/// <summary>
/// Initializes this alpha handler to accept alphas from the specified algorithm
/// </summary>
/// <param name="job">The algorithm job</param>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="messagingHandler">Handler used for sending alphas</param>
/// <param name="api">Api instance</param>
public virtual void Initialize(AlgorithmNodePacket job, IAlgorithm algorithm, IMessagingHandler messagingHandler, IApi api)
{
// initializing these properties just in case, doens't hurt to have them populated
Job = job;
Algorithm = algorithm;
_messagingHandler = messagingHandler;
_isNotFrameworkAlgorithm = !algorithm.IsFrameworkAlgorithm;
if (_isNotFrameworkAlgorithm)
{
return;
}
_securityValuesProvider = new AlgorithmSecurityValuesProvider(algorithm);
AlphaManager = CreateAlphaManager();
var statistics = new StatisticsAlphaManagerExtension();
RuntimeStatistics = statistics.Statistics;
AlphaManager.AddExtension(statistics);
_charting = new ChartingAlphaManagerExtension(algorithm, statistics);
AlphaManager.AddExtension(_charting);
// when alpha is generated, take snapshot of securities and place in queue for alpha manager to process on alpha thread
algorithm.AlphasGenerated += (algo, collection) => _alphaQueue.Enqueue(new AlphaQueueItem(collection.DateTimeUtc, CreateSecurityValuesSnapshot(), collection));
}
/// <summary>
/// Invoked after the algorithm's Initialize method was called allowing the alpha handler to check
/// other things, such as sampling period for backtests
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
public void OnAfterAlgorithmInitialized(IAlgorithm algorithm)
{
if (_isNotFrameworkAlgorithm)
{
return;
}
// send date ranges to extensions for initialization -- this data wasn't available when the handler was
// initialzied, so we need to invoke it here
AlphaManager.InitializeExtensionsForRange(algorithm.StartDate, algorithm.EndDate, algorithm.UtcTime);
}
public override void Execute()
{
if (NestSelected.Used)
{
return;
}
Cursor.Nest.AssignShape(NestSelected.Shape);
Cursor.Nest.AssignFilling(NestSelected.Filling);
AlphaManager.ForceHideCells(Cursor.Nest.Elements);
AlphaManager.ForceHighlightCells(Cursor.Nest.Elements, true);
CursorTr.position = SelectedTr.position;
AlphaManager.ForceHideCells(NestSelected.Elements);
Cursor.NestSelected = NestSelected;
Executor.ExecCoroutine(ChasePointer());
}
//[Inject]
//public ValidateFieldSignal ValidateSignal { get; private set; }
public override void Execute()
{
Retain();
Dictionary <CellDescriptor, CellFilling> cellsToFill = new Dictionary <CellDescriptor, CellFilling>();
List <Vector2> coords = new List <Vector2>();
foreach (CellDescriptor cell in Cursor.Nest.Elements)
{
if (!cell.Enabled)
{
continue;
}
int x, y;
CellDescriptor nearestCell = GetNearestCell(cell, out x, out y);
if (cellsToFill.ContainsKey(nearestCell) || nearestCell.Enabled || !nearestCell.IsUnderCell(cell))
{
Revoke();
return;
}
cellsToFill.Add(nearestCell, cell.Filling);
coords.Add(new Vector2(x, y));
}
Cursor.NestSelected.Used = true;
AlphaManager.ForceHideCells(Cursor.Nest.Elements);
int i = 0;
foreach (CellDescriptor cell in cellsToFill.Keys)
{
Model.Cells[(int)coords[i].x, (int)coords[i].y].Filling =
cell.Filling = cellsToFill[cell];
Model.Cells[(int)coords[i].x, (int)coords[i].y].Filled =
cell.Enabled = true;
i++;
}
AlphaManager.HighlightCells(cellsToFill.Keys, false);
foreach (NestDescriptor nest in NestGrid.Elements)
{
if (!nest.Used)
{
Release();
//ValidateSignal.Dispatch();
return;
}
}
OverSignal.Dispatch();
//ValidateSignal.Dispatch();
Release();
}
/// <summary>
/// Initializes this alpha handler to accept alphas from the specified algorithm
/// </summary>
/// <param name="job">The algorithm job</param>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="messagingHandler">Handler used for sending alphas</param>
/// <param name="api">Api instance</param>
public virtual void Initialize(AlgorithmNodePacket job, IAlgorithm algorithm, IMessagingHandler messagingHandler, IApi api)
