wehub-resource-sync
566 lines
24 KiB
C#
566 lines
24 KiB
C#
/*
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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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using System.Collections.Concurrent;
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using System.Collections.Generic;
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using System.Globalization;
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using System.Linq;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Algorithm
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{
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public partial class QCAlgorithm
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{
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private bool _isEmitWarmupPlotWarningSet;
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private readonly ConcurrentDictionary<string, Chart> _charts = new ConcurrentDictionary<string, Chart>();
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private static readonly Dictionary<string, List<string>> ReservedChartSeriesNames = new Dictionary<string, List<string>>
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{
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{ "Strategy Equity", new List<string> { "Equity", "Return" } },
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{ "Capacity", new List<string> { "Strategy Capacity" } },
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{ "Drawdown", new List<string> { "Equity Drawdown" } },
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{ "Benchmark", new List<string>() { "Benchmark" } },
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{ "Assets Sales Volume", new List<string>() },
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{ "Exposure", new List<string>() },
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{ "Portfolio Margin", new List<string>() },
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{ "Portfolio Turnover", new List<string> { "Portfolio Turnover" } }
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};
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/// <summary>
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/// Access to the runtime statistics property. User provided statistics.
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/// </summary>
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/// <remarks> RuntimeStatistics are displayed in the head banner in live trading</remarks>
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[DocumentationAttribute(Charting)]
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public ConcurrentDictionary<string, string> RuntimeStatistics { get; } = new ConcurrentDictionary<string, string>();
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/// <summary>
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/// Add a Chart object to algorithm collection
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/// </summary>
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/// <param name="chart">Chart object to add to collection.</param>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void AddChart(Chart chart)
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{
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_charts.TryAdd(chart.Name, chart);
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}
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/// <summary>
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/// Plot a chart using string series name, with value.
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/// </summary>
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/// <param name="series">Name of the plot series</param>
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/// <param name="value">Value to plot</param>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string series, decimal value)
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{
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//By default plot to the primary chart:
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Plot("Strategy Equity", series, value);
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}
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/// <summary>
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/// Plot a chart using string series name, with int value. Alias of Plot();
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/// </summary>
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/// <remarks> Record(string series, int value)</remarks>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Record(string series, int value)
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{
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Plot(series, value);
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}
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/// <summary>
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/// Plot a chart using string series name, with double value. Alias of Plot();
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/// </summary>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Record(string series, double value)
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{
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Plot(series, value);
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}
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/// <summary>
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/// Plot a chart using string series name, with decimal value. Alias of Plot();
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/// </summary>
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/// <param name="series"></param>
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/// <param name="value"></param>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Record(string series, decimal value)
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{
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//By default plot to the primary chart:
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Plot(series, value);
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}
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/// <summary>
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/// Plot a chart using string series name, with double value.
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/// </summary>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string series, double value) {
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Plot(series, value.SafeDecimalCast());
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}
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/// <summary>
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/// Plot a chart using string series name, with int value.
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/// </summary>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string series, int value)
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{
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Plot(series, (decimal)value);
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}
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/// <summary>
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///Plot a chart using string series name, with float value.
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/// </summary>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string series, float value)
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{
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Plot(series, (double)value);
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}
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/// <summary>
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/// Plot a chart to string chart name, using string series name, with double value.
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/// </summary>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, string series, double value)
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{
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Plot(chart, series, value.SafeDecimalCast());
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}
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/// <summary>
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/// Plot a chart to string chart name, using string series name, with int value
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/// </summary>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, string series, int value)
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{
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Plot(chart, series, (decimal)value);
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}
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/// <summary>
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/// Plot a chart to string chart name, using string series name, with float value
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/// </summary>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, string series, float value)
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{
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Plot(chart, series, (double)value);
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}
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/// <summary>
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/// Plot a value to a chart of string-chart name, with string series name, and decimal value. If chart does not exist, create it.
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/// </summary>
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/// <param name="chart">Chart name</param>
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/// <param name="series">Series name</param>
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/// <param name="value">Value of the point</param>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, string series, decimal value)
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{
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if (TryGetChartSeries(chart, series, out Series chartSeries))
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{
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chartSeries.AddPoint(UtcTime, value);
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}
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}
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/// <summary>
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/// Plot a candlestick to the default/primary chart series by the given series name.
