Пример #1
0
        /********************************************************
         * CLASS METHODS
         *********************************************************/
        /// <summary>
        /// Primary Analysis Thread:
        /// </summary>
        public static void Main(string[] args)
        {
            //Initialize:
            var    algorithmPath    = "";
            string mode             = "RELEASE";
            AlgorithmNodePacket job = null;
            var algorithm           = default(IAlgorithm);
            var startTime           = DateTime.Now;

            Log.LogHandler = Composer.Instance.GetExportedValueByTypeName <ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));

            #if DEBUG
            mode = "DEBUG";
            #endif

            //Name thread for the profiler:
            Thread.CurrentThread.Name = "Algorithm Analysis Thread";
            Log.Trace("Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v" + Constants.Version + " Mode: " + mode);
            Log.Trace("Engine.Main(): Started " + DateTime.Now.ToShortTimeString());
            Log.Trace("Engine.Main(): Memory " + OS.ApplicationMemoryUsed + "Mb-App  " + +OS.TotalPhysicalMemoryUsed + "Mb-Used  " + OS.TotalPhysicalMemory + "Mb-Total");

            //Import external libraries specific to physical server location (cloud/local)
            try
            {
                // grab the right export based on configuration
                Api      = Composer.Instance.GetExportedValueByTypeName <IApi>(Config.Get("api-handler"));
                Notify   = Composer.Instance.GetExportedValueByTypeName <IMessagingHandler>(Config.Get("messaging-handler"));
                JobQueue = Composer.Instance.GetExportedValueByTypeName <IJobQueueHandler>(Config.Get("job-queue-handler"));
            }
            catch (CompositionException compositionException)
            { Log.Error("Engine.Main(): Failed to load library: " + compositionException); }

            //Setup packeting, queue and controls system: These don't do much locally.
            Api.Initialize();
            Notify.Initialize();
            JobQueue.Initialize();

            //Start monitoring the backtest active status:
            var statusPingThread = new Thread(StateCheck.Ping.Run);
            statusPingThread.Start();

            try
            {
                //Reset algo manager internal variables preparing for a new algorithm.
                AlgorithmManager.ResetManager();

                //Reset thread holders.
                var    initializeComplete = false;
                Thread threadFeed         = null;
                Thread threadTransactions = null;
                Thread threadResults      = null;
                Thread threadRealTime     = null;

                do
                {
                    //-> Pull job from QuantConnect job queue, or, pull local build:
                    job = JobQueue.NextJob(out algorithmPath); // Blocking.

                    // if the job version doesn't match this instance version then we can't process it
                    // we also don't want to reprocess redelivered live jobs
                    if (job.Version != Constants.Version || (LiveMode && job.Redelivered))
                    {
                        Log.Error("Engine.Run(): Job Version: " + job.Version + "  Deployed Version: " + Constants.Version);

                        //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.
                        JobQueue.AcknowledgeJob(job);
                        Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, _collapseMessage);
                        Notify.SetChannel(job.Channel);
                        Notify.RuntimeError(job.AlgorithmId, _collapseMessage);
                        job = null;
                    }
                } while (job == null);


                //-> Initialize messaging system
                Notify.SetChannel(job.Channel);

                //-> Create SetupHandler to configure internal algorithm state:
                SetupHandler = GetSetupHandler(job.SetupEndpoint);

                //-> Set the result handler type for this algorithm job, and launch the associated result thread.
                ResultHandler = GetResultHandler(job);
                threadResults = new Thread(ResultHandler.Run, 0)
                {
                    Name = "Result Thread"
                };
                threadResults.Start();

                try
                {
                    // Save algorithm to cache, load algorithm instance:
                    algorithm = SetupHandler.CreateAlgorithmInstance(algorithmPath);

                    //Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
                    initializeComplete = SetupHandler.Setup(algorithm, out _brokerage, job);

                    //If there are any reasons it failed, pass these back to the IDE.
                    if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || SetupHandler.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(",", SetupHandler.Errors);
                        ResultHandler.RuntimeError(errorMessage);
                        Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError);
                    }
                }
                catch (Exception err)
                {
                    var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err.StackTrace;
                    ResultHandler.RuntimeError(runtimeMessage, err.StackTrace);
                    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.
                    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:
                    ResultHandler.SetAlgorithm(algorithm);
                    DataFeed           = GetDataFeedHandler(algorithm, job);
                    TransactionHandler = GetTransactionHandler(algorithm, _brokerage, ResultHandler, job);
                    RealTimeHandler    = GetRealTimeHandler(algorithm, _brokerage, DataFeed, ResultHandler, job);

                    //Set the error handlers for the brokerage asynchronous errors.
                    SetupHandler.SetupErrorHandler(ResultHandler, _brokerage);

