chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
@@ -0,0 +1,278 @@
+/*
+ * 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.Collections.Generic;
+using QuantConnect.Interfaces;
+using QuantConnect.Logging;
+using QuantConnect.Notifications;
+using QuantConnect.Packets;
+
+namespace QuantConnect.Messaging
+{
+    /// <summary>
+    /// Desktop implementation of messaging system for Lean Engine
+    /// </summary>
+    public class EventMessagingHandler : IMessagingHandler
+    {
+        private AlgorithmNodePacket _job;
+        private volatile bool _loaded;
+        private Queue<Packet> _queue;
+
+        /// <summary>
+        /// Gets or sets whether this messaging handler has any current subscribers.
+        /// When set to false, messages won't be sent.
+        /// </summary>
+        public bool HasSubscribers
+        {
+            get;
+            set;
+        }
+
+        /// <summary>
+        /// Initialize the Messaging System Plugin.
+        /// </summary>
+        /// <param name="initializeParameters">The parameters required for initialization</param>
+        public void Initialize(MessagingHandlerInitializeParameters initializeParameters)
+        {
+            _queue = new Queue<Packet>();
+
+            ConsumerReadyEvent += () => { _loaded = true; };
+        }
+
+        /// <summary>
+        /// Set Loaded to true
+        /// </summary>
+        public void LoadingComplete()
+        {
+            _loaded = true;
+        }
+
+        /// <summary>
+        /// Set the user communication channel
+        /// </summary>
+        /// <param name="job"></param>
+        public void SetAuthentication(AlgorithmNodePacket job)
+        {
+            _job = job;
+        }
+
+#pragma warning disable 1591
+        public delegate void DebugEventRaised(DebugPacket packet);
+        public event DebugEventRaised DebugEvent;
+
+        public delegate void SystemDebugEventRaised(SystemDebugPacket packet);
+#pragma warning disable 0067 // SystemDebugEvent is not used currently; ignore the warning
+        public event SystemDebugEventRaised SystemDebugEvent;
+#pragma warning restore 0067
+
+        public delegate void LogEventRaised(LogPacket packet);
+        public event LogEventRaised LogEvent;
+
+        public delegate void RuntimeErrorEventRaised(RuntimeErrorPacket packet);
+        public event RuntimeErrorEventRaised RuntimeErrorEvent;
+
+        public delegate void HandledErrorEventRaised(HandledErrorPacket packet);
+        public event HandledErrorEventRaised HandledErrorEvent;
+
+        public delegate void BacktestResultEventRaised(BacktestResultPacket packet);
+        public event BacktestResultEventRaised BacktestResultEvent;
+
+        public delegate void ConsumerReadyEventRaised();
+        public event ConsumerReadyEventRaised ConsumerReadyEvent;
+#pragma warning restore 1591
+
+        /// <summary>
+        /// Send any message with a base type of Packet.
+        /// </summary>
+        public void Send(Packet packet)
+        {
+            //Until we're loaded queue it up
+            if (!_loaded)
+            {
+                _queue.Enqueue(packet);
+                return;
+            }
+
+            //Catch up if this is the first time
+            while (_queue.TryDequeue(out var item))
+            {
+                ProcessPacket(item);
+            }
+
+            //Finally process this new packet
+            ProcessPacket(packet);
+        }
+
+        /// <summary>
+        /// Send any notification with a base type of Notification.
+        /// </summary>
+        /// <param name="notification">The notification to be sent.</param>
+        public void SendNotification(Notification notification)
+        {
+            if (!notification.CanSend())
+            {
+                Log.Error("Messaging.SendNotification(): Send not implemented for notification of type: " + notification.GetType().Name);
+                return;
+            }
+            notification.Send();
+        }
+
+        /// <summary>
+        /// Send any message with a base type of Packet that has been enqueued.
+        /// </summary>
+        public void SendEnqueuedPackets()
+        {
+            while (_loaded && _queue.TryDequeue(out var item))
+            {
+                ProcessPacket(item);
+            }
+        }
+
+        /// <summary>
+        /// Packet processing implementation
+        /// </summary>
+        private void ProcessPacket(Packet packet)
+        {
+            //Packets we handled in the UX.