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/// </summary>
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/// <param name="series">Series name</param>
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/// <param name="open">The candlestick open value</param>
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/// <param name="high">The candlestick high value</param>
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/// <param name="low">The candlestick low value</param>
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/// <param name="close">The candlestick close value</param>
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/// <seealso cref="Plot(string,string,decimal,decimal,decimal,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string series, double open, double high, double low, double close)
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{
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Plot(series, open.SafeDecimalCast(), high.SafeDecimalCast(), low.SafeDecimalCast(), close.SafeDecimalCast());
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}
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/// <summary>
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/// Plot a candlestick to the default/primary chart series by the given series name.
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/// </summary>
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/// <param name="series">Series name</param>
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/// <param name="open">The candlestick open value</param>
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/// <param name="high">The candlestick high value</param>
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/// <param name="low">The candlestick low value</param>
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/// <param name="close">The candlestick close value</param>
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/// <seealso cref="Plot(string,string,decimal,decimal,decimal,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string series, float open, float high, float low, float close)
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{
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Plot(series, (double)open, (double)high, (double)low, (double)close);
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}
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/// <summary>
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/// Plot a candlestick to the default/primary chart series by the given series name.
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/// </summary>
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/// <param name="series">Series name</param>
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/// <param name="open">The candlestick open value</param>
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/// <param name="high">The candlestick high value</param>
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/// <param name="low">The candlestick low value</param>
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/// <param name="close">The candlestick close value</param>
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/// <seealso cref="Plot(string,string,decimal,decimal,decimal,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string series, int open, int high, int low, int close)
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{
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Plot(series, (decimal)open, (decimal)high, (decimal)low, (decimal)close);
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}
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/// <summary>
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/// Plot a candlestick to the default/primary chart series by the given series name.
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/// </summary>
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/// <param name="series">Name of the plot series</param>
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/// <param name="open">The candlestick open value</param>
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/// <param name="high">The candlestick high value</param>
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/// <param name="low">The candlestick low value</param>
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/// <param name="close">The candlestick close value</param>
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/// <seealso cref="Plot(string,string,decimal,decimal,decimal,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string series, decimal open, decimal high, decimal low, decimal close)
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{
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//By default plot to the primary chart:
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Plot("Strategy Equity", series, open, high, low, close);
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}
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/// <summary>
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/// Plot a candlestick to the given series of the given chart.
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/// </summary>
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/// <param name="chart">Chart name</param>
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/// <param name="series">Series name</param>
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/// <param name="open">The candlestick open value</param>
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/// <param name="high">The candlestick high value</param>
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/// <param name="low">The candlestick low value</param>
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/// <param name="close">The candlestick close value</param>
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/// <seealso cref="Plot(string,string,decimal,decimal,decimal,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, string series, double open, double high, double low, double close)
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{
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Plot(chart, series, open.SafeDecimalCast(), high.SafeDecimalCast(), low.SafeDecimalCast(), close.SafeDecimalCast());
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}
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/// <summary>
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/// Plot a candlestick to the given series of the given chart.
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/// </summary>
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/// <param name="chart">Chart name</param>
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/// <param name="series">Series name</param>
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/// <param name="open">The candlestick open value</param>
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/// <param name="high">The candlestick high value</param>
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/// <param name="low">The candlestick low value</param>
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/// <param name="close">The candlestick close value</param>
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/// <seealso cref="Plot(string,string,decimal,decimal,decimal,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, string series, float open, float high, float low, float close)
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{
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Plot(chart, series, (double)open, (double)high, (double)low, (double)close);
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}
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/// <summary>
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/// Plot a candlestick to the given series of the given chart.
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/// </summary>
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/// <param name="chart">Chart name</param>
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/// <param name="series">Series name</param>
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/// <param name="open">The candlestick open value</param>
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/// <param name="high">The candlestick high value</param>
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/// <param name="low">The candlestick low value</param>
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/// <param name="close">The candlestick close value</param>
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/// <seealso cref="Plot(string,string,decimal,decimal,decimal,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, string series, int open, int high, int low, int close)
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{
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Plot(chart, series, (decimal)open, (decimal)high, (decimal)low, (decimal)close);
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}
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/// <summary>
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/// Plot a candlestick to a chart of string-chart name, with string series name, and decimal value. If chart does not exist, create it.
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/// </summary>
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/// <param name="chart">Chart name</param>
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/// <param name="series">Series name</param>
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/// <param name="open">The candlestick open value</param>
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/// <param name="high">The candlestick high value</param>
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/// <param name="low">The candlestick low value</param>
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/// <param name="close">The candlestick close value</param>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, string series, decimal open, decimal high, decimal low, decimal close)
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{
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if (TryGetChartSeries(chart, series, out CandlestickSeries candlestickSeries))
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{
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candlestickSeries.AddPoint(UtcTime, open, high, low, close);
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}
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}
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/// <summary>
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/// Plot a candlestick to the given series of the given chart.
