Files
quantconnect--lean/Engine/Engine.cs

585 lines
30 KiB
C#

/*
* 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.Collections.Generic;
using System.Diagnostics;
using System.IO;
using System.Linq;
using System.Runtime.CompilerServices;
using System.Threading;
using System.Threading.Tasks;
using QuantConnect.Brokerages;
using QuantConnect.Configuration;
using QuantConnect.Data;
using QuantConnect.Exceptions;
using QuantConnect.Interfaces;
using QuantConnect.Lean.Engine.DataFeeds;
using QuantConnect.Lean.Engine.HistoricalData;
using QuantConnect.Lean.Engine.Setup;
using QuantConnect.Logging;
using QuantConnect.Orders;
using QuantConnect.Packets;
using QuantConnect.Securities;
using QuantConnect.Statistics;
using QuantConnect.Util;
namespace QuantConnect.Lean.Engine
{
/// <summary>
/// LEAN ALGORITHMIC TRADING ENGINE: ENTRY POINT.
///
/// The engine loads new tasks, create the algorithms and threads, and sends them
/// to Algorithm Manager to be executed. It is the primary operating loop.
/// </summary>
public class Engine
{
private readonly bool _liveMode;
private readonly LeanEngineSystemHandlers _systemHandlers;
private readonly LeanEngineAlgorithmHandlers _algorithmHandlers;
private readonly Lazy<StackExceptionInterpreter> _exceptionInterpreter
= new Lazy<StackExceptionInterpreter>(() => StackExceptionInterpreter.CreateFromAssemblies(AppDomain.CurrentDomain.GetAssemblies()));
/// <summary>
/// Gets the configured system handlers for this engine instance
/// </summary>
public LeanEngineSystemHandlers SystemHandlers
{
get { return _systemHandlers; }
}
/// <summary>
/// Gets the configured algorithm handlers for this engine instance
/// </summary>
public LeanEngineAlgorithmHandlers AlgorithmHandlers
{
get { return _algorithmHandlers;}
}
/// <summary>
/// Initializes a new instance of the <see cref="Engine"/> class using the specified handlers
/// </summary>
/// <param name="systemHandlers">The system handlers for controlling acquisition of jobs, messaging, and api calls</param>
/// <param name="algorithmHandlers">The algorithm handlers for managing algorithm initialization, data, results, transaction, and real time events</param>
/// <param name="liveMode">True when running in live mode, false otherwises</param>
public Engine(LeanEngineSystemHandlers systemHandlers, LeanEngineAlgorithmHandlers algorithmHandlers, bool liveMode)
{
_liveMode = liveMode;
_systemHandlers = systemHandlers;
_algorithmHandlers = algorithmHandlers;
}
/// <summary>
/// Runs a single backtest/live job from the job queue
/// </summary>
/// <param name="job">The algorithm job to be processed</param>
/// <param name="manager"></param>
/// <param name="assemblyPath">The path to the algorithm's assembly</param>
public void Run(AlgorithmNodePacket job, AlgorithmManager manager, string assemblyPath)
{
var marketHoursDatabaseTask = Task.Run(() => StaticInitializations());
var algorithm = default(IAlgorithm);
var algorithmManager = manager;
try
{
//Reset thread holders.
var initializeComplete = false;
Thread threadResults = null;
Thread threadRealTime = null;
Thread threadAlphas = null;
WorkerThread workerThread = null;
//-> Initialize messaging system
_systemHandlers.Notify.SetAuthentication(job);
//-> Set the result handler type for this algorithm job, and launch the associated result thread.