+            switch (packet.Type)
+            {
+                case PacketType.Debug:
+                    var debug = (DebugPacket)packet;
+                    OnDebugEvent(debug);
+                    break;
+
+                case PacketType.SystemDebug:
+                    var systemDebug = (SystemDebugPacket)packet;
+                    OnSystemDebugEvent(systemDebug);
+                    break;
+
+                case PacketType.Log:
+                    var log = (LogPacket)packet;
+                    OnLogEvent(log);
+                    break;
+
+                case PacketType.RuntimeError:
+                    var runtime = (RuntimeErrorPacket)packet;
+                    OnRuntimeErrorEvent(runtime);
+                    break;
+
+                case PacketType.HandledError:
+                    var handled = (HandledErrorPacket)packet;
+                    OnHandledErrorEvent(handled);
+                    break;
+
+                case PacketType.BacktestResult:
+                    var result = (BacktestResultPacket)packet;
+                    OnBacktestResultEvent(result);
+                    break;
+            }
+        }
+
+        /// <summary>
+        /// Raise a debug event safely
+        /// </summary>
+        protected virtual void OnDebugEvent(DebugPacket packet)
+        {
+            var handler = DebugEvent;
+
+            if (handler != null)
+            {
+                handler(packet);
+            }
+        }
+
+
+        /// <summary>
+        /// Raise a system debug event safely
+        /// </summary>
+        protected virtual void OnSystemDebugEvent(SystemDebugPacket packet)
+        {
+            var handler = DebugEvent;
+
+            if (handler != null)
+            {
+                handler(packet);
+            }
+        }
+
+
+        /// <summary>
+        /// Handler for consumer ready code.
+        /// </summary>
+        public virtual void OnConsumerReadyEvent()
+        {
+            var handler = ConsumerReadyEvent;
+            if (handler != null)
+            {
+                handler();
+            }
+        }
+
+        /// <summary>
+        /// Raise a log event safely
+        /// </summary>
+        protected virtual void OnLogEvent(LogPacket packet)
+        {
+            var handler = LogEvent;
+            if (handler != null)
+            {
+                handler(packet);
+            }
+        }
+
+        /// <summary>
+        /// Raise a handled error event safely
+        /// </summary>
+        protected virtual void OnHandledErrorEvent(HandledErrorPacket packet)
+        {
+            var handler = HandledErrorEvent;
+            if (handler != null)
+            {
+                handler(packet);
+            }
+        }
+
+        /// <summary>
+        /// Raise runtime error safely
+        /// </summary>
+        protected virtual void OnRuntimeErrorEvent(RuntimeErrorPacket packet)
+        {
+            var handler = RuntimeErrorEvent;
+            if (handler != null)
+            {
+                handler(packet);
+            }
+        }
+
+        /// <summary>
+        /// Raise a backtest result event safely.
+        /// </summary>
+        protected virtual void OnBacktestResultEvent(BacktestResultPacket packet)
+        {
+            var handler = BacktestResultEvent;
+            if (handler != null)
+            {
+                handler(packet);
+            }
+        }
+
+        /// <summary>
+        /// Dispose of any resources
+        /// </summary>
+        public virtual void Dispose()
+        {
+        }
+    }
+}
@@ -0,0 +1,130 @@
+/*
+ * 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.Logging;
+using QuantConnect.Notifications;
+using QuantConnect.Packets;
+using QuantConnect.Util;
+using System;
+using System.Linq;
+
+namespace QuantConnect.Messaging
+{
+    /// <summary>
+    /// Local/desktop implementation of messaging system for Lean Engine.
+    /// </summary>
+    public class Messaging : IMessagingHandler
+    {
+        /// <summary>
+        /// This implementation ignores the <seealso cref="HasSubscribers"/> flag and
+        /// instead will always write to the log.
