/// <summary>
/// Initializes a new instance of the <see cref="PortfolioManager"/> class for running a live trading instance.
/// </summary>
/// <param name="portfolioImplementations">The portfolio implementations.</param>
/// <param name="livetrading">The livetrading.</param>
public PortfolioManager(PortfolioImplementations portfolioImplementations, LiveTradingMessage livetrading)
: this(portfolioImplementations)
{
//Set initial message
_initialMessageInstance = livetrading;
//Since this is a live trading request
RunMode = RunMode.LiveTrading;
//World clock is current time
var clock = new WorldClock(() => DateTime.UtcNow);
//Get additional information
if (!Enum.TryParse(livetrading.AccountType, out AccountType accounttype))
{
throw new Exception($"Cannot initialize backtest account type {livetrading.AccountType}");
}
if (!Enum.TryParse(livetrading.BrokerType, out BrokerType brokertype))
{
throw new Exception($"Cannot initialize backtest broker type {livetrading.BrokerType}");
}
if (!Enum.TryParse(livetrading.BaseCurrency, out CurrencyType basecurrency))
{
throw new Exception($"Cannot initialize backtest base currency type {livetrading.BaseCurrency}");
}
if (!Enum.TryParse(livetrading.DisplayCurrency, out CurrencyType displaycurrency))
{
throw new Exception($"Cannot initialize backtest base currency type {livetrading.DisplayCurrency}");
}
//Get latest currency rates, so we are up to date (trough forced reload)
_log.Debug($"Initializing currency implementation: {PortfolioImplementations.Currency.GetType().FullName}");
Config.LoadConfigFile <CurrencyRatesConfig[]>(Config.GlobalConfig.CurrencyRatesConfigFile, true);
PortfolioImplementations.Currency.Initialize(clock, true);
//Get broker model
var brokermodel = BrokerModelFactory.GetBroker(accounttype, brokertype);
//Create portfolio
_portfolio = CreatePortfolio(livetrading.PortfolioId, livetrading.AccountId, brokermodel,
livetrading.Leverage, basecurrency, displaycurrency, clock,
livetrading.ExtendedMarketHours);
//Set initial fund message
_initialFundMessage = livetrading.QuantFund;
}
/// <summary>
/// Initialize message queue instance
/// </summary>
public void Initialize()
{
//Check if assembly exists
if (!TryConvertAssemblyToBase64(Config.PortfolioConfig.Assembly, out string assembly))
{
_log.Error($"Cannot derive quant fund from base64 encoded variant, please check input");
return;
}
//Get message instance based on config
if (Config.GlobalConfig.Mode == "Backtester")
{
//Check if quant funds are defined in config
if (Config.PortfolioConfig.QuantFunds.Length == 0)
{
_log.Error($"No quant funds defined in portfolio config, cannot initiate backtest");
return;
}
//Set initiating message
SimulationMessage backtestmessage = new SimulationMessage
{
UniqueId = Guid.NewGuid().ToString(),
AccountType = Config.PortfolioConfig.AccountType,
BaseCurrency = Config.PortfolioConfig.BaseCurrency,
BrokerType = Config.PortfolioConfig.BrokerType,
Leverage = Config.PortfolioConfig.Leverage,
MessageType = MessageType.Backtest,
IsResult = false,
PortfolioId = Guid.NewGuid().ToString(),
SendUtc = DateTime.UtcNow,
StartDateTime = Time.FromUnixTime(Config.PortfolioConfig.StartDateUtc),
EndDateTime = Time.FromUnixTime(Config.PortfolioConfig.EndDateUtc),
FrameworkVersion = Framework.CurrentVersion,
ExtendedMarketHours = Config.PortfolioConfig.ExtendedMarketHours
};
//Set fund message
backtestmessage.QuantFund = CreateFund(Config.PortfolioConfig.QuantFunds[0], assembly);
//Add to known messages
messages.Add(backtestmessage);
}
else if (Config.GlobalConfig.Mode == "LiveTrading")
{
//Create message
var livetradingmessage = new LiveTradingMessage
{
AccountId = "",
AccountType = Config.PortfolioConfig.AccountType,
QuantFund = CreateFund(Config.PortfolioConfig.QuantFunds[0], assembly),
UniqueId = Guid.NewGuid().ToString(),
MessageType = MessageType.LiveTrading,
SendUtc = DateTime.UtcNow,
FrameworkVersion = Framework.CurrentVersion,
IsResult = false,
BaseCurrency = Config.PortfolioConfig.BaseCurrency,
BrokerType = Config.PortfolioConfig.BrokerType,
ExtendedMarketHours = Config.PortfolioConfig.ExtendedMarketHours,
Leverage = Config.PortfolioConfig.Leverage,
PortfolioId = Guid.NewGuid().ToString(),
DisplayCurrency = Config.PortfolioConfig.DisplayCurrency,
ResultOk = false,
ResultMessage = string.Empty
};
//Add to known messages
messages.Add(livetradingmessage);
}
else
{
_log.Error($"Could not initialize local message queue, no input found in global config");
}
}
