/// <summary>
/// Launches a Lean Engine using a parameter
/// </summary>
/// <param name="val">The paramater to use when launching lean. </param>
private void LaunchLean(string val)
{
Config.Set("environment", "backtesting");
string algorithm = val;
// Set the algorithm in Config. Here is where you can customize Config settings
Config.Set("algorithm-type-name", algorithm);
_jobQueue = new JobQueue();
_notify = new Messaging();
_api = new Api();
/************ Comment one of the two following lines to select which ResultHandler to use ***********/
_resultshandler = new OptimizationResultHandler();
//_resultshandler = new ConsoleResultHandler();
_dataFeed = new FileSystemDataFeed();
_setup = new ConsoleSetupHandler();
_realTime = new BacktestingRealTimeHandler();
_historyProvider = new SubscriptionDataReaderHistoryProvider();
_transactions = new BacktestingTransactionHandler();
// Set the Log.LogHandler to only write to the log.txt file.
// This setting avoids writing Log messages to the console.
Log.LogHandler = (ILogHandler) new FileLogHandler();
Log.DebuggingEnabled = false; // Set this property to true for lots of messages
Log.DebuggingLevel = 1; // A reminder that the default level for Log.Debug message is 1
var systemHandlers = new LeanEngineSystemHandlers(_jobQueue, _api, _notify);
systemHandlers.Initialize();
var algorithmHandlers = new LeanEngineAlgorithmHandlers(_resultshandler, _setup, _dataFeed, _transactions, _realTime, _historyProvider);
string algorithmPath;
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out algorithmPath);
try
{
var _engine = new Engine(systemHandlers, algorithmHandlers, Config.GetBool("live-mode"));
_engine.Run(job, algorithmPath);
}
finally
{
/* The JobQueue.AcknowledgeJob only asks for any key to close the window.
* We do not want that behavior, so we comment out this line so that multiple Leans will run
*
* The alternative is to comment out Console.Read(); the line in JobQueue class.
*/
//systemHandlers.JobQueue.AcknowledgeJob(job);
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
// clean up resources
systemHandlers.Dispose();
algorithmHandlers.Dispose();
Log.LogHandler.Dispose();
}
}
private void LaunchLean()
{
Config.Set("environment", "backtesting");
string algorithm = "EMATest";
Config.Set("algorithm-type-name", algorithm);
_jobQueue = new JobQueue();
_notify = new Messaging();
_api = new Api();
_resultshandler = new DesktopResultHandler();
_dataFeed = new FileSystemDataFeed();
_setup = new ConsoleSetupHandler();
_realTime = new BacktestingRealTimeHandler();
_historyProvider = new SubscriptionDataReaderHistoryProvider();
_transactions = new BacktestingTransactionHandler();
var systemHandlers = new LeanEngineSystemHandlers(_jobQueue, _api, _notify);
systemHandlers.Initialize();
// var algorithmHandlers = new LeanEngineAlgorithmHandlers (_resultshandler, _setup, _dataFeed, _transactions, _realTime, _historyProvider);
Log.LogHandler = Composer.Instance.GetExportedValueByTypeName <ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
LeanEngineAlgorithmHandlers leanEngineAlgorithmHandlers;
try
{
leanEngineAlgorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
_resultshandler = leanEngineAlgorithmHandlers.Results;
}
catch (CompositionException compositionException)
{
Log.Error("Engine.Main(): Failed to load library: " + compositionException);
throw;
}
string algorithmPath;
AlgorithmNodePacket job = systemHandlers.JobQueue.NextJob(out algorithmPath);
try
{
var _engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, Config.GetBool("live-mode"));
_engine.Run(job, algorithmPath);
}
finally
{
//Delete the message from the job queue:
//systemHandlers.JobQueue.AcknowledgeJob(job);