_algorithmHandlers.Results.Initialize(job, _systemHandlers.Notify, _systemHandlers.Api, _algorithmHandlers.Setup, _algorithmHandlers.Transactions);
threadResults = new Thread(_algorithmHandlers.Results.Run, 0) { IsBackground = true, Name = "Result Thread" };
threadResults.Start();
IBrokerage brokerage = null;
DataManager dataManager = null;
var synchronizer = _liveMode ? new LiveSynchronizer() : new Synchronizer();
try
{
// we get the mhdb before creating the algorithm instance,
// since the algorithm constructor will use it
var marketHoursDatabase = marketHoursDatabaseTask.Result;
// start worker thread
workerThread = _algorithmHandlers.WorkerThread;
// Save algorithm to cache, load algorithm instance:
algorithm = _algorithmHandlers.Setup.CreateAlgorithmInstance(job, assemblyPath);
// Set algorithm in ILeanManager
_systemHandlers.LeanManager.SetAlgorithm(algorithm);
// initialize the alphas handler with the algorithm instance
_algorithmHandlers.Alphas.Initialize(job, algorithm, _systemHandlers.Notify, _systemHandlers.Api);
// Initialize the brokerage
IBrokerageFactory factory;
brokerage = _algorithmHandlers.Setup.CreateBrokerage(job, algorithm, out factory);
var symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder();
var securityService = new SecurityService(algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDatabase,
(ISecurityInitializerProvider)algorithm);
algorithm.Securities.SetSecurityService(securityService);
dataManager = new DataManager(_algorithmHandlers.DataFeed,
new UniverseSelection(
algorithm,
securityService),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
_liveMode);
_algorithmHandlers.Results.SetDataManager(dataManager);
algorithm.SubscriptionManager.SetDataManager(dataManager);
synchronizer.Initialize(algorithm, dataManager);
// Initialize the data feed before we initialize so he can intercept added securities/universes via events
_algorithmHandlers.DataFeed.Initialize(
algorithm,
job,
_algorithmHandlers.Results,
_algorithmHandlers.MapFileProvider,
_algorithmHandlers.FactorFileProvider,
_algorithmHandlers.DataProvider,
dataManager,
(IDataFeedTimeProvider) synchronizer);
// set the order processor on the transaction manager (needs to be done before initializing BrokerageHistoryProvider)
algorithm.Transactions.SetOrderProcessor(_algorithmHandlers.Transactions);
algorithm.SetOrderEventProvider(_algorithmHandlers.Transactions);
// set the history provider before setting up the algorithm
var historyProvider = GetHistoryProvider(job.HistoryProvider);
if (historyProvider is BrokerageHistoryProvider)
{
(historyProvider as BrokerageHistoryProvider).SetBrokerage(brokerage);
}
var historyDataCacheProvider = new ZipDataCacheProvider(_algorithmHandlers.DataProvider, isDataEphemeral:_liveMode);
historyProvider.Initialize(
new HistoryProviderInitializeParameters(
job,
_systemHandlers.Api,
_algorithmHandlers.DataProvider,
historyDataCacheProvider,
_algorithmHandlers.MapFileProvider,
_algorithmHandlers.FactorFileProvider,
progress =>
{
// send progress updates to the result handler only during initialization
if (!algorithm.GetLocked() || algorithm.IsWarmingUp)
{
_algorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.History,
string.Format("Processing history {0}%...", progress));
}
}
)
);
historyProvider.InvalidConfigurationDetected += (sender, args) => { _algorithmHandlers.Results.ErrorMessage(args.Message); };
historyProvider.NumericalPrecisionLimited += (sender, args) => { _algorithmHandlers.Results.DebugMessage(args.Message); };
historyProvider.DownloadFailed += (sender, args) => { _algorithmHandlers.Results.ErrorMessage(args.Message, args.StackTrace); };
historyProvider.ReaderErrorDetected += (sender, args) => { _algorithmHandlers.Results.RuntimeError(args.Message, args.StackTrace); };
algorithm.HistoryProvider = historyProvider;
// initialize the default brokerage message handler
algorithm.BrokerageMessageHandler = factory.CreateBrokerageMessageHandler(algorithm, job, _systemHandlers.Api);
//Initialize the internal state of algorithm and job: executes the algorithm.Initialize() method.
initializeComplete = _algorithmHandlers.Setup.Setup(new SetupHandlerParameters(dataManager.UniverseSelection, algorithm, brokerage, job, _algorithmHandlers.Results, _algorithmHandlers.Transactions, _algorithmHandlers.RealTime));
// set this again now that we've actually added securities
_algorithmHandlers.Results.SetAlgorithm(algorithm);
// alpha handler needs start/end dates to determine sample step sizes
_algorithmHandlers.Alphas.OnAfterAlgorithmInitialized(algorithm);
//If there are any reasons it failed, pass these back to the IDE.
