chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,44 @@
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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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using System;
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namespace QuantConnect.Lean.Engine.Setup
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{
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/// <summary>
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/// Defines an exception generated in the course of invoking <see cref="ISetupHandler.Setup"/>
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/// </summary>
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public class AlgorithmSetupException : Exception
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="AlgorithmSetupException"/> class
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/// </summary>
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/// <param name="message">The error message</param>
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public AlgorithmSetupException(string message)
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: base(message)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="AlgorithmSetupException"/> class
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/// </summary>
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/// <param name="message">The error message</param>
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/// <param name="inner">The inner exception being wrapped</param>
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public AlgorithmSetupException(string message, Exception inner)
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: base(message, inner)
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{
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}
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}
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}
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@@ -0,0 +1,278 @@
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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.Util;
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using QuantConnect.Logging;
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using QuantConnect.Packets;
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using QuantConnect.Algorithm;
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using QuantConnect.Interfaces;
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using QuantConnect.Configuration;
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using System.Collections.Generic;
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using QuantConnect.AlgorithmFactory;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Brokerages.Backtesting;
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namespace QuantConnect.Lean.Engine.Setup
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{
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/// <summary>
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/// Backtesting setup handler processes the algorithm initialize method and sets up the internal state of the algorithm class.
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/// </summary>
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public class BacktestingSetupHandler : ISetupHandler
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{
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/// <summary>
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/// Get the maximum time that the initialization of an algorithm can take
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/// </summary>
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protected TimeSpan InitializationTimeOut { get; set; } = BaseSetupHandler.InitializationTimeout;
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/// <summary>
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/// Get the maximum time that the creation of an algorithm can take
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/// </summary>
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protected TimeSpan AlgorithmCreationTimeout { get; set; } = BaseSetupHandler.AlgorithmCreationTimeout;
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/// <summary>
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/// The worker thread instance the setup handler should use
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/// </summary>
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public WorkerThread WorkerThread { get; set; }
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/// <summary>
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/// Internal errors list from running the setup procedures.
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/// </summary>
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public List<Exception> Errors { get; set; }
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/// <summary>
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/// Maximum runtime of the algorithm in seconds.
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/// </summary>
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/// <remarks>Maximum runtime is a formula based on the number and resolution of symbols requested, and the days backtesting</remarks>
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public TimeSpan MaximumRuntime { get; protected set; }
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/// <summary>
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/// Starting capital according to the users initialize routine.
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/// </summary>
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/// <remarks>Set from the user code.</remarks>
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/// <seealso cref="QCAlgorithm.SetCash(decimal)"/>
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public decimal StartingPortfolioValue { get; protected set; }
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/// <summary>
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/// Start date for analysis loops to search for data.
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/// </summary>
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/// <seealso cref="QCAlgorithm.SetStartDate(DateTime)"/>
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public DateTime StartingDate { get; protected set; }
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/// <summary>
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/// Maximum number of orders for this backtest.
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/// </summary>
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/// <remarks>To stop algorithm flooding the backtesting system with hundreds of megabytes of order data we limit it to 100 per day</remarks>
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public int MaxOrders { get; protected set; }
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/// <summary>
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/// Initialize the backtest setup handler.
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/// </summary>
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public BacktestingSetupHandler()
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{
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MaximumRuntime = TimeSpan.FromSeconds(300);
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Errors = new List<Exception>();
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StartingDate = new DateTime(1998, 01, 01);
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}
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/// <summary>
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/// Create a new instance of an algorithm from a physical dll path.
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/// </summary>
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/// <param name="assemblyPath">The path to the assembly's location</param>
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/// <param name="algorithmNodePacket">Details of the task required</param>
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/// <returns>A new instance of IAlgorithm, or throws an exception if there was an error</returns>
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public virtual IAlgorithm CreateAlgorithmInstance(AlgorithmNodePacket algorithmNodePacket, string assemblyPath)
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{
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string error;
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IAlgorithm algorithm;
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var debugNode = algorithmNodePacket as BacktestNodePacket;
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var debugging = debugNode != null && debugNode.Debugging || Config.GetBool("debugging", false);
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if (debugging && !BaseSetupHandler.InitializeDebugging(algorithmNodePacket, WorkerThread))
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{
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throw new AlgorithmSetupException("Failed to initialize debugging");
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}
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// Limit load times to 90 seconds and force the assembly to have exactly one derived type
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var loader = new Loader(debugging, algorithmNodePacket.Language, AlgorithmCreationTimeout, names => names.SingleOrAlgorithmTypeName(Config.Get("algorithm-type-name", algorithmNodePacket.AlgorithmId)), WorkerThread);
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var complete = loader.TryCreateAlgorithmInstanceWithIsolator(assemblyPath, algorithmNodePacket.RamAllocation, out algorithm, out error);
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if (!complete) throw new AlgorithmSetupException($"During the algorithm initialization, the following exception has occurred: {error}");
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return algorithm;
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}
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/// <summary>
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/// Creates a new <see cref="BacktestingBrokerage"/> instance
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/// </summary>
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/// <param name="algorithmNodePacket">Job packet</param>
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/// <param name="uninitializedAlgorithm">The algorithm instance before Initialize has been called</param>
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/// <param name="factory">The brokerage factory</param>
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/// <returns>The brokerage instance, or throws if error creating instance</returns>
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public virtual IBrokerage CreateBrokerage(AlgorithmNodePacket algorithmNodePacket, IAlgorithm uninitializedAlgorithm, out IBrokerageFactory factory)
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{
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factory = new BacktestingBrokerageFactory();
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return new BacktestingBrokerage(uninitializedAlgorithm);
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}
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/// <summary>
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/// Setup the algorithm cash, dates and data subscriptions as desired.
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/// </summary>
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/// <param name="parameters">The parameters object to use</param>
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/// <returns>Boolean true on successfully initializing the algorithm</returns>
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public virtual bool Setup(SetupHandlerParameters parameters)
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{
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var algorithm = parameters.Algorithm;
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var job = parameters.AlgorithmNodePacket as BacktestNodePacket;
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if (job == null)
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{
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throw new ArgumentException("Expected BacktestNodePacket but received " + parameters.AlgorithmNodePacket.GetType().Name);
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}
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BaseSetupHandler.Setup(parameters);
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if (algorithm == null)
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{
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Errors.Add(new AlgorithmSetupException("Could not create instance of algorithm"));
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return false;
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}
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algorithm.Name = job.Name;
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//Make sure the algorithm start date ok.