+        /// </summary>
+        public bool HasSubscribers
+        {
+            get;
+            set;
+        }
+
+        /// <summary>
+        /// Initialize the messaging system
+        /// </summary>
+        /// <param name="initializeParameters">The parameters required for initialization</param>
+        public void Initialize(MessagingHandlerInitializeParameters initializeParameters)
+        {
+            //
+        }
+
+        /// <summary>
+        /// Set the messaging channel
+        /// </summary>
+        public virtual void SetAuthentication(AlgorithmNodePacket job)
+        {
+        }
+
+        /// <summary>
+        /// Send a generic base packet without processing
+        /// </summary>
+        public virtual void Send(Packet packet)
+        {
+            switch (packet.Type)
+            {
+                case PacketType.Debug:
+                    var debug = (DebugPacket)packet;
+                    Log.Trace("Debug: " + debug.Message);
+                    break;
+
+                case PacketType.SystemDebug:
+                    var systemDebug = (SystemDebugPacket)packet;
+                    Log.Trace("Debug: " + systemDebug.Message);
+                    break;
+
+                case PacketType.Log:
+                    var log = (LogPacket)packet;
+                    Log.Trace("Log: " + log.Message);
+                    break;
+
+                case PacketType.RuntimeError:
+                    var runtime = (RuntimeErrorPacket)packet;
+                    var rstack = (!string.IsNullOrEmpty(runtime.StackTrace) ? (Environment.NewLine + " " + runtime.StackTrace) : string.Empty);
+                    Log.Error(runtime.Message + rstack);
+                    break;
+
+                case PacketType.HandledError:
+                    var handled = (HandledErrorPacket)packet;
+                    var hstack = (!string.IsNullOrEmpty(handled.StackTrace) ? (Environment.NewLine + " " + handled.StackTrace) : string.Empty);
+                    Log.Error(handled.Message + hstack);
+                    break;
+
+                case PacketType.AlphaResult:
+                    break;
+
+                case PacketType.BacktestResult:
+                    var result = (BacktestResultPacket)packet;
+
+                    if (result.Progress == 1)
+                    {
+                        var orderHash = result.Results.Orders.GetHash();
+                        result.Results.Statistics.Add("OrderListHash", orderHash);
+
+                        var statisticsStr = $"{Environment.NewLine}" +
+                            $"{string.Join(Environment.NewLine, result.Results.Statistics.Select(x => $"STATISTICS:: {x.Key} {x.Value}"))}";
+                        Log.Trace(statisticsStr);
+                    }
+                    break;
+            }
+        }
+
+        /// <summary>
+        /// Send any notification with a base type of Notification.
+        /// </summary>
+        public void SendNotification(Notification notification)
+        {
+            if (!notification.CanSend())
+            {
+                Log.Error("Messaging.SendNotification(): Send not implemented for notification of type: " + notification.GetType().Name);
+                return;
+            }
+            notification.Send();
+        }
+
+        /// <summary>
+        /// Dispose of any resources
+        /// </summary>
+        public void Dispose()
+        {
+        }
+    }
+}
@@ -0,0 +1,17 @@
+using System.Reflection;
+using System.Runtime.InteropServices;
+
+// General Information about an assembly is controlled through the following 
+// set of attributes. Change these attribute values to modify the information
+// associated with an assembly.
+[assembly: AssemblyTitle("QuantConnect.Messaging")]
+[assembly: AssemblyProduct("QuantConnect.Messaging")]
+[assembly: AssemblyCulture("")]
+
+// Setting ComVisible to false makes the types in this assembly not visible 
+// to COM components.  If you need to access a type in this assembly from 
+// COM, set the ComVisible attribute to true on that type.
+[assembly: ComVisible(false)]
+
+// The following GUID is for the ID of the typelib if this project is exposed to COM
+[assembly: Guid("ebbf7771-8d17-488e-86a6-b0f33f69612d")]
@@ -0,0 +1,49 @@
+<Project Sdk="Microsoft.NET.Sdk">
+  <PropertyGroup>
+    <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
+    <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
+    <RootNamespace>QuantConnect.Messaging</RootNamespace>
+    <AssemblyName>QuantConnect.Messaging</AssemblyName>
+    <TargetFramework>net10.0</TargetFramework>
+    <AnalysisMode>AllEnabledByDefault</AnalysisMode>
+    <GenerateAssemblyInfo>false</GenerateAssemblyInfo>
+    <OutputPath>bin\$(Configuration)\</OutputPath>
+    <DocumentationFile>bin\$(Configuration)\QuantConnect.Messaging.xml</DocumentationFile>
+    <AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
+    <Description>QuantConnect LEAN Engine: Messaging Project - The external messaging system implementation</Description>
+    <PackageLicenseFile>LICENSE</PackageLicenseFile>
+    <NoWarn>CA1062</NoWarn>
+  </PropertyGroup>
