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 QuantConnect.Interfaces;
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using System.Runtime.CompilerServices;
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namespace QuantConnect.Util
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{
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/// <summary>
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/// Helper class to track algorithm performance
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/// </summary>
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public class PerformanceTrackingTool
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{
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private Series _onDataSeries;
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private Series _dataSubscriptionSeries;
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private Series _scheduleSeries;
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private Series _selectionSeries;
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private Series _sliceCreationSeries;
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private Series _wallTimeSeries;
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private Series _securityUpdatesSeries;
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private Series _consolidatorsSeries;
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private Series _transactionSeries;
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private Series _splitsDividendsDelistingSeries;
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private Series _activeSecuritiesCount;
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private Series _consumedDataPointsCount;
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private Series _consumedHistoryDataPointsCount;
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private Series _cpuUsage;
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private Series _managedRamUsage;
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private Series _totalRamUsage;
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private PerformanceTimer _onData;
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private PerformanceTimer _dataSubscription;
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private PerformanceTimer _schedule;
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private PerformanceTimer _selection;
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private PerformanceTimer _securityUpdates;
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private PerformanceTimer _sliceCreation;
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private PerformanceTimer _consolidators;
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private PerformanceTimer _transactions;
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private PerformanceTimer _splitsDividendsDelisting;
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private bool _sampleEnabled;
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private IAlgorithm _algorithm;
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private long _previousDps;
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private long _previousHistoryDps;
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private DateTime _startWallTime;
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private DateTime _nextSampleAlgoTime;
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private DateTime _previousSampleAlgoTime;
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private DateTime _previousSampleWallTime;
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/// <summary>
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/// Gets the number of data points processed per second
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/// </summary>
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public long DataPoints { get; private set; }
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/// <summary>
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/// Gets the number of data points of algorithm history provider
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/// </summary>
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public int HistoryDataPoints => _algorithm?.HistoryProvider?.DataPointCount ?? 0;
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public void Initialize(IAlgorithm algorithm)
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{
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_algorithm = algorithm;
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_sampleEnabled = algorithm.Settings.PerformanceSamplePeriod > TimeSpan.Zero;
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if (_sampleEnabled)
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{
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_onData = new();
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_dataSubscription = new();
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_schedule = new();
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_selection = new();
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_sliceCreation = new();
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_consolidators = new();
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_securityUpdates = new();
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_transactions = new();
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_splitsDividendsDelisting = new();
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var chart = new Chart("Performance");
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_onDataSeries = new Series(PerformanceTarget.OnData.ToString(), unit: "Δ");
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_dataSubscriptionSeries = new Series(PerformanceTarget.Subscriptions.ToString(), unit: "Δ");
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_scheduleSeries = new Series(PerformanceTarget.Schedule.ToString(), unit: "Δ");
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_selectionSeries = new Series(PerformanceTarget.Selection.ToString(), unit: "Δ");
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_sliceCreationSeries = new Series(PerformanceTarget.Slice.ToString(), unit: "Δ");
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_consolidatorsSeries = new Series(PerformanceTarget.Consolidators.ToString(), unit: "Δ");
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_securityUpdatesSeries = new Series(PerformanceTarget.Securities.ToString(), unit: "Δ");
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_transactionSeries = new Series(PerformanceTarget.Transactions.ToString(), unit: "Δ");
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_splitsDividendsDelistingSeries = new Series(PerformanceTarget.SplitsDividendsDelisting.ToString(), unit: "Δ");
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_wallTimeSeries = new Series("WallTime", unit: "Δ");
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_activeSecuritiesCount = new Series("ActiveSecurities", unit: "#");
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_consumedDataPointsCount = new Series("DataPoints", SeriesType.Bar, 1, unit: "#");
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_consumedHistoryDataPointsCount = new Series("HistoryDataPoints", SeriesType.Bar, 1, unit: "#");
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_cpuUsage = new Series("CPU", unit: "%");
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_managedRamUsage = new Series("ManagedRAM", unit: string.Empty);
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_totalRamUsage = new Series("TotalRAM", unit: string.Empty);
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chart.AddSeries(_cpuUsage);
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chart.AddSeries(_managedRamUsage);
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chart.AddSeries(_totalRamUsage);
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chart.AddSeries(_onDataSeries);
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chart.AddSeries(_consolidatorsSeries);
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chart.AddSeries(_dataSubscriptionSeries);
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chart.AddSeries(_scheduleSeries);
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chart.AddSeries(_wallTimeSeries);
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chart.AddSeries(_securityUpdatesSeries);
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chart.AddSeries(_selectionSeries);
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chart.AddSeries(_sliceCreationSeries);
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chart.AddSeries(_activeSecuritiesCount);
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chart.AddSeries(_consumedDataPointsCount);
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chart.AddSeries(_consumedHistoryDataPointsCount);
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chart.AddSeries(_transactionSeries);
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chart.AddSeries(_splitsDividendsDelistingSeries);
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algorithm.AddChart(chart);
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_previousSampleWallTime = _startWallTime = DateTime.UtcNow;
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_previousSampleAlgoTime = algorithm.UtcTime;