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if (job.PeriodStart == default(DateTime))
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{
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Errors.Add(new AlgorithmSetupException("Algorithm start date was never set"));
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return false;
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}
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var controls = job.Controls;
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var isolator = new Isolator();
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var initializeComplete = isolator.ExecuteWithTimeLimit(InitializationTimeOut, () =>
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{
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try
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{
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parameters.ResultHandler.SendStatusUpdate(AlgorithmStatus.Initializing, "Initializing algorithm...");
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//Set our parameters
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algorithm.SetParameters(job.Parameters);
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algorithm.SetAvailableDataTypes(BaseSetupHandler.GetConfiguredDataFeeds());
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//Algorithm is backtesting, not live:
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algorithm.SetAlgorithmMode(job.AlgorithmMode);
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//Set the source impl for the event scheduling
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algorithm.Schedule.SetEventSchedule(parameters.RealTimeHandler);
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// set the option chain provider
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var optionChainProvider = new BacktestingOptionChainProvider();
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var initParameters = new ChainProviderInitializeParameters(parameters.MapFileProvider, algorithm.HistoryProvider);
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optionChainProvider.Initialize(initParameters);
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algorithm.SetOptionChainProvider(new CachingOptionChainProvider(optionChainProvider));
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// set the future chain provider
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var futureChainProvider = new BacktestingFutureChainProvider();
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futureChainProvider.Initialize(initParameters);
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algorithm.SetFutureChainProvider(new CachingFutureChainProvider(futureChainProvider));
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// before we call initialize
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BaseSetupHandler.LoadBacktestJobAccountCurrency(algorithm, job);
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//Initialise the algorithm, get the required data:
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algorithm.Initialize();
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// set start and end date if present in the job
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if (job.PeriodStart.HasValue)
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{
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algorithm.SetStartDate(job.PeriodStart.Value);
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}
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if (job.PeriodFinish.HasValue)
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{
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algorithm.SetEndDate(job.PeriodFinish.Value);
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}
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if (job.OutOfSampleMaxEndDate.HasValue)
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{
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if (algorithm.EndDate > job.OutOfSampleMaxEndDate.Value)
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{
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Log.Trace($"BacktestingSetupHandler.Setup(): setting end date to {job.OutOfSampleMaxEndDate.Value:yyyyMMdd}");
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algorithm.SetEndDate(job.OutOfSampleMaxEndDate.Value);
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if (algorithm.StartDate > algorithm.EndDate)
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{
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algorithm.SetStartDate(algorithm.EndDate);
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}
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}
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}
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// after we call initialize
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BaseSetupHandler.LoadBacktestJobCashAmount(algorithm, job);
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// after algorithm was initialized, should set trading days per year for our great portfolio statistics
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BaseSetupHandler.SetBrokerageTradingDayPerYear(algorithm);
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// finalize initialization
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algorithm.PostInitialize();
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}
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catch (Exception err)
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{
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Errors.Add(new AlgorithmSetupException("During the algorithm initialization, the following exception has occurred: ", err));
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}
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}, controls.RamAllocation,
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sleepIntervalMillis: 100, // entire system is waiting on this, so be as fast as possible
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workerThread: WorkerThread);
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if (Errors.Count > 0)
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{
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// if we already got an error just exit right away
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return false;
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}
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//Before continuing, detect if this is ready:
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if (!initializeComplete) return false;
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MaximumRuntime = TimeSpan.FromMinutes(job.Controls.MaximumRuntimeMinutes);
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BaseSetupHandler.SetupCurrencyConversions(algorithm, parameters.UniverseSelection);
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StartingPortfolioValue = algorithm.Portfolio.Cash;
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// Get and set maximum orders for this job
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MaxOrders = job.Controls.BacktestingMaxOrders;
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algorithm.SetMaximumOrders(MaxOrders);
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//Starting date of the algorithm:
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StartingDate = algorithm.StartDate;
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//Put into log for debugging:
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Log.Trace("SetUp Backtesting: User: " + job.UserId + " ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
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Log.Trace($"Dates: Start: {algorithm.StartDate.ToStringInvariant("d")} " +
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$"End: {algorithm.EndDate.ToStringInvariant("d")} " +
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$"Cash: {StartingPortfolioValue.ToStringInvariant("C")} " +
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$"MaximumRuntime: {MaximumRuntime} " +
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$"MaxOrders: {MaxOrders}");
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return initializeComplete;
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}
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/// <summary>
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/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
|
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/// </summary>
|
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/// <filterpriority>2</filterpriority>
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public void Dispose()
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{
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}
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} // End Result Handler Thread:
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} // End Namespace
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@@ -0,0 +1,200 @@
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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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* Licensed under the Apache License, Version 2.0 (the "License");
|
||||
* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
||||
*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
||||
* distributed under the License is distributed on an "AS IS" BASIS,
|
||||
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
* See the License for the specific language governing permissions and
|
||||
* limitations under the License.
|
||||
*
|
||||
*/
|
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|
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using System;
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using System.Linq;
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using Newtonsoft.Json;
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using QuantConnect.Data;
|
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using QuantConnect.Util;
|
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using QuantConnect.Logging;
|
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using QuantConnect.Packets;
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using QuantConnect.Interfaces;
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using QuantConnect.Brokerages;
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using System.Collections.Generic;
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using QuantConnect.Configuration;
|
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using QuantConnect.AlgorithmFactory;
|
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using QuantConnect.Lean.Engine.DataFeeds;
|
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using QuantConnect.Data.UniverseSelection;
|
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using QuantConnect.Lean.Engine.DataFeeds.WorkScheduling;
|
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using QuantConnect.Securities;
|
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namespace QuantConnect.Lean.Engine.Setup
|
||||
{
|
||||
/// <summary>
|
||||
/// Base class that provides shared code for
|
||||
/// the <see cref="ISetupHandler"/> implementations
|
||||
/// </summary>
|
||||
public static class BaseSetupHandler
|
||||
{
|
||||
/// <summary>
|
||||
/// Get the maximum time that the initialization of an algorithm can take
|
||||
/// </summary>
|
||||
public static TimeSpan InitializationTimeout { get; } = TimeSpan.FromSeconds(Config.GetDouble("initialization-timeout", 300));
|
||||
|
||||
/// <summary>
|
||||
/// Get the maximum time that the creation of an algorithm can take
|
||||
/// </summary>
|
||||
public static TimeSpan AlgorithmCreationTimeout { get; } = TimeSpan.FromSeconds(Config.GetDouble("algorithm-creation-timeout", 90));
|
||||
|
||||
/// <summary>
|
||||
/// Primary entry point to setup a new algorithm
|
||||
/// </summary>
|
||||
/// <param name="parameters">The parameters object to use</param>
|
||||
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
|
||||
public static bool Setup(SetupHandlerParameters parameters)
|
||||
{
|
||||
var algorithm = parameters.Algorithm;
|
||||
var job = parameters.AlgorithmNodePacket;
|
||||
|
||||
algorithm?.SetDeploymentTarget(job.DeploymentTarget);
|
||||
|
||||
Log.Trace($"BaseSetupHandler.Setup({job.DeploymentTarget}): UID: {job.UserId.ToStringInvariant()}, " +
|
||||
$"PID: {job.ProjectId.ToStringInvariant()}, Version: {job.Version}, Source: {job.RequestSource}"
|
||||
);
|
||||
return true;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Will first check and add all the required conversion rate securities
|
||||
/// and later will seed an initial value to them.