+  <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
+    <DebugType>full</DebugType>
+    <Optimize>$(SelectedOptimization)</Optimize>
+    <OutputPath>bin\Debug\</OutputPath>
+    <DefineConstants>DEBUG;TRACE</DefineConstants>
+  </PropertyGroup>
+  <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
+    <DebugType>pdbonly</DebugType>
+    <Optimize>true</Optimize>
+    <DefineConstants>TRACE</DefineConstants>
+  </PropertyGroup>
+  <Target Name="Print" BeforeTargets="Build">
+    <Message Text="SelectedOptimization $(SelectedOptimization)" Importance="high" />
+  </Target>
+  <ItemGroup>
+    <PackageReference Include="NetMQ" Version="4.0.1.6" />
+    <PackageReference Include="Newtonsoft.Json" Version="13.0.2" />
+  </ItemGroup>
+  <ItemGroup>
+    <Compile Include="..\Common\Properties\SharedAssemblyInfo.cs" Link="Properties\SharedAssemblyInfo.cs" />
+  </ItemGroup>
+  <ItemGroup>
+    <ProjectReference Include="..\Common\QuantConnect.csproj" />
+    <ProjectReference Include="..\Configuration\QuantConnect.Configuration.csproj" />
+    <ProjectReference Include="..\Logging\QuantConnect.Logging.csproj" />
+  </ItemGroup>
+  <ItemGroup>
+    <None Include="..\LICENSE">
+      <Pack>True</Pack>
+      <PackagePath></PackagePath>
+    </None>
+  </ItemGroup>
+</Project>
@@ -0,0 +1,131 @@
+/*
+ * 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.Net;
+using System.Net.Sockets;
+using Newtonsoft.Json;
+using QuantConnect.Configuration;
+using QuantConnect.Interfaces;
+using QuantConnect.Logging;
+using QuantConnect.Notifications;
+using QuantConnect.Packets;
+using NetMQ;
+using NetMQ.Sockets;
+using QuantConnect.Orders.Serialization;
+
+namespace QuantConnect.Messaging
+{
+    /// <summary>
+    /// Message handler that sends messages over tcp using NetMQ.
+    /// </summary>
+    public class StreamingMessageHandler : IMessagingHandler
+    {
+        private string _port;
+        private PushSocket _server;
+        private AlgorithmNodePacket _job;
+        private OrderEventJsonConverter _orderEventJsonConverter;
+
+        /// <summary>
+        /// Gets or sets whether this messaging handler has any current subscribers.
+        /// This is not used in this message handler.  Messages are sent via tcp as they arrive
+        /// </summary>
+        public bool HasSubscribers { get; set; }
+
+        /// <summary>
+        /// Initialize the messaging system
+        /// </summary>
+        /// <param name="initializeParameters">The parameters required for initialization</param>
+        public void Initialize(MessagingHandlerInitializeParameters initializeParameters)
+        {
+            _port = Config.Get("desktop-http-port");
+            CheckPort();
+            _server = new PushSocket("@tcp://*:" + _port);
+        }
+
+        /// <summary>
+        /// Set the user communication channel
+        /// </summary>
+        /// <param name="job"></param>
+        public void SetAuthentication(AlgorithmNodePacket job)
+        {
+            _job = job;
+            _orderEventJsonConverter = new OrderEventJsonConverter(job.AlgorithmId);
+            Transmit(_job);
+        }
+
+        /// <summary>
+        /// Send any notification with a base type of Notification.
+        /// </summary>
+        /// <param name="notification">The notification to be sent.</param>
+        public void SendNotification(Notification notification)
+        {
+            if (!notification.CanSend())
+            {
+                Log.Error("Messaging.SendNotification(): Send not implemented for notification of type: " + notification.GetType().Name);
+                return;
+            }
+            notification.Send();
+        }
+
+        /// <summary>
+        /// Send all types of packets
+        /// </summary>
+        public void Send(Packet packet)
+        {
+           Transmit(packet);
+        }
+
+        /// <summary>
+        /// Send a message to the _server using ZeroMQ
+        /// </summary>
+        /// <param name="packet">Packet to transmit</param>
+        public void Transmit(Packet packet)
+        {
+            var payload = JsonConvert.SerializeObject(packet, _orderEventJsonConverter);
+
+            var message = new NetMQMessage();
+
+            message.Append(payload);
+
+            _server.SendMultipartMessage(message);
+        }
+
+        /// <summary>
+        /// Check if port to be used by the desktop application is available.
+        /// </summary>
+        private void CheckPort()
+        {
+            try
+            {
+                TcpListener tcpListener = new TcpListener(IPAddress.Any, _port.ToInt32());
+                tcpListener.Start();
+                tcpListener.Stop();
+            }
+            catch
+            {
+                throw new Exception("The port configured in config.json is either being used or blocked by a firewall." +
+                    "Please choose a new port or open the port in the firewall.");
+            }
+        }
+
+        /// <summary>
+        /// Dispose any resources used before destruction
+        /// </summary>
+        public void Dispose()
+        {
+        }
+    }
+}