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_nextSampleAlgoTime = _previousSampleAlgoTime + _algorithm.Settings.PerformanceSamplePeriod;
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}
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void Sample(int dataPointCount, DateTime utcAlgoTime)
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{
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DataPoints += dataPointCount;
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if (!_sampleEnabled)
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{
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return;
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}
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if (utcAlgoTime >= _nextSampleAlgoTime)
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{
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var nowUtc = DateTime.UtcNow;
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// these share the same unit, real wall time
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_onDataSeries.AddPoint(utcAlgoTime, _onData.GetAndReset());
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_dataSubscriptionSeries.AddPoint(utcAlgoTime, _dataSubscription.GetAndReset());
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_scheduleSeries.AddPoint(utcAlgoTime, _schedule.GetAndReset());
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_selectionSeries.AddPoint(utcAlgoTime, _selection.GetAndReset());
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_sliceCreationSeries.AddPoint(utcAlgoTime, _sliceCreation.GetAndReset());
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_consolidatorsSeries.AddPoint(utcAlgoTime, _consolidators.GetAndReset());
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_securityUpdatesSeries.AddPoint(utcAlgoTime, _securityUpdates.GetAndReset());
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_transactionSeries.AddPoint(utcAlgoTime, _transactions.GetAndReset());
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_splitsDividendsDelistingSeries.AddPoint(utcAlgoTime, _splitsDividendsDelisting.GetAndReset());
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_wallTimeSeries.AddPoint(utcAlgoTime, (decimal)Math.Round((nowUtc - _previousSampleWallTime).TotalSeconds, 2));
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_activeSecuritiesCount.AddPoint(utcAlgoTime, _algorithm.UniverseManager.ActiveSecurities.Count);
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_consumedDataPointsCount.AddPoint(utcAlgoTime, DataPoints - _previousDps);
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_consumedHistoryDataPointsCount.AddPoint(utcAlgoTime, HistoryDataPoints - _previousHistoryDps);
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_cpuUsage.AddPoint(utcAlgoTime, (int)OS.CpuUsage);
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_managedRamUsage.AddPoint(utcAlgoTime, OS.TotalPhysicalMemoryUsed);
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_totalRamUsage.AddPoint(utcAlgoTime, OS.ApplicationMemoryUsed);
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_previousHistoryDps = HistoryDataPoints;
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_previousDps = DataPoints;
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_previousSampleWallTime = nowUtc;
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_nextSampleAlgoTime = utcAlgoTime + _algorithm.Settings.PerformanceSamplePeriod;
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}
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void Start(PerformanceTarget target)
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{
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if (!_sampleEnabled)
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{
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return;
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}
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Get(target).Start();
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void Stop(PerformanceTarget target)
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{
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if (!_sampleEnabled)
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{
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return;
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}
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Get(target).Stop();
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}
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public void Shutdown()
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{
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if (!_sampleEnabled)
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{
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return;
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}
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var endTime = DateTime.UtcNow;
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var message = $"Dps {DataPoints}. HistoryDps {HistoryDataPoints}." +
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$" TotalRuntime: {(endTime - _startWallTime):hh\\:mm\\:ss}." +
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$" OnData: {_onData.GetTotalTime()}s." +
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$" DataSubscription: {_dataSubscription.GetTotalTime()}s." +
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$" SliceCreation: {_sliceCreation.GetTotalTime()}s." +
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$" Selection: {_selection.GetTotalTime()}s." +
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$" Schedule: {_schedule.GetTotalTime()}s." +
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$" Consolidators: {_consolidators.GetTotalTime()}s." +
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$" Securities: {_securityUpdates.GetTotalTime()}s." +
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$" Transactions: {_transactions.GetTotalTime()}s." +
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$" SplitsDividendsDelisting: {_splitsDividendsDelisting.GetTotalTime()}s." +
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$" ActiveSecurities: {_algorithm.UniverseManager.ActiveSecurities.Count}";
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Logging.Log.Trace($"PerformanceTrackingTool.Summary(): {message}");
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_algorithm.Debug(message);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private PerformanceTimer Get(PerformanceTarget target)
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{
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switch (target)
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{
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case PerformanceTarget.Subscriptions:
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return _dataSubscription;
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case PerformanceTarget.Slice:
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return _sliceCreation;
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case PerformanceTarget.Selection:
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return _selection;
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case PerformanceTarget.Schedule:
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return _schedule;
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case PerformanceTarget.OnData:
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return _onData;
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case PerformanceTarget.Consolidators:
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return _consolidators;
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case PerformanceTarget.Securities:
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return _securityUpdates;
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case PerformanceTarget.Transactions:
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return _transactions;
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case PerformanceTarget.SplitsDividendsDelisting:
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return _splitsDividendsDelisting;
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default:
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throw new ArgumentException(nameof(target));
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}
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}
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}
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public enum PerformanceTarget
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{
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Selection,
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Subscriptions,
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Slice,
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OnData,
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Schedule,
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Consolidators,
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Securities,
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Transactions,
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SplitsDividendsDelisting,
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}
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}
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