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance</param>
|
||||
/// <param name="universeSelection">The universe selection instance</param>
|
||||
/// <param name="currenciesToUpdateWhiteList">
|
||||
/// If passed, the currencies in the CashBook that are contained in this list will be updated.
|
||||
/// By default, if not passed (null), all currencies in the cashbook without a properly set up currency conversion will be updated.
|
||||
/// This is not intended for actual algorithms but for tests or for this method to be used as a helper.
|
||||
/// </param>
|
||||
public static void SetupCurrencyConversions(
|
||||
IAlgorithm algorithm,
|
||||
UniverseSelection universeSelection,
|
||||
IReadOnlyCollection<string> currenciesToUpdateWhiteList = null)
|
||||
{
|
||||
// this is needed to have non-zero currency conversion rates during warmup
|
||||
// will also set the Cash.ConversionRateSecurity.
|
||||
// We don't let it seed the conversion rates here because we do that right below,
|
||||
// where we can also limit the seeding to a specific white list of currencies
|
||||
universeSelection.EnsureCurrencyDataFeeds(SecurityChanges.None, seedNewCurrencies: false);
|
||||
|
||||
// now set conversion rates
|
||||
AlgorithmUtils.SeedCurrencyConversionRates(algorithm, currenciesToUpdateWhiteList);
|
||||
|
||||
Log.Trace($"BaseSetupHandler.SetupCurrencyConversions():{Environment.NewLine}" +
|
||||
$"Account Type: {algorithm.BrokerageModel.AccountType}{Environment.NewLine}{Environment.NewLine}{algorithm.Portfolio.CashBook}");
|
||||
// this is useful for debugging
|
||||
algorithm.Portfolio.LogMarginInformation();
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Initialize the debugger
|
||||
/// </summary>
|
||||
/// <param name="algorithmNodePacket">The algorithm node packet</param>
|
||||
/// <param name="workerThread">The worker thread instance to use</param>
|
||||
public static bool InitializeDebugging(AlgorithmNodePacket algorithmNodePacket, WorkerThread workerThread)
|
||||
{
|
||||
var isolator = new Isolator();
|
||||
return isolator.ExecuteWithTimeLimit(TimeSpan.FromMinutes(5),
|
||||
() =>
|
||||
{
|
||||
DebuggerHelper.Initialize(algorithmNodePacket.Language, out var workersInitializationCallback);
|
||||
|
||||
if (workersInitializationCallback != null)
|
||||
{
|
||||
// initialize workers for debugging if required
|
||||
WeightedWorkScheduler.Instance.AddSingleCallForAll(workersInitializationCallback);
|
||||
}
|
||||
},
|
||||
algorithmNodePacket.RamAllocation,
|
||||
sleepIntervalMillis: 100,
|
||||
workerThread: workerThread);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Sets the initial cash for the algorithm if set in the job packet.
|
||||
/// </summary>
|
||||
/// <remarks>Should be called after initialize <see cref="LoadBacktestJobAccountCurrency"/></remarks>
|
||||
public static void LoadBacktestJobCashAmount(IAlgorithm algorithm, BacktestNodePacket job)
|
||||
{
|
||||
// set initial cash, if present in the job
|
||||
if (job.CashAmount.HasValue)
|
||||
{
|
||||
// Zero the CashBook - we'll populate directly from job
|
||||
foreach (var kvp in algorithm.Portfolio.CashBook)
|
||||
{
|
||||
kvp.Value.SetAmount(0);
|
||||
}
|
||||
|
||||
algorithm.SetCash(job.CashAmount.Value.Amount);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Sets the account currency the algorithm should use if set in the job packet
|
||||
/// </summary>
|
||||
/// <remarks>Should be called before initialize <see cref="LoadBacktestJobCashAmount"/></remarks>
|
||||
public static void LoadBacktestJobAccountCurrency(IAlgorithm algorithm, BacktestNodePacket job)
|
||||
{
|
||||
// set account currency if present in the job
|
||||
if (job.CashAmount.HasValue)
|
||||
{
|
||||
algorithm.SetAccountCurrency(job.CashAmount.Value.Currency);
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Get the available data feeds from config.json,
|
||||
/// </summary>
|
||||
public static Dictionary<SecurityType, List<TickType>> GetConfiguredDataFeeds()
|
||||
{
|
||||
var dataFeedsConfigString = Config.Get("security-data-feeds");
|
||||
|
||||
if (!dataFeedsConfigString.IsNullOrEmpty())
|
||||
{
|
||||
var dataFeeds = JsonConvert.DeserializeObject<Dictionary<SecurityType, List<TickType>>>(dataFeedsConfigString);
|
||||
return dataFeeds;
|
||||
}
|
||||
|
||||
return null;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Set the number of trading days per year based on the specified brokerage model.
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance</param>
|
||||
/// <returns>
|
||||
/// The number of trading days per year. For specific brokerages (Coinbase, Binance, Bitfinex, Bybit, FTX, Kraken),
|
||||
/// the value is 365. For other brokerages, the default value is 252.
|
||||
/// </returns>
|
||||
public static void SetBrokerageTradingDayPerYear(IAlgorithm algorithm)
|
||||
{
|
||||
if (algorithm == null)
|
||||
{
|
||||
throw new ArgumentNullException(nameof(algorithm));
|
||||
}
|
||||
|
||||
algorithm.Settings.TradingDaysPerYear ??= algorithm.BrokerageModel switch
|
||||
{
|
||||
CoinbaseBrokerageModel
|
||||
or BinanceBrokerageModel
|
||||
or BitfinexBrokerageModel
|
||||
or BybitBrokerageModel
|
||||
or FTXBrokerageModel
|
||||
or KrakenBrokerageModel => 365,
|
||||
_ => 252
|
||||
};
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,591 @@
|
||||
/*
|
||||
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
||||
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
||||
*
|
||||
* Licensed under the Apache License, Version 2.0 (the "License");
|
||||
* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
||||
*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
||||
* distributed under the License is distributed on an "AS IS" BASIS,
|
||||
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
* See the License for the specific language governing permissions and
|
||||
* limitations under the License.