Log.Trace("Engine.Main(): Packet removed from queue: " + job.AlgorithmId);
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
Log.LogHandler.Dispose();
}
}
private void LaunchLean()
{
ConfigMerger.Merge(_config, _id, this.GetType());
var systemHandlers = new LeanEngineSystemHandlers(
new JobQueue(),
new EmptyApiHandler(),
new Messaging(),
new LocalLeanManager());
systemHandlers.Initialize();
//separate log uniquely named
var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + _id + ".txt";
using (Log.LogHandler = new FileLogHandler(logFileName, true))
{
var map = new LocalDiskMapFileProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
new OptimizerResultHandler(),
new ConsoleSetupHandler(),
new FileSystemDataFeed(),
new BacktestingTransactionHandler(),
new BacktestingRealTimeHandler(),
map,
new LocalDiskFactorFileProvider(map),
new DefaultDataProvider(),
new OptimizerAlphaHandler(),
new EmptyObjectStore(),
new DataPermissionManager());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//todo: pass period through job
//job.PeriodStart = _config.StartDate;
//job.PeriodFinish = _config.EndDate;
try
{
var algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
engine.Run(job, algorithmManager, algorithmPath, WorkerThread.Instance);
}
finally
{
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
}
}
}
static void Main(string[] args)
{
//Initialize:
var mode = "RELEASE";
#if DEBUG
mode = "DEBUG";
#endif
if (OS.IsWindows)
{
Console.OutputEncoding = System.Text.Encoding.UTF8;
}
// expect first argument to be config file name
if (args.Length > 0)
{
Config.MergeCommandLineArgumentsWithConfiguration(LeanArgumentParser.ParseArguments(args));
}
var liveMode = Config.GetBool("live-mode");
Log.DebuggingEnabled = Config.GetBool("debug-mode");
Log.FilePath = Path.Combine(Config.Get("results-destination-folder"), "log.txt");
Log.LogHandler = Composer.Instance.GetExportedValueByTypeName <ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
//Name thread for the profiler:
Thread.CurrentThread.Name = "Algorithm Analysis Thread";
Log.Trace($"Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v{Globals.Version} Mode: {mode} ({(Environment.Is64BitProcess ? "64" : "32")}bit) Host: {Environment.MachineName}");
Log.Trace("Engine.Main(): Started " + DateTime.Now.ToShortTimeString());
//Import external libraries specific to physical server location (cloud/local)
try
{
leanEngineSystemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance);
}
catch (CompositionException compositionException)
{
Log.Error("Engine.Main(): Failed to load library: " + compositionException);
throw;
}
//Setup packeting, queue and controls system: These don't do much locally.
leanEngineSystemHandlers.Initialize();
//-> Pull job from QuantConnect job queue, or, pull local build:
string assemblyPath;
job = leanEngineSystemHandlers.JobQueue.NextJob(out assemblyPath);
if (job == null)
{
const string jobNullMessage = "Engine.Main(): Sorry we could not process this algorithm request.";
Log.Error(jobNullMessage);
throw new ArgumentException(jobNullMessage);
}
try
{
leanEngineAlgorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
}
catch (CompositionException compositionException)
{
Log.Error("Engine.Main(): Failed to load library: " + compositionException);
throw;
}
// if the job version doesn't match this instance version then we can't process it
// we also don't want to reprocess redelivered jobs
if (job.Redelivered)
{
Log.Error("Engine.Run(): Job Version: " + job.Version + " Deployed Version: " + Globals.Version + " Redelivered: " + job.Redelivered);
//Tiny chance there was an uncontrolled collapse of a server, resulting in an old user task circulating.
