/*
* 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.IO;
using QuantConnect.Configuration;
using QuantConnect.Orders;
using QuantConnect.Util;
namespace QuantConnect.Lean.Engine.Results
{
///
/// Provides a wrapper over the that logs all order events
/// to a separate file
///
public class RegressionResultHandler : BacktestingResultHandler
{
private Language Language => Config.GetValue("algorithm-language");
private readonly Lazy OrdersLogStreamWriter;
///
/// Gets the path used for logging all order events
///
public string OrdersLogFilePath => $"./regression/{Algorithm.AlgorithmId}.{Language.ToLower()}.orders.log";
///
/// Initializes a new instance of the class
///
public RegressionResultHandler()
{
OrdersLogStreamWriter = new Lazy(() =>
{
var fileInfo = new FileInfo(OrdersLogFilePath);
Directory.CreateDirectory(fileInfo.DirectoryName);
if (fileInfo.Exists) fileInfo.Delete();
return new StreamWriter(OrdersLogFilePath);
});
}
///
/// Log the order and order event to the dedicated log file for this regression algorithm
///
/// In backtesting the order events are not sent because it would generate a high load of messaging.
/// New order event details
public override void OrderEvent(OrderEvent newEvent)
{
// log order events to a separate file for easier diffing of regression runs
var order = Algorithm.Transactions.GetOrderById(newEvent.OrderId);
OrdersLogStreamWriter.Value.WriteLine($"{Algorithm.UtcTime}: Order: {order} OrderEvent: {newEvent}");
base.OrderEvent(newEvent);
}
///
/// Terminate the result thread and apply any required exit procedures.
/// Save orders log files to disk.
///
public override void Exit()
{
base.Exit();
if (OrdersLogStreamWriter.IsValueCreated)
{
OrdersLogStreamWriter.Value.DisposeSafely();
}
}
}
}