/// <summary>
/// Setup the algorithm cash, dates and data subscriptions as desired.
/// </summary>
/// <param name="parameters">The parameters object to use</param>
/// <returns>Boolean true on successfully initializing the algorithm</returns>
public bool Setup(SetupHandlerParameters parameters)
{
var algorithm = parameters.Algorithm;
var job = parameters.AlgorithmNodePacket as BacktestNodePacket;
if (job == null)
{
throw new ArgumentException("Expected BacktestNodePacket but received " + parameters.AlgorithmNodePacket.GetType().Name);
}
Log.Trace(string.Format("BacktestingSetupHandler.Setup(): Setting up job: Plan: {0}, UID: {1}, PID: {2}, Version: {3}, Source: {4}", job.UserPlan, job.UserId, job.ProjectId, job.Version, job.RequestSource));
if (algorithm == null)
{
Errors.Add(new AlgorithmSetupException("Could not create instance of algorithm"));
return(false);
}
algorithm.Name = job.GetAlgorithmName();
//Make sure the algorithm start date ok.
if (job.PeriodStart == default(DateTime))
{
Errors.Add(new AlgorithmSetupException("Algorithm start date was never set"));
return(false);
}
var controls = job.Controls;
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromMinutes(5), () =>
{
try
{
parameters.ResultHandler.SendStatusUpdate(AlgorithmStatus.Initializing, "Initializing algorithm...");
//Set our parameters
algorithm.SetParameters(job.Parameters);
//Algorithm is backtesting, not live:
algorithm.SetLiveMode(false);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(parameters.RealTimeHandler);
// set the option chain provider
algorithm.SetOptionChainProvider(new CachingOptionChainProvider(new BacktestingOptionChainProvider()));
// set the future chain provider
algorithm.SetFutureChainProvider(new CachingFutureChainProvider(new BacktestingFutureChainProvider()));
//Initialise the algorithm, get the required data:
algorithm.Initialize();
// finalize initialization
algorithm.PostInitialize();
}
catch (Exception err)
{
Log.Error(err);
Errors.Add(new AlgorithmSetupException("During the algorithm initialization, the following exception has occurred: ", err));
}
}, controls.RamAllocation,
sleepIntervalMillis: 50); // entire system is waiting on this, so be as fast as possible
//Before continuing, detect if this is ready:
if (!initializeComplete)
{
return(false);
}
// TODO: Refactor the BacktestResultHandler to use algorithm not job to set times
job.PeriodStart = algorithm.StartDate;
job.PeriodFinish = algorithm.EndDate;
//Calculate the max runtime for the strategy
_maxRuntime = GetMaximumRuntime(job.PeriodStart, job.PeriodFinish, algorithm.SubscriptionManager, algorithm.UniverseManager, parameters.AlgorithmNodePacket.Controls);
// Python takes forever; lets give it 10x longer to finish.
if (job.Language == Language.Python)
{
_maxRuntime = _maxRuntime.Add(TimeSpan.FromSeconds(_maxRuntime.TotalSeconds * 9));
}
BaseSetupHandler.SetupCurrencyConversions(algorithm, parameters.UniverseSelection);
StartingPortfolioValue = algorithm.Portfolio.Cash;
//Max Orders: 10k per backtest:
if (job.UserPlan == UserPlan.Free)
{
_maxOrders = 10000;
}
else
{
_maxOrders = int.MaxValue;
_maxRuntime += _maxRuntime;
}
//Set back to the algorithm,
algorithm.SetMaximumOrders(_maxOrders);
//Starting date of the algorithm:
_startingDate = job.PeriodStart;
//Put into log for debugging:
Log.Trace("SetUp Backtesting: User: "******" ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
Log.Trace("Dates: Start: " + job.PeriodStart.ToShortDateString() + " End: " + job.PeriodFinish.ToShortDateString() + " Cash: " + StartingPortfolioValue.ToString("C"));
if (Errors.Count > 0)
{
initializeComplete = false;
}
return(initializeComplete);
}
/// <summary>
/// Setup the algorithm cash, dates and data subscriptions as desired.