//In this event kill the old algorithm and leave a message so the user can later review.
leanEngineSystemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, _collapseMessage);
leanEngineSystemHandlers.Notify.SetAuthentication(job);
leanEngineSystemHandlers.Notify.Send(new RuntimeErrorPacket(job.UserId, job.AlgorithmId, _collapseMessage));
leanEngineSystemHandlers.JobQueue.AcknowledgeJob(job);
Exit(1);
}
try
{
// Set our exit handler for the algorithm
Console.CancelKeyPress += new ConsoleCancelEventHandler(ExitKeyPress);
// Create the algorithm manager and start our engine
algorithmManager = new AlgorithmManager(liveMode, job);
leanEngineSystemHandlers.LeanManager.Initialize(leanEngineSystemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine.Engine(leanEngineSystemHandlers, leanEngineAlgorithmHandlers, liveMode);
engine.Run(job, algorithmManager, assemblyPath, WorkerThread.Instance);
}
finally
{
var algorithmStatus = algorithmManager?.State ?? AlgorithmStatus.DeployError;
Exit(algorithmStatus != AlgorithmStatus.Completed ? 1 : 0);
}
}
private void LaunchLean()
{
Config.Set("environment", "backtesting");
if (!string.IsNullOrEmpty(_config.AlgorithmTypeName))
{
Config.Set("algorithm-type-name", _config.AlgorithmTypeName);
}
if (!string.IsNullOrEmpty(_config.AlgorithmLocation))
{
Config.Set("algorithm-location", Path.GetFileName(_config.AlgorithmLocation));
}
if (!string.IsNullOrEmpty(_config.DataFolder))
{
Config.Set("data-folder", _config.DataFolder);
}
if (!string.IsNullOrEmpty(_config.TransactionLog))
{
var filename = _config.TransactionLog;
filename = Path.Combine(AppDomain.CurrentDomain.BaseDirectory,
Path.GetFileNameWithoutExtension(filename) + _id + Path.GetExtension(filename));
Config.Set("transaction-log", filename);
}
var systemHandlers = new LeanEngineSystemHandlers(
new JobQueue(),
new EmptyApiHandler(),
new Messaging(),
new LocalLeanManager());
systemHandlers.Initialize();
//separate log uniquely named
var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + _id + ".txt";
using (Log.LogHandler = new FileLogHandler(logFileName, true))
{
//override config to use custom result handler
Config.Set("backtesting.result-handler", nameof(OptimizerResultHandler));
var map = new LocalDiskMapFileProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
new OptimizerResultHandler(),
new ConsoleSetupHandler(),
new FileSystemDataFeed(),
new BacktestingTransactionHandler(),
new BacktestingRealTimeHandler(),
map,
new LocalDiskFactorFileProvider(map),
new DefaultDataProvider(),
new OptimizerAlphaHandler(),
new EmptyObjectStore());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//todo: pass period through job
//job.PeriodStart = _config.StartDate;
//job.PeriodFinish = _config.EndDate;
try
{
var algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
engine.Run(job, algorithmManager, algorithmPath, WorkerThread.Instance);
}
finally
{
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
}
}
}
private void LaunchLean(string id)
{
ConfigMerger.Merge(_config, id);
Config.Set("api-handler", nameof(EmptyApiHandler));
//todo: instance logging
//var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + id + ".txt";
Log.LogHandler = LogSingleton.Instance;
var jobQueue = new JobQueue();
var manager = new LocalLeanManager();
var systemHandlers = new LeanEngineSystemHandlers(
jobQueue,
new EmptyApiHandler(),
new QuantConnect.Messaging.Messaging(),
manager);
systemHandlers.Initialize();
var map = new LocalDiskMapFileProvider();
var results = new OptimizerResultHandler();
var transactions = new BacktestingTransactionHandler();
var dataFeed = new FileSystemDataFeed();