                    //Send status to user the algorithm is now executing.
                    ResultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Running);

                    //Launch the data, transaction and realtime handlers into dedicated threads
                    threadFeed = new Thread(DataFeed.Run)
                    {
                        Name = "DataFeed Thread"
                    };
                    threadTransactions = new Thread(TransactionHandler.Run)
                    {
                        Name = "Transaction Thread"
                    };
                    threadRealTime = new Thread(RealTimeHandler.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)
                    ResultHandler.DebugMessage(string.Format("Launching analysis for {0} with LEAN Engine v{1}", job.AlgorithmId, Constants.Version));

                    try
                    {
                        // Execute the Algorithm Code:
                        var complete = Isolator.ExecuteWithTimeLimit(SetupHandler.MaximumRuntime, AlgorithmManager.TimeLoopWithinLimits, () =>
                        {
                            try
                            {
                                //Run Algorithm Job:
                                // -> Using this Data Feed,
                                // -> Send Orders to this TransactionHandler,
                                // -> Send Results to ResultHandler.
                                AlgorithmManager.Run(job, algorithm, DataFeed, TransactionHandler, ResultHandler, SetupHandler, RealTimeHandler);
                            }
                            catch (Exception err)
                            {
                                //Debugging at this level is difficult, stack trace needed.
                                Log.Error("Engine.Run", err);
                            }

                            Log.Trace("Engine.Run(): Exiting Algorithm Manager");
                        }, job.UserPlan == UserPlan.Free ? 1024 : MaximumRamAllocation);

                        if (!complete)
                        {
                            Log.Error("Engine.Main(): Failed to complete in time: " + SetupHandler.MaximumRuntime.ToString("F"));
                            throw new Exception("Failed to complete algorithm within " + SetupHandler.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 (DataFeed != null)
                        {
                            DataFeed.Exit();
                        }
                        if (ResultHandler != null)
                        {
                            var message = "Runtime Error: " + err.Message;
                            Log.Trace("Engine.Run(): Sending runtime error to user...");
                            ResultHandler.LogMessage(message);
                            ResultHandler.RuntimeError(message, err.StackTrace);
                            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>(ResultHandler.Charts);
                        var orders     = new Dictionary <int, Order>(algorithm.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";

                            // 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);
                                statistics = Statistics.Statistics.Generate(equity, profitLoss, performance,
                                                                            SetupHandler.StartingPortfolioValue, algorithm.Portfolio.TotalFees, 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;
                        ResultHandler.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")));

                        ResultHandler.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
                    TransactionHandler.Exit();
                    DataFeed.Exit();
                    RealTimeHandler.Exit();
                }

                //Close result handler:
                ResultHandler.Exit();
                StateCheck.Ping.Exit();

                //Wait for the threads to complete:
                var ts = Stopwatch.StartNew();
                while ((ResultHandler.IsActive || (TransactionHandler != null && TransactionHandler.IsActive) || (DataFeed != null && DataFeed.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 (SetupHandler != null)
                {
                    SetupHandler.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)
                {
                    Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmManager.State);
                }

                //Delete the message from the job queue:
                JobQueue.AcknowledgeJob(job);
                Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);

                //Attempt to clean up ram usage:
                GC.Collect();
            }

            //Final disposals.
            Api.Dispose();

            // Make the console window pause so we can read log output before exiting and killing the application completely
            if (IsLocal)
            {
                Log.Trace("Engine.Main(): Analysis Complete. Press any key to continue.");
                Console.Read();
            }
            Log.LogHandler.Dispose();
        }
Пример #2
0
        /********************************************************
        * CLASS METHODS
        *********************************************************/
        /// <summary>
        /// Primary Analysis Thread:
        /// </summary>
        public static void Main(string[] args)
        {
            //Initialize:
            var algorithmPath = "";
            string mode = "RELEASE";
            AlgorithmNodePacket job = null;
            var algorithm = default(IAlgorithm);
            var startTime = DateTime.Now;
            Log.LogHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));

            #if DEBUG
                mode = "DEBUG";
            #endif

            //Name thread for the profiler:
            Thread.CurrentThread.Name = "Algorithm Analysis Thread";
            Log.Trace("Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v" + Constants.Version + " Mode: " + mode);
            Log.Trace("Engine.Main(): Started " + DateTime.Now.ToShortTimeString());
            Log.Trace("Engine.Main(): Memory " + OS.ApplicationMemoryUsed + "Mb-App  " + +OS.TotalPhysicalMemoryUsed + "Mb-Used  " + OS.TotalPhysicalMemory + "Mb-Total");

