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.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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