{
// initializing these properties just in case, doens't hurt to have them populated
Job = job;
Algorithm = algorithm;
_messagingHandler = messagingHandler;
_isNotFrameworkAlgorithm = !algorithm.IsFrameworkAlgorithm;
if (_isNotFrameworkAlgorithm)
{
return;
}
AlphaManager = CreateAlphaManager();
RuntimeStatistics = new AlphaRuntimeStatistics();
// wire events to update runtime statistics at key moments in alpha life cycle (new/period end/analysis end)
AlphaManager.AlphaReceived += (sender, context) => StatisticsUpdater.OnAlphaReceived(RuntimeStatistics, context);
AlphaManager.AlphaClosed += (sender, context) => StatisticsUpdater.OnAlphaClosed(RuntimeStatistics, context);
AlphaManager.AlphaAnalysisCompleted += (sender, context) => StatisticsUpdater.OnAlphaAnalysisCompleted(RuntimeStatistics, context);
algorithm.AlphasGenerated += (algo, collection) => OnAlphasGenerated(collection);
// chart for average scores over sample period
var scoreChart = new Chart("Alpha");
foreach (var scoreType in ScoreTypes)
{
var series = new Series($"{scoreType} Score", SeriesType.Line, "%");
scoreChart.AddSeries(series);
_alphaScoreSeriesByScoreType[scoreType] = series;
}
// chart for prediction count over sample period
var predictionCount = new Chart("Alpha Count");
predictionCount.AddSeries(_totalAlphaCountSeries);
Algorithm.AddChart(scoreChart);
Algorithm.AddChart(predictionCount);
Algorithm.AddChart(_totalAlphaCountPerSymbolChart);
// removing this for now, not sure best way to display this data
//Algorithm.AddChart(_dailyAlphaCountPerSymbolChart);
}
/// <summary>
/// Thread entry point for asynchronous processing
/// </summary>
public virtual void Run()
{
if (_isNotFrameworkAlgorithm)
{
return;
}
IsActive = true;
_cancellationTokenSource = new CancellationTokenSource();
// run main loop until canceled, will clean out work queues separately
while (!_cancellationTokenSource.IsCancellationRequested)
{
try
{
ProcessAsynchronousEvents();
}
catch (Exception err)
{
Log.Error(err);
throw;
}
Thread.Sleep(1);
}
// finish alpha scoring analysis
_alphaQueue.ProcessUntilEmpty(item => AlphaManager.Step(item.FrontierTimeUtc, item.SecurityValues, item.GeneratedAlphas));
// send final alpha scoring updates before we exit
var alphas = AlphaManager.GetUpdatedContexts().Select(context => context.Alpha).ToList();
_messages.Enqueue(new AlphaResultPacket(AlgorithmId, Job.UserId, alphas));
// finish sending packets
_messages.ProcessUntilEmpty(packet => _messagingHandler.Send(packet));
// persist alphas at exit
StoreAlphas();
Log.Trace("DefaultAlphaHandler.Run(): Ending Thread...");
IsActive = false;
}
/// <summary>
/// Performs asynchronous processing, including broadcasting of alphas to messaging handler
/// </summary>
protected void ProcessAsynchronousEvents()
{
// step the alpha manager forward in time
AlphaQueueItem item;
while (_alphaQueue.TryDequeue(out item))
{
AlphaManager.Step(item.FrontierTimeUtc, item.SecurityValues, item.GeneratedAlphas);
}
// send alpha upate messages
Packet packet;
while (_messages.TryDequeue(out packet))
{
_messagingHandler.Send(packet);
}
// persist generated alphas to storage
if (DateTime.UtcNow > _nextPersistenceUpdate)
{
StoreAlphas();
_nextPersistenceUpdate = DateTime.UtcNow + PersistenceUpdateInterval;
}
// push updated alphas through messaging handler
if (DateTime.UtcNow > _nextMessagingUpdate)
{
var alphas = AlphaManager.GetUpdatedContexts().Select(context => context.Alpha).ToList();
if (alphas.Count > 0)
{
_messages.Enqueue(new AlphaResultPacket
{
AlgorithmId = AlgorithmId,
Alphas = alphas
});
}
_nextMessagingUpdate = DateTime.UtcNow + MessagingUpdateInterval;
}
}
void Revoke()
{
AlphaManager.ForceHideCells(Cursor.Nest.Elements);
AlphaManager.ForceHighlightCells(Cursor.NestSelected.Elements, true);
Fail();
}
public void Init()
{
_eventsManager = new GameOverMenuEventsManager();
_alphaManager = new AlphaManager(gameObject);
}