            //Import external libraries specific to physical server location (cloud/local)
            try
            {
                // grab the right export based on configuration
                Api = Composer.Instance.GetExportedValueByTypeName<IApi>(Config.Get("api-handler"));
                Notify = Composer.Instance.GetExportedValueByTypeName<IMessagingHandler>(Config.Get("messaging-handler"));
                JobQueue = Composer.Instance.GetExportedValueByTypeName<IJobQueueHandler>(Config.Get("job-queue-handler"));
            }
            catch (CompositionException compositionException)
            { Log.Error("Engine.Main(): Failed to load library: " + compositionException);
            }

            //Setup packeting, queue and controls system: These don't do much locally.
            Api.Initialize();
            Notify.Initialize();
            JobQueue.Initialize();

            //Start monitoring the backtest active status:
            var statusPingThread = new Thread(StateCheck.Ping.Run);
            statusPingThread.Start();

            try
            {
                //Reset algo manager internal variables preparing for a new algorithm.
                AlgorithmManager.ResetManager();

                //Reset thread holders.
                var initializeComplete = false;
                Thread threadFeed = null;
                Thread threadTransactions = null;
                Thread threadResults = null;
                Thread threadRealTime = null;

                do
                {
                    //-> Pull job from QuantConnect job queue, or, pull local build:
                    job = JobQueue.NextJob(out algorithmPath); // Blocking.

                    // if the job version doesn't match this instance version then we can't process it
                    // we also don't want to reprocess redelivered live jobs
                    if (job.Version != Constants.Version || (LiveMode && job.Redelivered))
                    {
                        Log.Error("Engine.Run(): Job Version: " + job.Version + "  Deployed Version: " + Constants.Version);

                        //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.
                        JobQueue.AcknowledgeJob(job);
                        Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, _collapseMessage);
                        Notify.SetChannel(job.Channel);
                        Notify.RuntimeError(job.AlgorithmId, _collapseMessage);
                        job = null;
                    }
                } while (job == null);

                //-> Initialize messaging system
                Notify.SetChannel(job.Channel);

                //-> Create SetupHandler to configure internal algorithm state:
                SetupHandler = GetSetupHandler(job.SetupEndpoint);

                //-> Set the result handler type for this algorithm job, and launch the associated result thread.
                ResultHandler = GetResultHandler(job);
                threadResults = new Thread(ResultHandler.Run, 0) {Name = "Result Thread"};
                threadResults.Start();

                try
                {
                    // Save algorithm to cache, load algorithm instance:
                    algorithm = SetupHandler.CreateAlgorithmInstance(algorithmPath);

                    //Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
                    initializeComplete = SetupHandler.Setup(algorithm, out _brokerage, job);

                    //If there are any reasons it failed, pass these back to the IDE.
                    if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || SetupHandler.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(",", SetupHandler.Errors);
                        ResultHandler.RuntimeError(errorMessage);
                        Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError);
                    }
                }
                catch (Exception err)
                {
                    var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err.StackTrace;
                    ResultHandler.RuntimeError(runtimeMessage, err.StackTrace);
                    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.
                    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:
                    ResultHandler.SetAlgorithm(algorithm);
                    DataFeed            = GetDataFeedHandler(algorithm, job);
                    TransactionHandler  = GetTransactionHandler(algorithm, _brokerage, ResultHandler, job);
                    RealTimeHandler     = GetRealTimeHandler(algorithm, _brokerage, DataFeed, ResultHandler, job);

                    //Set the error handlers for the brokerage asynchronous errors.
                    SetupHandler.SetupErrorHandler(ResultHandler, _brokerage);

                    //Send status to user the algorithm is now executing.
                    ResultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.Running);

                    //Launch the data, transaction and realtime handlers into dedicated threads
                    threadFeed = new Thread(DataFeed.Run) {Name = "DataFeed Thread"};
                    threadTransactions = new Thread(TransactionHandler.Run) {Name = "Transaction Thread"};
                    threadRealTime = new Thread(RealTimeHandler.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)
                    ResultHandler.DebugMessage(string.Format("Launching analysis for {0} with LEAN Engine v{1}", job.AlgorithmId, Constants.Version));

                    try
                    {
                        // Execute the Algorithm Code:
                        var complete = Isolator.ExecuteWithTimeLimit(SetupHandler.MaximumRuntime, AlgorithmManager.TimeLoopWithinLimits, () =>
                        {
                            try
                            {
                                //Run Algorithm Job:
                                // -> Using this Data Feed,
                                // -> Send Orders to this TransactionHandler,
                                // -> Send Results to ResultHandler.
                                AlgorithmManager.Run(job, algorithm, DataFeed, TransactionHandler, ResultHandler, SetupHandler, RealTimeHandler);
                            }
                            catch (Exception err)
                            {
                                //Debugging at this level is difficult, stack trace needed.
                                Log.Error("Engine.Run", err);
                            }

