithmHandlers.Setup.Setup(algorithm, out brokerage, job, _algorithmHandlers.Results, _algorithmHandlers.Transactions);
//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);
_algorithmHandlers.Results.RuntimeError(errorMessage);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage);
}
}
catch (Exception 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.SetLiveMode(_liveMode);
algorithm.SetLocked();
//Load the associated handlers for data, transaction and realtime events:
_algorithmHandlers.Results.SetAlgorithm(algorithm);
_algorithmHandlers.DataFeed.Initialize(algorithm, job, _algorithmHandlers.Results);
_algorithmHandlers.Transactions.Initialize(algorithm, brokerage, _algorithmHandlers.Results);
_algorithmHandlers.RealTime.Initialize(algorithm, job, _algorithmHandlers.Results, _systemHandlers.Api);
//Set the error handlers for the brokerage asynchronous errors.
_algorithmHandlers.Setup.SetupErrorHandler(_algorithmHandlers.Results, brokerage);
//Send status to user the algorithm is now executing.
_algorithmHandlers.Results.SendStatusUpdate(job.AlgorithmId, 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, Constants.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, isolator.CancellationToken);
}
catch (Exception err)
{
//Debugging at this level is difficult, stack trace needed.
Log.Error("Engine.Run", 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("Engine.Run(): Breaking out of parent try-catch: " + err.Message + " " + err.StackTrace);
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);
}
}
//Send result data back: this entire code block could be rewritten.
// todo: - Split up statistics class, its enormous.
// todo: - Make a dedicated Statistics.Benchmark class.
// todo: - Move all creation and transmission of statistics out of primary engine loop.
// todo: - Statistics.Generate(algorithm, resulthandler, transactionhandler);
try
{
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 statistics = new Dictionary<string, string>();
var banner = new Dictionary<string, string>();
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 numberOfTrades = algorithm.Transactions.GetOrders(x => x.Status.IsFill()).Count();
var benchmark = charts[benchmarkKey].Series[benchmarkKey].Values.ToDictionary(chartPoint => Time.UnixTimeStampToDateTime(chartPoint.x), chartPoint => chartPoint.y);
statistics = Statistics.Statistics.Generate(equity, profitLoss, performance, benchmark,
_algorithmHandlers.Setup.StartingPortfolioValue, algorithm.Portfolio.TotalFees, numberOfTrades, 252);
}
}
catch (Exception err)
{
Log.Error("Algorithm.Node.Engine(): Error generating statistics packet: " + err.Message);
}
//Diagnostics Completed, Send Result Packet:
var totalSeconds = (DateTime.Now - startTime).TotalSeconds;
_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"), ((algorithmManager.DataPoints/(double) 1000)/totalSeconds).ToString("F0"),
algorithmManager.DataPoints.ToString("N0")));
_algorithmHandlers.Results.SendFinalResult(job, orders, algorithm.Transactions.TransactionRecord, holdings, statistics, banner);
}
catch (Exception err)
{
Log.Error("Engine.Main(): Error sending analysis result: " + err.Message + " ST >> " + err.StackTrace);
}
//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)
{
brokerage.Disconnect();
}
if (_algorithmHandlers.Setup != null)
{
_algorithmHandlers.Setup.Dispose();
}
Log.Trace("Engine.Main(): Analysis Completed and Results Posted.");
}
catch (Exception err)
{
Log.Error("Engine.Main(): Error running algorithm: " + err.Message + " >> " + err.StackTrace);
}
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();
}
}
/// <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();
}
}
/// <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.SetChannel(job.Channel);
//-> 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);
// set the history provider before setting up the algorithm
_algorithmHandlers.HistoryProvider.Initialize(job, progress =>
{
// send progress updates to the result handler only during initialization
if (!algorithm.GetLocked() || algorithm.IsWarmingUp)
{
_algorithmHandlers.Results.SendStatusUpdate(job.AlgorithmId, 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, out 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);
_algorithmHandlers.Results.RuntimeError(errorMessage);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage);
}
}
catch (Exception 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();
//Wire up the universe selection event handler before kicking off the data feed
var universeSelection = new UniverseSelection(_algorithmHandlers.DataFeed, algorithm, _liveMode);
_algorithmHandlers.DataFeed.UniverseSelection += (sender, args) => universeSelection.ApplyUniverseSelection(args);
//Load the associated handlers for data, transaction and realtime events:
_algorithmHandlers.DataFeed.Initialize(algorithm, job, _algorithmHandlers.Results);
_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);
//Send status to user the algorithm is now executing.
_algorithmHandlers.Results.SendStatusUpdate(job.AlgorithmId, 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, Constants.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, 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("Engine.Run(): Breaking out of parent try-catch: " + err.Message + " " + err.StackTrace);
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);
}
}
//Send result data back: this entire code block could be rewritten.
// todo: - Split up statistics class, its enormous.
// todo: - Make a dedicated Statistics.Benchmark class.
// todo: - Move all creation and transmission of statistics out of primary engine loop.
// todo: - Statistics.Generate(algorithm, resulthandler, transactionhandler);
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);
}
}
catch (Exception err)
{
Log.Error("Algorithm.Node.Engine(): Error generating statistics packet: " + err.Message);
}
//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("Engine.Main(): Error sending analysis result: " + err.Message + " ST >> " + err.StackTrace);
}
//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)
{
brokerage.Disconnect();
}
if (_algorithmHandlers.Setup != null)
{
_algorithmHandlers.Setup.Dispose();
}
Log.Trace("Engine.Main(): Analysis Completed and Results Posted.");
}
catch (Exception err)
{
Log.Error("Engine.Main(): Error running algorithm: " + err.Message + " >> " + err.StackTrace);
}
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();
}
}
/// <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(job, assemblyPath);
// Initialize the brokerage
IBrokerageFactory factory;
brokerage = _algorithmHandlers.Setup.CreateBrokerage(job, algorithm, out factory);
// 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);
// initialize command queue system
_algorithmHandlers.CommandQueue.Initialize(job, algorithm);
// 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 SingleEntryDataCacheProvider(_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);
//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);
}
// 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(" Commands: " + _algorithmHandlers.CommandQueue.GetType().FullName);
if (algorithm != null && 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)
{
//-> 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.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);
}
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))
{
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;
_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();
}
}