public void ClonesBaseDataDerivedTypes()
{
BaseData data = new IndicatorDataPoint(Symbols.SPY, DateTime.Now, 1m);
BaseData clone = ObjectActivator.Clone(data) as BaseData;
Assert.IsNotNull(clone);
Assert.IsInstanceOf(data.GetType(), clone);
Assert.AreEqual(data.Symbol, clone.Symbol);
Assert.AreEqual(data.Time, clone.Time);
Assert.AreEqual(data.Value, clone.Value);
data = new TradeBar(DateTime.Now, Symbols.SPY, 1m, 2m, 3m, 4m, 5);
var bar = ObjectActivator.Clone(data) as TradeBar;
Assert.IsNotNull(clone);
Assert.IsInstanceOf(data.GetType(), bar);
Assert.AreEqual(data.Symbol, bar.Symbol);
Assert.AreEqual(data.Time, bar.Time);
Assert.AreEqual(data.Value, bar.Value);
Assert.AreEqual(((TradeBar)data).Open, bar.Open);
Assert.AreEqual(((TradeBar)data).High, bar.High);
Assert.AreEqual(((TradeBar)data).Low, bar.Low);
Assert.AreEqual(((TradeBar)data).Close, bar.Close);
Assert.AreEqual(data.Price, bar.Price);
}
public void IsFasterThanRawReflection()
{
int count = 100000;
var data = new TradeBar(DateTime.Now, Symbols.SPY, 1m, 2m, 3m, 4m, 5);
var stopwatch = Stopwatch.StartNew();
for (int i = 0; i < count; i++)
{
var clone = Clone(data);
}
stopwatch.Stop();
var elapsed1 = stopwatch.Elapsed;
Console.WriteLine(elapsed1.TotalMilliseconds);
stopwatch.Reset();
stopwatch.Start();
for (int i = 0; i < count; i++)
{
var clone = ObjectActivator.Clone(data);
}
stopwatch.Stop();
var elapsed2 = stopwatch.Elapsed;
Console.WriteLine(elapsed2.TotalMilliseconds);
Assert.Less(elapsed2, elapsed1);
}
/// <summary>
/// Gets all holdings for the account
/// </summary>
/// <returns>The current holdings from the account</returns>
public override List <Holding> GetAccountHoldings()
{
var holdings = _accountHoldings.Select(x => (Holding)ObjectActivator.Clone(x.Value)).ToList();
// fire up tasks to resolve the conversion rates so we can do them in parallel
var tasks = holdings.Select(local =>
{
// we need to resolve the conversion rate for non-USD currencies
if (local.Type != SecurityType.Forex)
{
// this assumes all non-forex are us denominated, we should add the currency to 'holding'
local.ConversionRate = 1m;
return(null);
}
// if quote currency is in USD don't bother making the request
string currency = local.Symbol.Substring(3);
if (currency == "USD")
{
local.ConversionRate = 1m;
return(null);
}
// this will allow us to do this in parallel
return(Task.Factory.StartNew(() => local.ConversionRate = GetUsdConversion(currency)));
}).Where(x => x != null).ToArray();
Task.WaitAll(tasks, 5000);
return(holdings);
}
public override BaseData Clone()
{
var clone = ObjectActivator.Clone(this);
foreach (var kvp in _storage)
{
clone._storage.Add(kvp);
}
return(clone);
}
/// <summary>
/// Return a new instance clone of this object, used in fill forward
/// </summary>
/// <remarks>
/// This base implementation uses reflection to copy all public fields and properties
/// </remarks>
/// <returns>A clone of the current object</returns>
public override BaseData Clone()
{
var clone = ObjectActivator.Clone(this);
foreach (var kvp in _storage)
{
// don't forget to add the dynamic members!
clone._storage.Add(kvp);
}
return clone;
}
/// <summary>
/// Return a new instance clone of this object, used in fill forward
/// </summary>
/// <remarks>
/// This base implementation uses reflection to copy all public fields and properties
/// </remarks>
/// <returns>A clone of the current object</returns>
public virtual BaseData Clone()
{
return((BaseData)ObjectActivator.Clone((object)this));
}
public override BaseData Clone()
{
return(ObjectActivator.Clone(this) as FakeTradeBarCustom);
}
/// <summary>
/// Return a new instance clone of this object, used in fill forward
/// </summary>
/// <remarks>
/// This base implementation uses reflection to copy all public fields and properties
/// </remarks>
/// <returns>A clone of the current object</returns>
public virtual BaseData Clone()
{
return(ObjectActivator.Clone(this) as BaseData);
}
} // End Run();
/// <summary>
/// Every so often send an update to the browser with the current state of the algorithm.
/// </summary>
public void Update()
{
//Initialize:
Dictionary <int, Order> deltaOrders;
//Error checks if the algorithm & threads have not loaded yet, or are closing down.
if (_algorithm == null || _algorithm.Transactions == null || _algorithm.Transactions.Orders == null || !_algorithm.GetLocked())
{
Log.Error("LiveTradingResultHandler.Update(): Algorithm not yet initialized.");
return;
}
try
{
if (DateTime.Now > _nextUpdate)
{
//Extract the orders created since last update
OrderEvent orderEvent;
deltaOrders = new Dictionary <int, Order>();
var stopwatch = Stopwatch.StartNew();
while (_orderEvents.TryDequeue(out orderEvent) && stopwatch.ElapsedMilliseconds < 15)
{
var order = _algorithm.Transactions.GetOrderById(orderEvent.OrderId);
deltaOrders[orderEvent.OrderId] = ObjectActivator.Clone(order) as Order;
}
//For charting convert to UTC
foreach (var order in deltaOrders)
{
order.Value.Time = order.Value.Time.ToUniversalTime();
}
//Reset loop variables:
_lastOrderId = (from order in deltaOrders.Values select order.Id).DefaultIfEmpty(_lastOrderId).Max();
//Limit length of orders we pass back dynamically to avoid flooding.