/// </summary>
/// <param name="parameters">The parameters object to use</param>
/// <returns>Boolean true on successfully initializing the algorithm</returns>
public bool Setup(SetupHandlerParameters parameters)
{
var algorithm = parameters.Algorithm;
var job = parameters.AlgorithmNodePacket as BacktestNodePacket;
if (job == null)
{
throw new ArgumentException("Expected BacktestNodePacket but received " + parameters.AlgorithmNodePacket.GetType().Name);
}
Log.Trace($"BacktestingSetupHandler.Setup(): Setting up job: Plan: {job.UserPlan}, UID: {job.UserId.ToStringInvariant()}, " +
$"PID: {job.ProjectId.ToStringInvariant()}, Version: {job.Version}, Source: {job.RequestSource}"
);
if (algorithm == null)
{
Errors.Add(new AlgorithmSetupException("Could not create instance of algorithm"));
return(false);
}
algorithm.Name = job.GetAlgorithmName();
//Make sure the algorithm start date ok.
if (job.PeriodStart == default(DateTime))
{
Errors.Add(new AlgorithmSetupException("Algorithm start date was never set"));
return(false);
}
var controls = job.Controls;
var isolator = new Isolator();
var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromMinutes(5), () =>
{
try
{
parameters.ResultHandler.SendStatusUpdate(AlgorithmStatus.Initializing, "Initializing algorithm...");
//Set our parameters
algorithm.SetParameters(job.Parameters);
//Algorithm is backtesting, not live:
algorithm.SetLiveMode(false);
//Set the source impl for the event scheduling
algorithm.Schedule.SetEventSchedule(parameters.RealTimeHandler);
// set the option chain provider
algorithm.SetOptionChainProvider(new CachingOptionChainProvider(new BacktestingOptionChainProvider()));
// set the future chain provider
algorithm.SetFutureChainProvider(new CachingFutureChainProvider(new BacktestingFutureChainProvider()));
// set the object store
algorithm.SetObjectStore(parameters.ObjectStore);
// before we call initialize
BaseSetupHandler.LoadBacktestJobAccountCurrency(algorithm, job);
//Initialise the algorithm, get the required data:
algorithm.Initialize();
// set start and end date if present in the job
if (job.PeriodStart.HasValue)
{
algorithm.SetStartDate(job.PeriodStart.Value);
}
if (job.PeriodFinish.HasValue)
{
algorithm.SetEndDate(job.PeriodFinish.Value);
}
// after we call initialize
BaseSetupHandler.LoadBacktestJobCashAmount(algorithm, job);
// finalize initialization
algorithm.PostInitialize();
}
catch (Exception err)
{
Log.Error(err);
Errors.Add(new AlgorithmSetupException("During the algorithm initialization, the following exception has occurred: ", err));
}
}, controls.RamAllocation,
sleepIntervalMillis: 10, // entire system is waiting on this, so be as fast as possible
workerThread: WorkerThread);
//Before continuing, detect if this is ready:
if (!initializeComplete)
{
return(false);
}
//Calculate the max runtime for the strategy
MaximumRuntime = GetMaximumRuntime(algorithm.StartDate, algorithm.EndDate, algorithm.SubscriptionManager, algorithm.UniverseManager, parameters.AlgorithmNodePacket.Controls);
// Python takes forever; lets give it 10x longer to finish.
if (job.Language == Language.Python)
{
MaximumRuntime = MaximumRuntime.Add(TimeSpan.FromSeconds(MaximumRuntime.TotalSeconds * 9));
}
BaseSetupHandler.SetupCurrencyConversions(algorithm, parameters.UniverseSelection);
StartingPortfolioValue = algorithm.Portfolio.Cash;
// we set the free portfolio value based on the initial total value and the free percentage value
algorithm.Settings.FreePortfolioValue =
algorithm.Portfolio.TotalPortfolioValue * algorithm.Settings.FreePortfolioValuePercentage;
//Max Orders: 10k per backtest:
if (job.UserPlan == UserPlan.Free)
{
MaxOrders = 10000;
}
else
{
MaxOrders = int.MaxValue;
MaximumRuntime += MaximumRuntime;
}
MaxOrders = job.Controls.BacktestingMaxOrders;
//Set back to the algorithm,
algorithm.SetMaximumOrders(MaxOrders);
//Starting date of the algorithm:
StartingDate = algorithm.StartDate;
//Put into log for debugging:
Log.Trace("SetUp Backtesting: User: "******" ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
Log.Trace($"Dates: Start: {algorithm.StartDate.ToStringInvariant("d")} " +
$"End: {algorithm.EndDate.ToStringInvariant("d")} " +
$"Cash: {StartingPortfolioValue.ToStringInvariant("C")}");
if (Errors.Count > 0)
{
initializeComplete = false;
}
return(initializeComplete);
}