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/// </summary>
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/// <param name="series">Name of the plot series</param>
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/// <param name="bar">The trade bar to be plotted to the candlestick series</param>
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/// <seealso cref="Plot(string,string,decimal,decimal,decimal,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string series, TradeBar bar)
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{
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Plot(series, bar.Open, bar.High, bar.Low, bar.Close);
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}
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/// <summary>
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/// Plot a candlestick to the given series of the given chart.
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/// </summary>
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/// <param name="chart">Chart name</param>
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/// <param name="series">Name of the plot series</param>
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/// <param name="bar">The trade bar to be plotted to the candlestick series</param>
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/// <seealso cref="Plot(string,string,decimal,decimal,decimal,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, string series, TradeBar bar)
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{
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Plot(chart, series, bar.Open, bar.High, bar.Low, bar.Close);
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}
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private bool TryGetChartSeries<T>(string chartName, string seriesName, out T series)
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where T : BaseSeries, new()
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{
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series = null;
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// Check if chart/series names are reserved
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if (ReservedChartSeriesNames.TryGetValue(chartName, out var reservedSeriesNames))
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{
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if (reservedSeriesNames.Count == 0)
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{
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throw new ArgumentException($"'{chartName}' is a reserved chart name.");
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}
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if (reservedSeriesNames.Contains(seriesName))
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{
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throw new ArgumentException($"'{seriesName}' is a reserved series name for chart '{chartName}'.");
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}
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}
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if(!_charts.TryGetValue(chartName, out var chart))
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{
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// If we don't have the chart, create it
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_charts[chartName] = chart = new Chart(chartName);
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}
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if (!chart.Series.TryGetValue(seriesName, out var chartSeries))
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{
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chartSeries = new T() { Name = seriesName };
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chart.AddSeries(chartSeries);
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}
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if (LiveMode && IsWarmingUp)
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{
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if (!_isEmitWarmupPlotWarningSet)
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{
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_isEmitWarmupPlotWarningSet = true;
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Debug("Plotting is disabled during algorithm warmup in live trading.");
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}
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return false;
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}
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series = (T)chartSeries;
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return true;
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}
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/// <summary>
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/// Add a series object for charting. This is useful when initializing charts with
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/// series other than type = line. If a series exists in the chart with the same name,
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/// then it is replaced.
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/// </summary>
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/// <param name="chart">The chart name</param>
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/// <param name="series">The series name</param>
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/// <param name="seriesType">The type of series, i.e, Scatter</param>
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/// <param name="unit">The unit of the y axis, usually $</param>
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[DocumentationAttribute(Charting)]
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public void AddSeries(string chart, string series, SeriesType seriesType, string unit = "$")
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{
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Chart c;
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if (!_charts.TryGetValue(chart, out c))
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{
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_charts[chart] = c = new Chart(chart);
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}
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c.Series[series] = BaseSeries.Create(seriesType, series, unit: unit);
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}
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/// <summary>
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/// Plots the value of each indicator on the chart
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/// </summary>
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/// <param name="chart">The chart's name</param>
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/// <param name="indicators">The indicators to plot</param>
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/// <seealso cref="Plot(string,string,decimal)"/>
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[DocumentationAttribute(Charting)]
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public void Plot(string chart, params IndicatorBase[] indicators)
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{
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foreach (var indicator in indicators)
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{
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Plot(chart, indicator.Name, indicator.Current.Value);
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}
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}
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/// <summary>
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/// Automatically plots each indicator when a new value is available
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/// </summary>
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[DocumentationAttribute(Charting)]
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[DocumentationAttribute(Indicators)]
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public void PlotIndicator(string chart, params IndicatorBase[] indicators)
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{
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PlotIndicator(chart, false, indicators);
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}
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/// <summary>
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/// Automatically plots each indicator when a new value is available, optionally waiting for indicator.IsReady to return true
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/// </summary>
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[DocumentationAttribute(Charting)]
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[DocumentationAttribute(Indicators)]
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public void PlotIndicator(string chart, bool waitForReady, params IndicatorBase[] indicators)
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{
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foreach (var i in indicators)
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{
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if (i == null) continue;
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// copy loop variable for usage in closure
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var ilocal = i;
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i.Updated += (sender, args) =>
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{
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if (!waitForReady || ilocal.IsReady)
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{
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Plot(chart, ilocal);
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}
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};
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}
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}
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/// <summary>
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/// Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI.