|
||||
*/
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Globalization;
|
||||
using System.Linq;
|
||||
using System.Reflection;
|
||||
using Fasterflect;
|
||||
using QuantConnect.AlgorithmFactory;
|
||||
using QuantConnect.Brokerages;
|
||||
using QuantConnect.Configuration;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
using QuantConnect.Lean.Engine.Results;
|
||||
using QuantConnect.Lean.Engine.TransactionHandlers;
|
||||
using QuantConnect.Logging;
|
||||
using QuantConnect.Packets;
|
||||
using QuantConnect.Securities;
|
||||
using QuantConnect.Util;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.Setup
|
||||
{
|
||||
/// <summary>
|
||||
/// Defines a set up handler that initializes the algorithm instance using values retrieved from the user's brokerage account
|
||||
/// </summary>
|
||||
public class BrokerageSetupHandler : ISetupHandler
|
||||
{
|
||||
private bool _disposed;
|
||||
|
||||
/// <summary>
|
||||
/// Max allocation limit configuration variable name
|
||||
/// </summary>
|
||||
public static string MaxAllocationLimitConfig = "max-allocation-limit";
|
||||
|
||||
/// <summary>
|
||||
/// The worker thread instance the setup handler should use
|
||||
/// </summary>
|
||||
public WorkerThread WorkerThread { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Any errors from the initialization stored here:
|
||||
/// </summary>
|
||||
public List<Exception> Errors { get; set; }
|
||||
|
||||
/// <summary>
|
||||
/// Get the maximum runtime for this algorithm job.
|
||||
/// </summary>
|
||||
public TimeSpan MaximumRuntime { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Algorithm starting capital for statistics calculations
|
||||
/// </summary>
|
||||
public decimal StartingPortfolioValue { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Start date for analysis loops to search for data.
|
||||
/// </summary>
|
||||
public DateTime StartingDate { get; private set; }
|
||||
|
||||
/// <summary>
|
||||
/// Maximum number of orders for the algorithm run -- applicable for backtests only.
|
||||
/// </summary>
|
||||
public int MaxOrders { get; }
|
||||
|
||||
// saves ref to algo so we can call quit if runtime error encountered
|
||||
private IBrokerageFactory _factory;
|
||||
private IBrokerage _dataQueueHandlerBrokerage;
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new BrokerageSetupHandler
|
||||
/// </summary>
|
||||
public BrokerageSetupHandler()
|
||||
{
|
||||
Errors = new List<Exception>();
|
||||
MaximumRuntime = TimeSpan.FromDays(10 * 365);
|
||||
MaxOrders = int.MaxValue;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create a new instance of an algorithm from a physical dll path.
|
||||
/// </summary>
|
||||
/// <param name="assemblyPath">The path to the assembly's location</param>
|
||||
/// <param name="algorithmNodePacket">Details of the task required</param>
|
||||
/// <returns>A new instance of IAlgorithm, or throws an exception if there was an error</returns>
|
||||
public IAlgorithm CreateAlgorithmInstance(AlgorithmNodePacket algorithmNodePacket, string assemblyPath)
|
||||
{
|
||||
string error;
|
||||
IAlgorithm algorithm;
|
||||
|
||||
// limit load times to 10 seconds and force the assembly to have exactly one derived type
|
||||
var loader = new Loader(false, algorithmNodePacket.Language, BaseSetupHandler.AlgorithmCreationTimeout, names => names.SingleOrAlgorithmTypeName(Config.Get("algorithm-type-name", algorithmNodePacket.AlgorithmId)), WorkerThread);
|
||||
var complete = loader.TryCreateAlgorithmInstanceWithIsolator(assemblyPath, algorithmNodePacket.RamAllocation, out algorithm, out error);
|
||||
if (!complete) throw new AlgorithmSetupException($"During the algorithm initialization, the following exception has occurred: {error}");
|
||||
|
||||
return algorithm;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates the brokerage as specified by the job packet
|
||||
/// </summary>
|
||||
/// <param name="algorithmNodePacket">Job packet</param>
|
||||
/// <param name="uninitializedAlgorithm">The algorithm instance before Initialize has been called</param>
|
||||
/// <param name="factory">The brokerage factory</param>
|
||||
/// <returns>The brokerage instance, or throws if error creating instance</returns>
|
||||
public IBrokerage CreateBrokerage(AlgorithmNodePacket algorithmNodePacket, IAlgorithm uninitializedAlgorithm, out IBrokerageFactory factory)
|
||||
{
|
||||
var liveJob = algorithmNodePacket as LiveNodePacket;
|
||||
if (liveJob == null)
|
||||
{
|
||||
throw new ArgumentException("BrokerageSetupHandler.CreateBrokerage requires a live node packet");
|
||||
}
|
||||
|
||||
Log.Trace($"BrokerageSetupHandler.CreateBrokerage(): creating brokerage '{liveJob.Brokerage}'");
|
||||
|
||||
// find the correct brokerage factory based on the specified brokerage in the live job packet
|
||||
_factory = Composer.Instance.Single<IBrokerageFactory>(brokerageFactory => brokerageFactory.BrokerageType.MatchesTypeName(liveJob.Brokerage));
|
||||
factory = _factory;
|
||||
|
||||
PreloadDataQueueHandler(liveJob, uninitializedAlgorithm, factory);
|
||||
|
||||
// initialize the correct brokerage using the resolved factory
|
||||
var brokerage = _factory.CreateBrokerage(liveJob, uninitializedAlgorithm);
|
||||
Composer.Instance.AddPart(brokerage);
|
||||
|
||||
return brokerage;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Primary entry point to setup a new algorithm
|
||||
/// </summary>
|
||||
/// <param name="parameters">The parameters object to use</param>
|
||||
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
|
||||
public bool Setup(SetupHandlerParameters parameters)
|
||||
{
|
||||
var algorithm = parameters.Algorithm;
|
||||
var brokerage = parameters.Brokerage;
|
||||
// verify we were given the correct job packet type
|
||||
var liveJob = parameters.AlgorithmNodePacket as LiveNodePacket;
|
||||
if (liveJob == null)
|
||||
{
|
||||
AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
|
||||
return false;
|
||||
}
|
||||
|
||||
algorithm.Name = liveJob.GetAlgorithmName();
|
||||
|
||||
// verify the brokerage was specified
|
||||
if (string.IsNullOrWhiteSpace(liveJob.Brokerage))
|
||||
{
|
||||
AddInitializationError("A brokerage must be specified");
|
||||
return false;
|
||||
}
|
||||
|
||||
BaseSetupHandler.Setup(parameters);
|
||||
|
||||
// attach to the message event to relay brokerage specific initialization messages
|
||||
EventHandler<BrokerageMessageEvent> brokerageOnMessage = (sender, args) =>
|
||||
{
|
||||
if (args.Type == BrokerageMessageType.Error)
|
||||
{
|
||||
AddInitializationError($"Brokerage Error Code: {args.Code} - {args.Message}");
|
||||
}
|
||||
};
|
||||
|
||||
try
|
||||
{
|
||||
// let the world know what we're doing since logging in can take a minute
|
||||
parameters.ResultHandler.SendStatusUpdate(AlgorithmStatus.LoggingIn, "Logging into brokerage...");
|
||||
|
||||
brokerage.Message += brokerageOnMessage;
|
||||
|
||||
Log.Trace("BrokerageSetupHandler.Setup(): Connecting to brokerage...");
|
||||
try
|
||||
{
|
||||
// this can fail for various reasons, such as already being logged in somewhere else
|
||||
brokerage.Connect();
|
||||
}
|
||||
catch (Exception err)
|
||||
{
|
||||
Log.Error(err);
|
||||
AddInitializationError(
|
||||
$"Error connecting to brokerage: {err.Message}. " +
|
||||
"This may be caused by incorrect login credentials or an unsupported account type.", err);
|
||||
return false;
|
||||
}
|
||||
|
||||
if (!brokerage.IsConnected)
|
||||
{
|
||||
// if we're reporting that we're not connected, bail
|
||||
AddInitializationError("Unable to connect to brokerage.");
|
||||
return false;
|
||||
}
|
||||
|
||||
var message = $"{brokerage.Name} account base currency: {brokerage.AccountBaseCurrency ?? algorithm.AccountCurrency}";
|
||||
|
||||
|
||||
var accountCurrency = brokerage.AccountBaseCurrency;
|
||||
if (liveJob.BrokerageData.ContainsKey(MaxAllocationLimitConfig))
|
||||
{
|
||||
accountCurrency = Currencies.USD;
|
||||
message += ". Allocation limited, will use 'USD' account currency";
|
||||
}
|
||||
|
||||
Log.Trace($"BrokerageSetupHandler.Setup(): {message}");
|
||||
|
||||
parameters.ResultHandler.DebugMessage(message);
|
||||
if (accountCurrency != null && accountCurrency != algorithm.AccountCurrency)
|
||||
{
|
||||
algorithm.SetAccountCurrency(accountCurrency);
|
||||
}
|
||||
|
||||
Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");
|
||||
|
||||
parameters.ResultHandler.SendStatusUpdate(AlgorithmStatus.Initializing, "Initializing algorithm...");
|
||||
|
||||
//Execute the initialize code:
|
||||
var controls = liveJob.Controls;
|
||||
var isolator = new Isolator();
|
||||
var initializeComplete = isolator.ExecuteWithTimeLimit(BaseSetupHandler.InitializationTimeout, () =>
|
||||
{
|
||||
try
|
||||
{
|
||||
//Set the default brokerage model before initialize
|
||||
algorithm.SetBrokerageModel(_factory.GetBrokerageModel(algorithm.Transactions));
|
||||
|
||||
//Margin calls are disabled by default in live mode
|
||||
algorithm.Portfolio.MarginCallModel = MarginCallModel.Null;
|
||||
|
||||
//Set our parameters
|
||||
algorithm.SetParameters(liveJob.Parameters);
|
||||
algorithm.SetAvailableDataTypes(BaseSetupHandler.GetConfiguredDataFeeds());
|
||||
|
||||
//Algorithm is live, not backtesting:
|
||||
algorithm.SetAlgorithmMode(liveJob.AlgorithmMode);
|
||||
|
||||
//Initialize the algorithm's starting date
|
||||
algorithm.SetDateTime(DateTime.UtcNow);
|
||||
|
||||
//Set the source impl for the event scheduling
|
||||
algorithm.Schedule.SetEventSchedule(parameters.RealTimeHandler);
|
||||
|
||||
var optionChainProvider = Composer.Instance.GetPart<IOptionChainProvider>();
|
||||
if (optionChainProvider == null)
|
||||
{
|
||||
var baseOptionChainProvider = new LiveOptionChainProvider();
|
||||
baseOptionChainProvider.Initialize(new(parameters.MapFileProvider, algorithm.HistoryProvider));
|
||||
optionChainProvider = new CachingOptionChainProvider(baseOptionChainProvider);
|
||||
Composer.Instance.AddPart(optionChainProvider);
|
||||
}
|
||||
// set the option chain provider
|
||||
algorithm.SetOptionChainProvider(optionChainProvider);
|
||||
|
||||
var futureChainProvider = Composer.Instance.GetPart<IFutureChainProvider>();
|
||||
if (futureChainProvider == null)
|
||||
{
|
||||
var baseFutureChainProvider = new LiveFutureChainProvider();
|
||||
baseFutureChainProvider.Initialize(new(parameters.MapFileProvider, algorithm.HistoryProvider));
|
||||
futureChainProvider = new CachingFutureChainProvider(baseFutureChainProvider);
|
||||
Composer.Instance.AddPart(futureChainProvider);
|
||||
}
|
||||
// set the future chain provider
|
||||
algorithm.SetFutureChainProvider(futureChainProvider);
|
||||
|
||||
//Initialise the algorithm, get the required data:
|
||||
algorithm.Initialize();
|
||||
|
||||
if (liveJob.Brokerage != "PaperBrokerage")
|
||||
{
|
||||
//Zero the CashBook - we'll populate directly from brokerage
|
||||
foreach (var kvp in algorithm.Portfolio.CashBook)
|
||||
{
|
||||
kvp.Value.SetAmount(0);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (Exception err)
|
||||
{
|
||||
AddInitializationError(err.ToString(), err);
|
||||
}
|
||||
}, controls.RamAllocation,
|
||||
sleepIntervalMillis: 100); // entire system is waiting on this, so be as fast as possible
|
||||
|
||||
if (Errors.Count != 0)
|
||||
{
|
||||
// if we already got an error just exit right away
|
||||
return false;
|
||||
}
|
||||
|
||||
if (!initializeComplete)
|
||||
{
|
||||
AddInitializationError("Initialization timed out.");
|
||||
return false;
|
||||
}
|
||||
|
||||
if (!LoadCashBalance(brokerage, algorithm))
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
if (!LoadExistingHoldingsAndOrders(brokerage, algorithm, parameters))
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
// after algorithm was initialized, should set trading days per year for our great portfolio statistics