var realTime = new BacktestingRealTimeHandler();
var data = new DefaultDataProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
results,
new ConsoleSetupHandler(),
dataFeed,
transactions,
realTime,
map,
new LocalDiskFactorFileProvider(map),
data,
new OptimizerAlphaHandler(),
new EmptyObjectStore());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//mark job with id. Is set on algorithm in OptimizerAlphaHandler
job.BacktestId = id;
//todo: pass period through job
//job.PeriodStart = _config.StartDate;
//job.PeriodFinish = _config.EndDate;
Engine engine;
AlgorithmManager algorithmManager;
try
{
algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
using (var workerThread = new MultipleWorkerThread())
{
engine.Run(job, algorithmManager, algorithmPath, workerThread);
}
}
finally
{
// clean up resources
Composer.Instance.Reset();
results.Charts.Clear();
results.Messages.Clear();
if (results.Algorithm != null)
{
results.Algorithm.Transactions.TransactionRecord.Clear();
results.Algorithm.SubscriptionManager.Subscriptions.SelectMany(s => s.Consolidators)?.ToList().ForEach(f =>
{
results.Algorithm.SubscriptionManager.RemoveConsolidator(f.WorkingData?.Symbol, f);
UnregisterAllEvents(f);
});
if (results.Algorithm is QCAlgorithm)
{
((QCAlgorithm)results.Algorithm).SubscriptionManager.Subscriptions.ToList().Clear();
}
if (_config.AlgorithmLanguage != "Python")
{
results.Algorithm.HistoryProvider = null;
}
var closedTrades = (List <Trade>) typeof(TradeBuilder).GetField("_closedTrades", BindingFlags.Instance | BindingFlags.NonPublic).GetValue(results.Algorithm.TradeBuilder);
closedTrades.Clear();
results.Algorithm = null;
}
transactions.Orders.Clear();
transactions.OrderTickets.Clear();
manager.Dispose();
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
results = null;
dataFeed = null;
transactions = null;
realTime = null;
data = null;
map = null;
systemHandlers = null;
leanEngineAlgorithmHandlers = null;
algorithmManager = null;
engine = null;
job = null;
jobQueue = null;
manager = null;
}
}
private void LaunchLean(string id)
{
Config.Set("environment", "backtesting");
if (!string.IsNullOrEmpty(_config.AlgorithmTypeName))
{
Config.Set("algorithm-type-name", _config.AlgorithmTypeName);
}
if (!string.IsNullOrEmpty(_config.AlgorithmLocation))
{
Config.Set("algorithm-location", Path.GetFileName(_config.AlgorithmLocation));
}
if (!string.IsNullOrEmpty(_config.DataFolder))
{
Config.Set("data-folder", _config.DataFolder);
}
if (!string.IsNullOrEmpty(_config.TransactionLog))
{
var filename = _config.TransactionLog;
filename = Path.Combine(AppDomain.CurrentDomain.BaseDirectory, Path.GetFileNameWithoutExtension(filename) + id + Path.GetExtension(filename));
Config.Set("transaction-log", filename);
}
Config.Set("api-handler", nameof(EmptyApiHandler));
Config.Set("backtesting.result-handler", nameof(OptimizerResultHandler));
//Composer.Instance.Reset();
//todo: instance logging
//var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + id + ".txt";
Log.LogHandler = LogSingleton.Instance;
var jobQueue = new JobQueue();
var manager = new LocalLeanManager();
var systemHandlers = new LeanEngineSystemHandlers(
jobQueue,
new EmptyApiHandler(),
new QuantConnect.Messaging.Messaging(),
manager);
systemHandlers.Initialize();
var map = new LocalDiskMapFileProvider();
var results = new OptimizerResultHandler();
var transactions = new BacktestingTransactionHandler();
var dataFeed = new FileSystemDataFeed();
var realTime = new BacktestingRealTimeHandler();
var data = new DefaultDataProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
results,
new ConsoleSetupHandler(),
dataFeed,
transactions,
realTime,
map,