                            Log.Trace("Engine.Run(): Exiting Algorithm Manager");

                            }, job.UserPlan == UserPlan.Free ? 1024 : MaximumRamAllocation);

                        if (!complete)
                        {
                            Log.Error("Engine.Main(): Failed to complete in time: " + SetupHandler.MaximumRuntime.ToString("F"));
                            throw new Exception("Failed to complete algorithm within " + SetupHandler.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 (DataFeed != null) DataFeed.Exit();
                        if (ResultHandler != null)
                        {
                            var message = "Runtime Error: " + err.Message;
                            Log.Trace("Engine.Run(): Sending runtime error to user...");
                            ResultHandler.LogMessage(message);
                            ResultHandler.RuntimeError(message, err.StackTrace);
                            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>(ResultHandler.Charts);
                        var orders = new Dictionary<int, Order>(algorithm.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";

                            // 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);
                                statistics = Statistics.Statistics.Generate(equity, profitLoss, performance,
                                    SetupHandler.StartingPortfolioValue, algorithm.Portfolio.TotalFees, 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;
                        ResultHandler.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")));

                        ResultHandler.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
                    TransactionHandler.Exit();
                    DataFeed.Exit();
                    RealTimeHandler.Exit();
                }

                //Close result handler:
                ResultHandler.Exit();
                StateCheck.Ping.Exit();

                //Wait for the threads to complete:
                var ts = Stopwatch.StartNew();
                while ((ResultHandler.IsActive || (TransactionHandler != null && TransactionHandler.IsActive) || (DataFeed != null && DataFeed.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 (SetupHandler != null)
                {
                    SetupHandler.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)
                    Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmManager.State);

                //Delete the message from the job queue:
                JobQueue.AcknowledgeJob(job);
                Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);

                //Attempt to clean up ram usage:
                GC.Collect();
            }

            //Final disposals.
            Api.Dispose();

            // Make the console window pause so we can read log output before exiting and killing the application completely
            if (IsLocal)
            {
                Log.Trace("Engine.Main(): Analysis Complete. Press any key to continue.");
                Console.Read();
            }
            Log.LogHandler.Dispose();
        }
Пример #3
0
        /// <summary>
        /// The main processing method steps through the messaging queue and processes the messages one by one.
        /// </summary>
        public void Run()
        {
            //Initialize:
            var lastMessage = "";

            _lastDaysProcessed = 5;

            //Setup minimum result arrays:
            //SampleEquity(job.periodStart, job.startingCapital);
            //SamplePerformance(job.periodStart, 0);

            try
            {
                while (!(_exitTriggered && Messages.Count == 0))
                {
                    //While there's no work to do, go back to the algorithm:
                    if (Messages.Count == 0)
                    {
                        Thread.Sleep(50);
                    }
                    else
                    {
                        //1. Process Simple Messages in Queue
                        Packet packet;
                        if (Messages.TryDequeue(out packet))
                        {
                            switch (packet.Type)
                            {
                            //New Debug Message:
                            case PacketType.Debug:
                                var debug = packet as DebugPacket;
                                if (lastMessage != debug.Message)
                                {
                                    //Log.Trace("BacktestingResultHandlerRun(): Debug Packet: " + debug.Message);
                                    _messagingHandler.DebugMessage(debug.Message, debug.ProjectId, _backtestId, _compileId);
                                    lastMessage = debug.Message;
                                }
                                break;

                            //Send log messages to the browser as well for live trading:
                            case PacketType.SecurityTypes:
                                var securityPacket = packet as SecurityTypesPacket;
                                _messagingHandler.SecurityTypes(securityPacket);
                                break;

                            case PacketType.RuntimeError:
                                //Log.Error("QC.AlgorithmWorker.Run(): " + packet.Message);
                                var runtime = packet as RuntimeErrorPacket;
                                _messagingHandler.RuntimeError(_backtestId, runtime.Message, runtime.StackTrace);
                                break;

                            case PacketType.HandledError:
                                var handled = packet as HandledErrorPacket;
                                Log.Error("BacktestingResultHandler.Run(): HandledError Packet: " + handled.Message);
                                _messagingHandler.Send(handled);
                                break;

                            default:
                                //Default case..
                                _messagingHandler.Send(packet);
                                Log.Trace("BacktestingResultHandler.Run(): Default packet type: " + packet.Type);
                                break;
                            }
                        }
                    }

                    //2. Update the packet scanner:
                    Update();
                } // While !End.
            }
            catch (Exception err)
            {
                // unexpected error, we need to close down shop
                Log.Error(err);
                // quit the algorithm due to error
                _algorithm.RunTimeError = err;
            }

            Log.Trace("BacktestingResultHandler.Run(): Ending Thread...");
            _isActive = false;
        } // End Run();