|
||||
BaseSetupHandler.SetBrokerageTradingDayPerYear(algorithm);
|
||||
|
||||
var dataAggregator = Composer.Instance.GetPart<IDataAggregator>();
|
||||
dataAggregator?.Initialize(new() { AlgorithmSettings = algorithm.Settings });
|
||||
|
||||
//Finalize Initialization
|
||||
algorithm.PostInitialize();
|
||||
|
||||
BaseSetupHandler.SetupCurrencyConversions(algorithm, parameters.UniverseSelection);
|
||||
|
||||
if (algorithm.Portfolio.TotalPortfolioValue == 0)
|
||||
{
|
||||
algorithm.Debug("Warning: No cash balances or holdings were found in the brokerage account.");
|
||||
}
|
||||
|
||||
string maxCashLimitStr;
|
||||
if (liveJob.BrokerageData.TryGetValue(MaxAllocationLimitConfig, out maxCashLimitStr))
|
||||
{
|
||||
var maxCashLimit = decimal.Parse(maxCashLimitStr, NumberStyles.Any, CultureInfo.InvariantCulture);
|
||||
|
||||
// If allocation exceeded by more than $10,000; block deployment
|
||||
if (algorithm.Portfolio.TotalPortfolioValue > (maxCashLimit + 10000m))
|
||||
{
|
||||
var exceptionMessage = $"TotalPortfolioValue '{algorithm.Portfolio.TotalPortfolioValue}' exceeds allocation limit '{maxCashLimit}'";
|
||||
algorithm.Debug(exceptionMessage);
|
||||
throw new ArgumentException(exceptionMessage);
|
||||
}
|
||||
}
|
||||
|
||||
//Set the starting portfolio value for the strategy to calculate performance:
|
||||
StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
|
||||
StartingDate = DateTime.Now;
|
||||
}
|
||||
catch (Exception err)
|
||||
{
|
||||
AddInitializationError(err.ToString(), err);
|
||||
}
|
||||
finally
|
||||
{
|
||||
if (brokerage != null)
|
||||
{
|
||||
brokerage.Message -= brokerageOnMessage;
|
||||
}
|
||||
}
|
||||
|
||||
return Errors.Count == 0;
|
||||
}
|
||||
|
||||
private bool LoadCashBalance(IBrokerage brokerage, IAlgorithm algorithm)
|
||||
{
|
||||
Log.Trace("BrokerageSetupHandler.Setup(): Fetching cash balance from brokerage...");
|
||||
try
|
||||
{
|
||||
// set the algorithm's cash balance for each currency
|
||||
var cashBalance = brokerage.GetCashBalance();
|
||||
foreach (var cash in cashBalance)
|
||||
{
|
||||
if (!CashAmountUtil.ShouldAddCashBalance(cash, algorithm.AccountCurrency))
|
||||
{
|
||||
Log.Trace($"BrokerageSetupHandler.Setup(): Skipping {cash.Currency} cash because quantity is zero");
|
||||
continue;
|
||||
}
|
||||
|
||||
Log.Trace($"BrokerageSetupHandler.Setup(): Setting {cash.Currency} cash to {cash.Amount}");
|
||||
algorithm.Portfolio.SetCash(cash.Currency, cash.Amount, 0);
|
||||
}
|
||||
}
|
||||
catch (Exception err)
|
||||
{
|
||||
Log.Error(err);
|
||||
AddInitializationError("Error getting cash balance from brokerage: " + err.Message, err);
|
||||
return false;
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Loads existing holdings and orders
|
||||
/// </summary>
|
||||
protected bool LoadExistingHoldingsAndOrders(IBrokerage brokerage, IAlgorithm algorithm, SetupHandlerParameters parameters)
|
||||
{
|
||||
Log.Trace("BrokerageSetupHandler.Setup(): Fetching open orders from brokerage...");
|
||||
try
|
||||
{
|
||||
GetOpenOrders(algorithm, parameters.ResultHandler, parameters.TransactionHandler, brokerage);
|
||||
}
|
||||
catch (Exception err)
|
||||
{
|
||||
Log.Error(err);
|
||||
AddInitializationError("Error getting open orders from brokerage: " + err.Message, err);
|
||||
return false;
|
||||
}
|
||||
|
||||
Log.Trace("BrokerageSetupHandler.Setup(): Fetching holdings from brokerage...");
|
||||
try
|
||||
{
|
||||
var utcNow = DateTime.UtcNow;
|
||||
|
||||
// populate the algorithm with the account's current holdings
|
||||
var holdings = brokerage.GetAccountHoldings();
|
||||
|
||||
// add options first to ensure raw data normalization mode is set on the equity underlyings
|
||||
foreach (var holding in holdings.OrderByDescending(x => x.Type))
|
||||
{
|
||||
Log.Trace("BrokerageSetupHandler.Setup(): Has existing holding: " + holding);
|
||||
|
||||
// verify existing holding security type
|
||||
Security security;
|
||||
if (!GetOrAddUnrequestedSecurity(algorithm, holding.Symbol, holding.Type, out security))
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
var exchangeTime = utcNow.ConvertFromUtc(security.Exchange.TimeZone);
|
||||
|
||||
security.Holdings.SetHoldings(holding.AveragePrice, holding.Quantity);
|
||||
|
||||
if (holding.MarketPrice == 0)
|
||||
{
|
||||
// try warming current market price
|
||||
holding.MarketPrice = algorithm.GetLastKnownPrice(security)?.Price ?? 0;
|
||||
}
|
||||
|
||||
if (holding.MarketPrice != 0)
|
||||
{
|
||||
security.SetMarketPrice(new TradeBar
|
||||
{
|
||||
Time = exchangeTime,
|
||||
Open = holding.MarketPrice,
|
||||
High = holding.MarketPrice,
|
||||
Low = holding.MarketPrice,
|
||||
Close = holding.MarketPrice,
|
||||
Volume = 0,
|
||||
Symbol = holding.Symbol,
|
||||
DataType = MarketDataType.TradeBar
|
||||
});
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (Exception err)
|
||||
{
|
||||
Log.Error(err);
|
||||
AddInitializationError("Error getting account holdings from brokerage: " + err.Message, err);
|
||||
return false;
|
||||
}
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
private bool GetOrAddUnrequestedSecurity(IAlgorithm algorithm, Symbol symbol, SecurityType securityType, out Security security)
|
||||
{
|
||||
return algorithm.GetOrAddUnrequestedSecurity(symbol, out security,
|
||||
onError: (supportedSecurityTypes) => AddInitializationError(
|
||||
"Found unsupported security type in existing brokerage holdings: " + securityType + ". " +
|
||||
"QuantConnect currently supports the following security types: " + string.Join(",", supportedSecurityTypes)));
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Get the open orders from a brokerage. Adds <see cref="Orders.Order"/> and <see cref="Orders.OrderTicket"/> to the transaction handler
|
||||
/// </summary>
|
||||
/// <param name="algorithm">Algorithm instance</param>
