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 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
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{
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/// <summary>
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/// Base class that provides shared code for
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/// the <see cref="ISetupHandler"/> implementations
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/// </summary>
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public static class BaseSetupHandler
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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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public static TimeSpan InitializationTimeout { get; } = TimeSpan.FromSeconds(Config.GetDouble("initialization-timeout", 300));
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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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public static TimeSpan AlgorithmCreationTimeout { get; } = TimeSpan.FromSeconds(Config.GetDouble("algorithm-creation-timeout", 90));
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/// <summary>
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/// Primary entry point to setup a new algorithm
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/// </summary>
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/// <param name="parameters">The parameters object to use</param>
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/// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
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public static bool Setup(SetupHandlerParameters parameters)
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{
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var algorithm = parameters.Algorithm;
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var job = parameters.AlgorithmNodePacket;
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algorithm?.SetDeploymentTarget(job.DeploymentTarget);
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Log.Trace($"BaseSetupHandler.Setup({job.DeploymentTarget}): UID: {job.UserId.ToStringInvariant()}, " +
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$"PID: {job.ProjectId.ToStringInvariant()}, Version: {job.Version}, Source: {job.RequestSource}"
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);
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return true;
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}
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/// <summary>
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/// Will first check and add all the required conversion rate securities
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/// and later will seed an initial value to them.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="universeSelection">The universe selection instance</param>
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/// <param name="currenciesToUpdateWhiteList">
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/// If passed, the currencies in the CashBook that are contained in this list will be updated.
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/// By default, if not passed (null), all currencies in the cashbook without a properly set up currency conversion will be updated.
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/// This is not intended for actual algorithms but for tests or for this method to be used as a helper.
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/// </param>
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public static void SetupCurrencyConversions(
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IAlgorithm algorithm,
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UniverseSelection universeSelection,
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IReadOnlyCollection<string> currenciesToUpdateWhiteList = null)
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{
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// this is needed to have non-zero currency conversion rates during warmup
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// will also set the Cash.ConversionRateSecurity.
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// We don't let it seed the conversion rates here because we do that right below,
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// where we can also limit the seeding to a specific white list of currencies
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universeSelection.EnsureCurrencyDataFeeds(SecurityChanges.None, seedNewCurrencies: false);
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// now set conversion rates
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AlgorithmUtils.SeedCurrencyConversionRates(algorithm, currenciesToUpdateWhiteList);
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Log.Trace($"BaseSetupHandler.SetupCurrencyConversions():{Environment.NewLine}" +
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$"Account Type: {algorithm.BrokerageModel.AccountType}{Environment.NewLine}{Environment.NewLine}{algorithm.Portfolio.CashBook}");
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// this is useful for debugging
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algorithm.Portfolio.LogMarginInformation();
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}
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/// <summary>
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/// Initialize the debugger
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/// </summary>
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/// <param name="algorithmNodePacket">The algorithm node packet</param>
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/// <param name="workerThread">The worker thread instance to use</param>
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public static bool InitializeDebugging(AlgorithmNodePacket algorithmNodePacket, WorkerThread workerThread)
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{
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var isolator = new Isolator();
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return isolator.ExecuteWithTimeLimit(TimeSpan.FromMinutes(5),
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() =>
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{
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DebuggerHelper.Initialize(algorithmNodePacket.Language, out var workersInitializationCallback);
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if (workersInitializationCallback != null)
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{
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// initialize workers for debugging if required
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WeightedWorkScheduler.Instance.AddSingleCallForAll(workersInitializationCallback);
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}
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},
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algorithmNodePacket.RamAllocation,
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sleepIntervalMillis: 100,
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workerThread: workerThread);
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}
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/// <summary>
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/// Sets the initial cash for the algorithm if set in the job packet.
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/// </summary>
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/// <remarks>Should be called after initialize <see cref="LoadBacktestJobAccountCurrency"/></remarks>
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public static void LoadBacktestJobCashAmount(IAlgorithm algorithm, BacktestNodePacket job)
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{
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// set initial cash, if present in the job
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if (job.CashAmount.HasValue)
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{
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// Zero the CashBook - we'll populate directly from job
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foreach (var kvp in algorithm.Portfolio.CashBook)
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{
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kvp.Value.SetAmount(0);
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}
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algorithm.SetCash(job.CashAmount.Value.Amount);
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}
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}
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/// <summary>
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/// Sets the account currency the algorithm should use if set in the job packet
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/// </summary>
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/// <remarks>Should be called before initialize <see cref="LoadBacktestJobCashAmount"/></remarks>
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public static void LoadBacktestJobAccountCurrency(IAlgorithm algorithm, BacktestNodePacket job)
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{
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// set account currency if present in the job
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if (job.CashAmount.HasValue)
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{
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algorithm.SetAccountCurrency(job.CashAmount.Value.Currency);
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}
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}
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/// <summary>
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/// Get the available data feeds from config.json,
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/// </summary>
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public static Dictionary<SecurityType, List<TickType>> GetConfiguredDataFeeds()
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{
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var dataFeedsConfigString = Config.Get("security-data-feeds");
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if (!dataFeedsConfigString.IsNullOrEmpty())
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{
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var dataFeeds = JsonConvert.DeserializeObject<Dictionary<SecurityType, List<TickType>>>(dataFeedsConfigString);
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return dataFeeds;
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}
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return null;
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}
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/// <summary>
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/// Set the number of trading days per year based on the specified brokerage model.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <returns>
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/// The number of trading days per year. For specific brokerages (Coinbase, Binance, Bitfinex, Bybit, FTX, Kraken),
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/// the value is 365. For other brokerages, the default value is 252.
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/// </returns>
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public static void SetBrokerageTradingDayPerYear(IAlgorithm algorithm)
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{
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if (algorithm == null)
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{
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throw new ArgumentNullException(nameof(algorithm));
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}
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algorithm.Settings.TradingDaysPerYear ??= algorithm.BrokerageModel switch
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{
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CoinbaseBrokerageModel
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or BinanceBrokerageModel
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or BitfinexBrokerageModel
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or BybitBrokerageModel
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or FTXBrokerageModel
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or KrakenBrokerageModel => 365,
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_ => 252
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};
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}
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}
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}
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