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/// </summary>
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/// <param name="name">Name of your runtime statistic</param>
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/// <param name="value">String value of your runtime statistic</param>
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/// <seealso cref="LiveMode"/>
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[DocumentationAttribute(Charting)]
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public void SetRuntimeStatistic(string name, string value)
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{
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RuntimeStatistics.AddOrUpdate(name, value);
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}
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/// <summary>
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/// Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI.
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/// </summary>
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/// <param name="name">Name of your runtime statistic</param>
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/// <param name="value">Decimal value of your runtime statistic</param>
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[DocumentationAttribute(Charting)]
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public void SetRuntimeStatistic(string name, decimal value)
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{
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SetRuntimeStatistic(name, value.ToString(CultureInfo.InvariantCulture));
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}
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/// <summary>
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/// Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI.
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/// </summary>
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/// <param name="name">Name of your runtime statistic</param>
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/// <param name="value">Int value of your runtime statistic</param>
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[DocumentationAttribute(Charting)]
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public void SetRuntimeStatistic(string name, int value)
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{
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SetRuntimeStatistic(name, value.ToStringInvariant());
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}
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/// <summary>
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/// Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI.
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|
/// </summary>
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|
/// <param name="name">Name of your runtime statistic</param>
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|
/// <param name="value">Double value of your runtime statistic</param>
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|
[DocumentationAttribute(Charting)]
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|
public void SetRuntimeStatistic(string name, double value)
|
|
{
|
|
SetRuntimeStatistic(name, value.ToString(CultureInfo.InvariantCulture));
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|
}
|
|
|
|
/// <summary>
|
|
/// Set a custom summary statistic for the algorithm.
|
|
/// </summary>
|
|
/// <param name="name">Name of the custom summary statistic</param>
|
|
/// <param name="value">Value of the custom summary statistic</param>
|
|
[DocumentationAttribute(StatisticsTag)]
|
|
public void SetSummaryStatistic(string name, string value)
|
|
{
|
|
if (int.TryParse(name, NumberStyles.Integer, CultureInfo.InvariantCulture, out var intName) &&
|
|
intName >= 0 && intName <= 100)
|
|
{
|
|
throw new ArgumentException($"'{name}' is a reserved statistic name.");
|
|
}
|
|
|
|
_statisticsService.SetSummaryStatistic(name, value);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Set a custom summary statistic for the algorithm.
|
|
/// </summary>
|
|
/// <param name="name">Name of the custom summary statistic</param>
|
|
/// <param name="value">Value of the custom summary statistic</param>
|
|
[DocumentationAttribute(StatisticsTag)]
|
|
public void SetSummaryStatistic(string name, int value)
|
|
{
|
|
SetSummaryStatistic(name, value.ToStringInvariant());
|
|
}
|
|
|
|
/// <summary>
|
|
/// Set a custom summary statistic for the algorithm.
|
|
/// </summary>
|
|
/// <param name="name">Name of the custom summary statistic</param>
|
|
/// <param name="value">Value of the custom summary statistic</param>
|
|
[DocumentationAttribute(StatisticsTag)]
|
|
public void SetSummaryStatistic(string name, double value)
|
|
{
|
|
SetSummaryStatistic(name, value.ToStringInvariant());
|
|
}
|
|
|
|
/// <summary>
|
|
/// Set a custom summary statistic for the algorithm.
|
|
/// </summary>
|
|
/// <param name="name">Name of the custom summary statistic</param>
|
|
/// <param name="value">Value of the custom summary statistic</param>
|
|
[DocumentationAttribute(StatisticsTag)]
|
|
public void SetSummaryStatistic(string name, decimal value)
|
|
{
|
|
SetSummaryStatistic(name, value.ToStringInvariant());
|
|
}
|
|
|
|
/// <summary>
|
|
/// Get the chart updates by fetch the recent points added and return for dynamic Charting.
|
|
/// </summary>
|
|
/// <param name="clearChartData"></param>
|
|
/// <returns>List of chart updates since the last request</returns>
|
|
/// <remarks>GetChartUpdates returns the latest updates since previous request.</remarks>
|
|
[DocumentationAttribute(Charting)]
|
|
public IEnumerable<Chart> GetChartUpdates(bool clearChartData = false)
|
|
{
|
|
foreach (var chart in _charts.Values)
|
|
{
|
|
yield return chart.GetUpdates();
|
|
if (clearChartData)
|
|
{
|
|
// we can clear this data out after getting updates to prevent unnecessary memory usage
|
|
foreach (var series in chart.Series)
|
|
{
|
|
series.Value.Purge();
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|