|
||||
/// <param name="resultHandler">The configured result handler</param>
|
||||
/// <param name="transactionHandler">The configurated transaction handler</param>
|
||||
/// <param name="brokerage">Brokerage output instance</param>
|
||||
protected void GetOpenOrders(IAlgorithm algorithm, IResultHandler resultHandler, ITransactionHandler transactionHandler, IBrokerage brokerage)
|
||||
{
|
||||
// populate the algorithm with the account's outstanding orders
|
||||
var openOrders = brokerage.GetOpenOrders();
|
||||
|
||||
// add options first to ensure raw data normalization mode is set on the equity underlyings
|
||||
foreach (var order in openOrders.OrderByDescending(x => x.SecurityType))
|
||||
{
|
||||
// verify existing holding security type
|
||||
Security security;
|
||||
if (!GetOrAddUnrequestedSecurity(algorithm, order.Symbol, order.SecurityType, out security))
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
transactionHandler.AddOpenOrder(order, algorithm);
|
||||
order.PriceCurrency = security?.SymbolProperties.QuoteCurrency;
|
||||
|
||||
Log.Trace($"BrokerageSetupHandler.Setup(): Has open order: {order}");
|
||||
resultHandler.DebugMessage($"BrokerageSetupHandler.Setup(): Open order detected. Creating order tickets for open order {order.Symbol.Value} with quantity {order.Quantity}. Beware that this order ticket may not accurately reflect the quantity of the order if the open order is partially filled.");
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Adds initialization error to the Errors list
|
||||
/// </summary>
|
||||
/// <param name="message">The error message to be added</param>
|
||||
/// <param name="inner">The inner exception being wrapped</param>
|
||||
private void AddInitializationError(string message, Exception inner = null)
|
||||
{
|
||||
Errors.Add(new AlgorithmSetupException("During the algorithm initialization, the following exception has occurred: " + message, inner));
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
|
||||
/// </summary>
|
||||
/// <filterpriority>2</filterpriority>
|
||||
public void Dispose()
|
||||
{
|
||||
if (_disposed)
|
||||
{
|
||||
return;
|
||||
}
|
||||
_disposed = true;
|
||||
_factory?.DisposeSafely();
|
||||
|
||||
if (_dataQueueHandlerBrokerage != null)
|
||||
{
|
||||
if (_dataQueueHandlerBrokerage.IsConnected)
|
||||
{
|
||||
_dataQueueHandlerBrokerage.Disconnect();
|
||||
}
|
||||
_dataQueueHandlerBrokerage.DisposeSafely();
|
||||
}
|
||||
else
|
||||
{
|
||||
var dataQueueHandler = Composer.Instance.GetPart<IDataQueueHandler>();
|
||||
if (dataQueueHandler != null)
|
||||
{
|
||||
Log.Trace($"BrokerageSetupHandler.Setup(): Found data queue handler to dispose: {dataQueueHandler.GetType()}");
|
||||
dataQueueHandler.DisposeSafely();
|
||||
}
|
||||
else
|
||||
{
|
||||
Log.Trace("BrokerageSetupHandler.Setup(): did not find any data queue handler to dispose");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private void PreloadDataQueueHandler(LiveNodePacket liveJob, IAlgorithm algorithm, IBrokerageFactory factory)
|
||||
{
|
||||
// preload the data queue handler using custom BrokerageFactory attribute
|
||||
var dataQueueHandlerType = Assembly.GetAssembly(typeof(Brokerage))
|
||||
.GetTypes()
|
||||
.FirstOrDefault(x =>
|
||||
x.FullName != null &&
|
||||
x.FullName.EndsWith(liveJob.DataQueueHandler) &&
|
||||
x.HasAttribute(typeof(BrokerageFactoryAttribute)));
|
||||
|
||||
if (dataQueueHandlerType != null)
|
||||
{
|
||||
var attribute = dataQueueHandlerType.GetCustomAttribute<BrokerageFactoryAttribute>();
|
||||
|
||||
// only load the data queue handler if the factory is different from our brokerage factory
|
||||
if (attribute.Type != factory.GetType())
|
||||
{
|
||||
var brokerageFactory = (BrokerageFactory)Activator.CreateInstance(attribute.Type);
|
||||
|
||||
// copy the brokerage data (usually credentials)
|
||||
foreach (var kvp in brokerageFactory.BrokerageData)
|
||||
{
|
||||
if (!liveJob.BrokerageData.ContainsKey(kvp.Key))
|
||||
{
|
||||
liveJob.BrokerageData.Add(kvp.Key, kvp.Value);
|
||||
}
|
||||
}
|
||||
|
||||
// create the data queue handler and add it to composer
|
||||
_dataQueueHandlerBrokerage = brokerageFactory.CreateBrokerage(liveJob, algorithm);
|
||||
|
||||
// open connection for subscriptions
|
||||
_dataQueueHandlerBrokerage.Connect();
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,28 @@
|
||||
/*
|
||||
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
||||
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
||||
*
|
||||
* Licensed under the Apache License, Version 2.0 (the "License");
|
||||
* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
||||
*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
||||
* distributed under the License is distributed on an "AS IS" BASIS,
|
||||
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
* See the License for the specific language governing permissions and
|
||||
* limitations under the License.
|
||||
*
|
||||
*/
|
||||
|
||||
using System;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.Setup
|
||||
{
|
||||
/// <summary>
|
||||
/// Kept for backwards compatibility-
|
||||
/// </summary>
|
||||
[Obsolete("Should use BacktestingSetupHandler instead")]
|
||||
public class ConsoleSetupHandler : BacktestingSetupHandler
|
||||
{
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,105 @@
|
||||
/*
|
||||
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
||||
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
||||
*
|
||||
* Licensed under the Apache License, Version 2.0 (the "License");
|
||||
* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
||||
*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
||||
* distributed under the License is distributed on an "AS IS" BASIS,
|
||||
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
* See the License for the specific language governing permissions and
|
||||
* limitations under the License.
