chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using Newtonsoft.Json;
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using QuantConnect.Orders;
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using QuantConnect.Logging;
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using QuantConnect.Statistics;
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using System.Collections.Generic;
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namespace QuantConnect.Packets
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{
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/// <summary>
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/// Backtest result packet: send backtest information to GUI for user consumption.
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/// </summary>
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public class BacktestResultPacket : Packet
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{
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/// <summary>
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/// User Id placing this task
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/// </summary>
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public int UserId { get; set; }
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/// <summary>
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/// Project Id of the this task.
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/// </summary>
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public int ProjectId { get; set; }
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/// <summary>
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/// User Session Id
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/// </summary>
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public string SessionId { get; set; } = string.Empty;
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/// <summary>
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/// BacktestId for this result packet
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/// </summary>
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public string BacktestId { get; set; } = string.Empty;
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/// <summary>
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/// OptimizationId for this result packet if any
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/// </summary>
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public string OptimizationId { get; set; }
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/// <summary>
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/// Compile Id for the algorithm which generated this result packet.
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/// </summary>
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public string CompileId { get; set; } = string.Empty;
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/// <summary>
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/// Start of the backtest period as defined in Initialize() method.
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/// </summary>
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public DateTime PeriodStart { get; set; }
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/// <summary>
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/// End of the backtest period as defined in the Initialize() method.
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/// </summary>
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public DateTime PeriodFinish { get; set; }
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/// <summary>
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/// DateTime (EST) the user requested this backtest.
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/// </summary>
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public DateTime DateRequested { get; set; }
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/// <summary>
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/// DateTime (EST) when the backtest was completed.
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/// </summary>
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public DateTime DateFinished { get; set; }
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/// <summary>
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/// Progress of the backtest as a percentage from 0-1 based on the days lapsed from start-finish.
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/// </summary>
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public decimal Progress { get; set; }
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/// <summary>
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/// Name of this backtest.
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/// </summary>
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public string Name { get; set; } = string.Empty;
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/// <summary>
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/// Result data object for this backtest
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/// </summary>
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public BacktestResult Results { get; set; } = new ();
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/// <summary>
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/// Processing time of the algorithm (from moment the algorithm arrived on the algorithm node)
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/// </summary>
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public double ProcessingTime { get; set; }
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/// <summary>
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/// Estimated number of tradeable days in the backtest based on the start and end date or the backtest
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/// </summary>
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public int TradeableDates { get; set; }
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/// <summary>
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/// Default constructor for JSON Serialization
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/// </summary>
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public BacktestResultPacket()
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: base(PacketType.BacktestResult)
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{
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PeriodStart = PeriodFinish = DateRequested = DateFinished = DateTime.UtcNow;
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}
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/// <summary>
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/// Compose the packet from a JSON string:
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/// </summary>
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public BacktestResultPacket(string json)
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: base (PacketType.BacktestResult)
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{
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try
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{
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var packet = JsonConvert.DeserializeObject<BacktestResultPacket>(json, new JsonSerializerSettings
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{
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TypeNameHandling = TypeNameHandling.Auto
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});
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CompileId = packet.CompileId;
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Channel = packet.Channel;
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PeriodFinish = packet.PeriodFinish;
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PeriodStart = packet.PeriodStart;
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Progress = packet.Progress;
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SessionId = packet.SessionId;
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BacktestId = packet.BacktestId;
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Type = packet.Type;
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UserId = packet.UserId;
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DateFinished = packet.DateFinished;
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DateRequested = packet.DateRequested;
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Name = packet.Name;
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ProjectId = packet.ProjectId;
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Results = packet.Results;
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ProcessingTime = packet.ProcessingTime;
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TradeableDates = packet.TradeableDates;
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OptimizationId = packet.OptimizationId;
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}
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catch (Exception err)
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{
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Log.Trace($"BacktestResultPacket(): Error converting json: {err}");
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}
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}
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/// <summary>
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/// Compose result data packet - with tradable dates from the backtest job task and the partial result packet.
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/// </summary>
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/// <param name="job">Job that started this request</param>
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/// <param name="results">Results class for the Backtest job</param>
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/// <param name="endDate">The algorithms backtest end date</param>
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/// <param name="startDate">The algorithms backtest start date</param>
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/// <param name="progress">Progress of the packet. For the packet we assume progess of 100%.</param>
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public BacktestResultPacket(BacktestNodePacket job, BacktestResult results, DateTime endDate, DateTime startDate, decimal progress = 1m)
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: this()
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{
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try
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{
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Progress = Math.Round(progress, 3);
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SessionId = job.SessionId;
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PeriodFinish = endDate;
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PeriodStart = startDate;
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CompileId = job.CompileId;
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Channel = job.Channel;
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BacktestId = job.BacktestId;
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OptimizationId = job.OptimizationId;
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Results = results;
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Name = job.Name;
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UserId = job.UserId;
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ProjectId = job.ProjectId;
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SessionId = job.SessionId;
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TradeableDates = job.TradeableDates;
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}
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catch (Exception err) {
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Log.Error(err);
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}
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}
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/// <summary>
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/// Creates an empty result packet, useful when the algorithm fails to initialize
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/// </summary>
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/// <param name="job">The associated job packet</param>
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/// <returns>An empty result packet</returns>
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public static BacktestResultPacket CreateEmpty(BacktestNodePacket job)
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{
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return new BacktestResultPacket(job, new BacktestResult(new BacktestResultParameters(
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new Dictionary<string, Chart>(), new Dictionary<int, Order>(), new Dictionary<DateTime, decimal>(),
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new Dictionary<string, string>(), new SortedDictionary<string, string>(), new Dictionary<string, AlgorithmPerformance>(),
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new List<OrderEvent>(), new AlgorithmPerformance(), new AlgorithmConfiguration(), new Dictionary<string, string>()
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)), DateTime.UtcNow, DateTime.UtcNow);
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}
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} // End Queue Packet:
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/// <summary>
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/// Backtest results object class - result specific items from the packet.
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/// </summary>
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public class BacktestResult : Result
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{
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/// <summary>
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/// Rolling window detailed statistics.
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/// </summary>
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public Dictionary<string, AlgorithmPerformance> RollingWindow { get; set; } = new Dictionary<string, AlgorithmPerformance>();
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/// <summary>
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/// Default Constructor
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/// </summary>
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public BacktestResult()
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{
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}
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/// <summary>
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/// Constructor for the result class using dictionary objects.
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/// </summary>
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public BacktestResult(BacktestResultParameters parameters) : base(parameters)
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{
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RollingWindow = parameters.RollingWindow;
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}
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}
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} // End of Namespace:
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