new LocalDiskFactorFileProvider(map),
data,
new OptimizerAlphaHandler(),
new EmptyObjectStore());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//mark job with id. Is set on algorithm in OptimizerAlphaHandler
job.BacktestId = id;
//todo: pass period through job
//job.PeriodStart = _config.StartDate;
//job.PeriodFinish = _config.EndDate;
Engine engine;
AlgorithmManager algorithmManager;
try
{
algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
using (var workerThread = new MultipleWorkerThread())
{
engine.Run(job, algorithmManager, algorithmPath, workerThread);
}
}
finally
{
// clean up resources
Composer.Instance.Reset();
results.Charts.Clear();
results.Messages.Clear();
results.Algorithm.Transactions.TransactionRecord.Clear();
var closedTrades = (List <Trade>) typeof(TradeBuilder).GetField("_closedTrades", BindingFlags.Instance | BindingFlags.NonPublic).GetValue(results.Algorithm.TradeBuilder);
closedTrades.Clear();
results.Algorithm.HistoryProvider = null;
results.Algorithm = null;
transactions.Orders.Clear();
transactions.OrderTickets.Clear();
manager.Dispose();
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
results = null;
dataFeed = null;
transactions = null;
realTime = null;
data = null;
map = null;
systemHandlers = null;
leanEngineAlgorithmHandlers = null;
algorithmManager = null;
engine = null;
job = null;
jobQueue = null;
manager = null;
}
}
private void LaunchLean(string id)
{
Config.Set("environment", "backtesting");
if (!string.IsNullOrEmpty(_config.AlgorithmTypeName))
{
Config.Set("algorithm-type-name", _config.AlgorithmTypeName);
}
if (!string.IsNullOrEmpty(_config.AlgorithmLocation))
{
Config.Set("algorithm-location", Path.GetFileName(_config.AlgorithmLocation));
}
if (!string.IsNullOrEmpty(_config.DataFolder))
{
Config.Set("data-folder", _config.DataFolder);
}
if (!string.IsNullOrEmpty(_config.TransactionLog))
{
var filename = _config.TransactionLog;
filename = Path.Combine(AppDomain.CurrentDomain.BaseDirectory, Path.GetFileNameWithoutExtension(filename) + id + Path.GetExtension(filename));
Config.Set("transaction-log", filename);
}
Config.Set("api-handler", nameof(EmptyApiHandler));
Config.Set("alpha-handler", nameof(OptimizerAlphaHandler));
Config.Set("backtesting.result-handler", nameof(OptimizerResultHandler));
Composer.Instance.Reset();
//todo: instance logging
//var logFileName = "log" + DateTime.Now.ToString("yyyyMMddssfffffff") + "_" + id + ".txt";
Log.LogHandler = LogSingleton.Instance;
var systemHandlers = new LeanEngineSystemHandlers(
new JobQueue(),
new EmptyApiHandler(),
new QuantConnect.Messaging.Messaging(),
new LocalLeanManager());
systemHandlers.Initialize();
var map = new LocalDiskMapFileProvider();
var leanEngineAlgorithmHandlers = new LeanEngineAlgorithmHandlers(
new OptimizerResultHandler(),
new ConsoleSetupHandler(),
new FileSystemDataFeed(),
new BacktestingTransactionHandler(),
new BacktestingRealTimeHandler(),
map,
new LocalDiskFactorFileProvider(map),
new DefaultDataProvider(),
new OptimizerAlphaHandler());
_resultsHandler = (OptimizerResultHandler)leanEngineAlgorithmHandlers.Results;
var job = (BacktestNodePacket)systemHandlers.JobQueue.NextJob(out var algorithmPath);
//mark job with id. Is set on algorithm in OptimizerAlphaHandler
job.BacktestId = id;
try
{
var algorithmManager = new AlgorithmManager(false);
systemHandlers.LeanManager.Initialize(systemHandlers, leanEngineAlgorithmHandlers, job, algorithmManager);
var engine = new Engine(systemHandlers, leanEngineAlgorithmHandlers, false);
engine.Run(job, algorithmManager, algorithmPath);
}
finally
{
// clean up resources
systemHandlers.Dispose();
leanEngineAlgorithmHandlers.Dispose();
}
}