|
||||
*
|
||||
*/
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.ComponentModel.Composition;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Packets;
|
||||
using QuantConnect.Util;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.Setup
|
||||
{
|
||||
/// <summary>
|
||||
/// Interface to setup the algorithm. Pass in a raw algorithm, return one with portfolio, cash, etc already preset.
|
||||
/// </summary>
|
||||
[InheritedExport(typeof(ISetupHandler))]
|
||||
public interface ISetupHandler : IDisposable
|
||||
{
|
||||
/// <summary>
|
||||
/// The worker thread instance the setup handler should use
|
||||
/// </summary>
|
||||
WorkerThread WorkerThread
|
||||
{
|
||||
set;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Any errors from the initialization stored here:
|
||||
/// </summary>
|
||||
List<Exception> Errors
|
||||
{
|
||||
get;
|
||||
set;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Get the maximum runtime for this algorithm job.
|
||||
/// </summary>
|
||||
TimeSpan MaximumRuntime
|
||||
{
|
||||
get;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Algorithm starting capital for statistics calculations
|
||||
/// </summary>
|
||||
decimal StartingPortfolioValue
|
||||
{
|
||||
get;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Start date for analysis loops to search for data.
|
||||
/// </summary>
|
||||
DateTime StartingDate
|
||||
{
|
||||
get;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Maximum number of orders for the algorithm run -- applicable for backtests only.
|
||||
/// </summary>
|
||||
int MaxOrders
|
||||
{
|
||||
get;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Create a new instance of an algorithm from a physical dll path.
|
||||
/// </summary>
|
||||
/// <param name="assemblyPath">The path to the assembly's location</param>
|
||||
/// <param name="algorithmNodePacket">Details of the task required</param>
|
||||
/// <returns>A new instance of IAlgorithm, or throws an exception if there was an error</returns>
|
||||
IAlgorithm CreateAlgorithmInstance(AlgorithmNodePacket algorithmNodePacket, string assemblyPath);
|
||||
|
||||
/// <summary>
|
||||
/// Creates the brokerage as specified by the job packet
|
||||
/// </summary>
|
||||
/// <param name="algorithmNodePacket">Job packet</param>
|
||||
/// <param name="uninitializedAlgorithm">The algorithm instance before Initialize has been called</param>
|
||||
/// <param name="factory">The brokerage factory</param>
|
||||
/// <returns>The brokerage instance, or throws if error creating instance</returns>
|
||||
IBrokerage CreateBrokerage(AlgorithmNodePacket algorithmNodePacket, IAlgorithm uninitializedAlgorithm, out IBrokerageFactory factory);
|
||||
|
||||
/// <summary>
|
||||
/// Primary entry point to setup a new algorithm
|
||||
/// </summary>
|
||||
/// <param name="parameters">The parameters object to use</param>
|
||||
/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
|
||||
bool Setup(SetupHandlerParameters parameters);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,110 @@
|
||||
/*
|
||||
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
||||
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
||||
*
|
||||
* Licensed under the Apache License, Version 2.0 (the "License");
|
||||
* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
||||
*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
||||
* distributed under the License is distributed on an "AS IS" BASIS,
|
||||
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
* See the License for the specific language governing permissions and
|
||||
* limitations under the License.
|
||||
*
|
||||
*/
|
||||
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
using QuantConnect.Lean.Engine.RealTime;
|
||||
using QuantConnect.Lean.Engine.Results;
|
||||
using QuantConnect.Lean.Engine.TransactionHandlers;
|
||||
using QuantConnect.Packets;
|
||||
|
||||
namespace QuantConnect.Lean.Engine.Setup
|
||||
{
|
||||
/// <summary>
|
||||
/// Defines the parameters for <see cref="ISetupHandler"/>
|
||||
/// </summary>
|
||||
public class SetupHandlerParameters
|
||||
{
|
||||
/// <summary>
|
||||
/// Gets the universe selection
|
||||
/// </summary>
|
||||
public UniverseSelection UniverseSelection { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the algorithm
|
||||
/// </summary>
|
||||
public IAlgorithm Algorithm { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the Brokerage
|
||||
/// </summary>
|
||||
public IBrokerage Brokerage { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the algorithm node packet
|
||||
/// </summary>
|
||||
public AlgorithmNodePacket AlgorithmNodePacket { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the algorithm node packet
|
||||
/// </summary>
|
||||
public IResultHandler ResultHandler { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the TransactionHandler
|
||||
/// </summary>
|
||||
public ITransactionHandler TransactionHandler { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the RealTimeHandler
|
||||
/// </summary>
|
||||
public IRealTimeHandler RealTimeHandler { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Gets the DataCacheProvider
|
||||
/// </summary>
|
||||
public IDataCacheProvider DataCacheProvider { get; }
|
||||
|
||||
/// <summary>
|
||||
/// The map file provider instance of the algorithm
|
||||
/// </summary>
|
||||
public IMapFileProvider MapFileProvider { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Creates a new instance
|
||||
/// </summary>
|
||||
/// <param name="universeSelection">The universe selection instance</param>
|
||||
/// <param name="algorithm">Algorithm instance</param>
|
||||
/// <param name="brokerage">New brokerage output instance</param>
|
||||
/// <param name="algorithmNodePacket">Algorithm job task</param>
|
||||
/// <param name="resultHandler">The configured result handler</param>
|
||||
/// <param name="transactionHandler">The configured transaction handler</param>
|
||||
/// <param name="realTimeHandler">The configured real time handler</param>
|
||||
/// <param name="dataCacheProvider">The configured data cache provider</param>
|
||||
/// <param name="mapFileProvider">The map file provider</param>
|
||||
public SetupHandlerParameters(UniverseSelection universeSelection,
|
||||
IAlgorithm algorithm,
|
||||
IBrokerage brokerage,
|
||||
AlgorithmNodePacket algorithmNodePacket,
|
||||
IResultHandler resultHandler,
|
||||
ITransactionHandler transactionHandler,
|
||||
IRealTimeHandler realTimeHandler,
|
||||
IDataCacheProvider dataCacheProvider,
|
||||
IMapFileProvider mapFileProvider
|
||||
)
|
||||
{
|
||||
UniverseSelection = universeSelection;
|
||||
Algorithm = algorithm;
|
||||
Brokerage = brokerage;
|
||||
AlgorithmNodePacket = algorithmNodePacket;
|
||||
ResultHandler = resultHandler;
|
||||
TransactionHandler = transactionHandler;
|
||||
RealTimeHandler = realTimeHandler;
|
||||
DataCacheProvider = dataCacheProvider;
|
||||
MapFileProvider = mapFileProvider;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user