private void LaunchLean()
{
Config.Set ("environment", "desktop");
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);
var _engine = new Engine (systemHandlers, algorithmHandlers, Config.GetBool ("live-mode"));
string algorithmPath;
var job = systemHandlers.JobQueue.NextJob(out algorithmPath);
_engine.Run(job, algorithmPath);
}
public void TestsFileSystemDataFeedSpeed()
{
var job = new BacktestNodePacket();
var resultHandler = new BacktestingResultHandler();
var mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var dataFileProvider = new DefaultDataFileProvider();
var algorithm = new BenchmarkTest();
var feed = new FileSystemDataFeed();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, factorFileProvider, dataFileProvider);
algorithm.Initialize();
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
feedThreadStarted.WaitOne();
var stopwatch = Stopwatch.StartNew();
var lastMonth = -1;
var count = 0;
foreach (var timeSlice in feed)
{
if (timeSlice.Time.Month != lastMonth)
{
Console.WriteLine(DateTime.Now + " - Time: " + timeSlice.Time);
lastMonth = timeSlice.Time.Month;
}
count++;
}
Console.WriteLine("Count: " + count);
stopwatch.Stop();
Console.WriteLine("Elapsed time: " + stopwatch.Elapsed);
}
/// <summary>
/// Get an instance of the data feed handler we're requesting for this work.
/// </summary>
/// <param name="algorithm">User algorithm to scan for securities</param>
/// <param name="job">Algorithm Node Packet</param>
/// <returns>Class matching IDataFeed Interface</returns>
private static IDataFeed GetDataFeedHandler(IAlgorithm algorithm, AlgorithmNodePacket job)
{
var df = default(IDataFeed);
switch (job.DataEndpoint)
{
//default:
////Backtesting:
case DataFeedEndpoint.Backtesting:
df = new BacktestingDataFeed(algorithm, (BacktestNodePacket)job);
Log.Trace("Engine.GetDataFeedHandler(): Selected Backtesting Datafeed");
break;
case DataFeedEndpoint.Database:
df = new DatabaseDataFeed(algorithm, (BacktestNodePacket)job);
Log.Trace("Engine.GetDataFeedHandler(): Selected Database Datafeed");
break;
//Operation from local files:
case DataFeedEndpoint.FileSystem:
df = new FileSystemDataFeed(algorithm, (BacktestNodePacket)job);
Log.Trace("Engine.GetDataFeedHandler(): Selected FileSystem Datafeed");
break;
//Live Trading Data Source:
case DataFeedEndpoint.LiveTrading:
var ds = Composer.Instance.GetExportedValueByTypeName<IDataQueueHandler>(Config.Get("data-queue-handler", "LiveDataQueue"));
df = new LiveTradingDataFeed(algorithm, (LiveNodePacket)job, ds);
Log.Trace("Engine.GetDataFeedHandler(): Selected LiveTrading Datafeed");
break;
}
return df;
}
/// <summary>
/// Get an instance of the data feed handler we're requesting for this work.
/// </summary>
/// <param name="algorithm">User algorithm to scan for securities</param>
/// <param name="job">Algorithm Node Packet</param>
/// <returns>Class matching IDataFeed Interface</returns>
private static IDataFeed GetDataFeedHandler(IAlgorithm algorithm, AlgorithmNodePacket job)
{
var df = default(IDataFeed);
switch (job.DataEndpoint)
{
//default:
////Backtesting:
case DataFeedEndpoint.Backtesting:
df = new BacktestingDataFeed(algorithm, (BacktestNodePacket)job);
Log.Trace("Engine.GetDataFeedHandler(): Selected Backtesting Datafeed");
break;
//Operation from local files:
case DataFeedEndpoint.FileSystem:
df = new FileSystemDataFeed(algorithm, (BacktestNodePacket)job);
Log.Trace("Engine.GetDataFeedHandler(): Selected FileSystem Datafeed");
break;
//Live Trading Data Source:
case DataFeedEndpoint.LiveTrading:
df = new PaperTradingDataFeed(algorithm, (LiveNodePacket)job);
Log.Trace("Engine.GetDataFeedHandler(): Selected LiveTrading Datafeed");
break;
case DataFeedEndpoint.Test:
var feed = new TestLiveTradingDataFeed(algorithm, (LiveNodePacket)job);
df = feed;
Log.Trace("Engine.GetDataFeedHandler(): Selected Test Datafeed at " + feed.FastForward + "x");
break;
}
return df;
}
/// <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);
//string datapath = Config.Get("data-folder");
_jobQueue = new JobQueue();
_notify = new Messaging();
_api = new Api();
_resultshandler = new OptimizationResultHandler();
//_resultshandler = new ConsoleResultHandler();
_dataFeed = new FileSystemDataFeed();
_setup = new ConsoleSetupHandler();
_realTime = new BacktestingRealTimeHandler();
_historyProvider = new SubscriptionDataReaderHistoryProvider();
_transactions = new BacktestingTransactionHandler();
Log.LogHandler = (ILogHandler)new FileLogHandler();
Log.DebuggingEnabled = false;
Log.DebuggingLevel = 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
{
//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();
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();
}
}