//if (deltaOrders.Count > 50) deltaOrders.Clear();
//Create and send back the changes in chart since the algorithm started.
var deltaCharts = new Dictionary <string, Chart>();
lock (_chartLock)
{
//Get the updates since the last chart
foreach (var chart in _charts)
{
deltaCharts.Add(chart.Value.Name, chart.Value.GetUpdates());
}
}
//Profit loss changes, get the banner statistics, summary information on the performance for the headers.
var holdings = new Dictionary <string, Holding>();
var deltaStatistics = new Dictionary <string, string>();
var runtimeStatistics = new Dictionary <string, string>();
var serverStatistics = OS.GetServerStatistics();
// only send holdings updates when we have changes in orders, except for first time, then we want to send all
foreach (var asset in _algorithm.Securities.Values.OrderBy(x => x.Symbol))
{
holdings.Add(asset.Symbol, new Holding(asset.Holdings));
}
//Add the algorithm statistics first.
lock (_runtimeStatistics)
{
foreach (var pair in _runtimeStatistics)
{
runtimeStatistics.Add(pair.Key, pair.Value);
}
}
//Add other fixed parameters.
runtimeStatistics.Add("Unrealized:", "$" + _algorithm.Portfolio.TotalUnrealizedProfit.ToString("N2"));
runtimeStatistics.Add("Fees:", "-$" + _algorithm.Portfolio.TotalFees.ToString("N2"));
runtimeStatistics.Add("Net Profit:", "$" + _algorithm.Portfolio.TotalProfit.ToString("N2"));
runtimeStatistics.Add("Return:", ((_algorithm.Portfolio.TotalPortfolioValue - Engine.SetupHandler.StartingPortfolioValue) / Engine.SetupHandler.StartingPortfolioValue).ToString("P"));
runtimeStatistics.Add("Equity:", "$" + _algorithm.Portfolio.TotalPortfolioValue.ToString("N2"));
runtimeStatistics.Add("Holdings:", "$" + _algorithm.Portfolio.TotalHoldingsValue.ToString("N2"));
runtimeStatistics.Add("Volume:", "$" + _algorithm.Portfolio.TotalSaleVolume.ToString("N2"));
// since we're sending multiple packets, let's do it async and forget about it
// chart data can get big so let's break them up into groups
var splitPackets = SplitPackets(deltaCharts, deltaOrders, holdings, deltaStatistics, runtimeStatistics, serverStatistics);
foreach (var liveResultPacket in splitPackets)
{
Engine.Notify.Send(liveResultPacket);
}
//Send full packet to storage.
if (DateTime.Now > _nextChartsUpdate)
{
_nextChartsUpdate = DateTime.Now.AddMinutes(1);
lock (_chartLock)
{
var chartComplete = new Dictionary <string, Chart>(Charts);
var orders = new Dictionary <int, Order>(_algorithm.Transactions.Orders);
var complete = new LiveResultPacket(_job, new LiveResult(chartComplete, orders, _algorithm.Transactions.TransactionRecord, holdings, deltaStatistics, runtimeStatistics, serverStatistics));
StoreResult(complete);
}
}
// Upload the logs every 1-2 minutes; this can be a heavy operation depending on amount of live logging and should probably be done asynchronously.
if (DateTime.Now > _nextLogStoreUpdate)
{
Log.Trace("LiveTradingResultHandler.Update(): Storing log...");
lock (_logStoreLock)
{
var utc = DateTime.UtcNow;
var logs = (from log in _logStore
where log.Time >= utc.RoundDown(TimeSpan.FromHours(1))
select log).ToList();
//Override the log master to delete the old entries and prevent memory creep.
_logStore = logs;
StoreLog(logs);
}
_nextLogStoreUpdate = DateTime.Now.AddMinutes(2);
}
// Every 5 send usage statistics:
if (DateTime.Now > _nextStatisticsUpdate)
{
try
{
Engine.Api.SendStatistics(
_job.AlgorithmId,
_algorithm.Portfolio.TotalUnrealizedProfit,
_algorithm.Portfolio.TotalFees,
_algorithm.Portfolio.TotalProfit,
_algorithm.Portfolio.TotalHoldingsValue,
_algorithm.Portfolio.TotalPortfolioValue,
((_algorithm.Portfolio.TotalPortfolioValue - Engine.SetupHandler.StartingPortfolioValue) / Engine.SetupHandler.StartingPortfolioValue),
_algorithm.Portfolio.TotalSaleVolume,
_lastOrderId, 0);
}
catch (Exception err)
{
Log.Error("LiveTradingResultHandler.Update(): Error sending statistics: " + err.Message);
}
_nextStatisticsUpdate = DateTime.Now.AddMinutes(1);
}
lock (_chartLock)
{
foreach (var chart in Charts)
{
foreach (var series in chart.Value.Series)
{
// trim data that's older than 2 days
series.Value.Values =
(from v in series.Value.Values
where v.x > Time.DateTimeToUnixTimeStamp(DateTime.UtcNow.AddDays(-2))
select v).ToList();
}
}
}
//Set the new update time after we've finished processing.
// The processing can takes time depending on how large the packets are.
_nextUpdate = DateTime.Now.AddSeconds(2);
} // End Update Charts:
}
catch (Exception err)
{
Log.Error("LiveTradingResultHandler().Update(): " + err.Message, true);
}
}