if (!initializeComplete || algorithm.ErrorMessages.Count > 0 || _algorithmHandlers.Setup.Errors.Count > 0)
{
initializeComplete = false;
//Get all the error messages: internal in algorithm and external in setup handler.
var errorMessage = String.Join(",", algorithm.ErrorMessages);
errorMessage += String.Join(",", _algorithmHandlers.Setup.Errors.Select(e =>
{
var message = e.Message;
if (e.InnerException != null)
{
var err = _exceptionInterpreter.Value.Interpret(e.InnerException, _exceptionInterpreter.Value);
message += _exceptionInterpreter.Value.GetExceptionMessageHeader(err);
}
return message;
}));
Log.Error("Engine.Run(): " + errorMessage);
_algorithmHandlers.Results.RuntimeError(errorMessage);
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, errorMessage);
}
}
catch (Exception err)
{
Log.Error(err);
var runtimeMessage = "Algorithm.Initialize() Error: " + err.Message + " Stack Trace: " + err;
_algorithmHandlers.Results.RuntimeError(runtimeMessage, err.ToString());
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, runtimeMessage);
}
// log the job endpoints
Log.Trace("JOB HANDLERS: ");
Log.Trace(" DataFeed: " + _algorithmHandlers.DataFeed.GetType().FullName);
Log.Trace(" Setup: " + _algorithmHandlers.Setup.GetType().FullName);
Log.Trace(" RealTime: " + _algorithmHandlers.RealTime.GetType().FullName);
Log.Trace(" Results: " + _algorithmHandlers.Results.GetType().FullName);
Log.Trace(" Transactions: " + _algorithmHandlers.Transactions.GetType().FullName);
Log.Trace(" Alpha: " + _algorithmHandlers.Alphas.GetType().FullName);
if (algorithm?.HistoryProvider != null)
{
Log.Trace(" History Provider: " + algorithm.HistoryProvider.GetType().FullName);
}
if (job is LiveNodePacket) Log.Trace(" Brokerage: " + brokerage?.GetType().FullName);
//-> Using the job + initialization: load the designated handlers:
if (initializeComplete)
{
// notify the LEAN manager that the algorithm is initialized and starting
_systemHandlers.LeanManager.OnAlgorithmStart();
//-> Reset the backtest stopwatch; we're now running the algorithm.
var startTime = DateTime.Now;
//Set algorithm as locked; set it to live mode if we're trading live, and set it to locked for no further updates.
algorithm.SetAlgorithmId(job.AlgorithmId);
algorithm.SetLocked();
//Load the associated handlers for transaction and realtime events:
_algorithmHandlers.Transactions.Initialize(algorithm, brokerage, _algorithmHandlers.Results);
_algorithmHandlers.RealTime.Setup(algorithm, job, _algorithmHandlers.Results, _systemHandlers.Api);
// wire up the brokerage message handler
brokerage.Message += (sender, message) =>
{
algorithm.BrokerageMessageHandler.Handle(message);
// fire brokerage message events
algorithm.OnBrokerageMessage(message);
switch (message.Type)
{
case BrokerageMessageType.Disconnect:
algorithm.OnBrokerageDisconnect();
break;
case BrokerageMessageType.Reconnect:
algorithm.OnBrokerageReconnect();
break;
}
};
//Send status to user the algorithm is now executing.
_algorithmHandlers.Results.SendStatusUpdate(AlgorithmStatus.Running);
//Launch the data, transaction and realtime handlers into dedicated threads
threadRealTime = new Thread(_algorithmHandlers.RealTime.Run) { IsBackground = true, Name = "RealTime Thread" };
threadAlphas = new Thread(() => _algorithmHandlers.Alphas.Run()) {IsBackground = true, Name = "Alpha Thread" };
//Launch the data feed, result sending, and transaction models/handlers in separate threads.
threadRealTime.Start(); // RealTime scan time for time based events:
threadAlphas.Start(); // Alpha thread for processing algorithm alpha insights
// Result manager scanning message queue: (started earlier)
_algorithmHandlers.Results.DebugMessage(string.Format("Launching analysis for {0} with LEAN Engine v{1}", job.AlgorithmId, Globals.Version));
try
{
//Create a new engine isolator class
var isolator = new Isolator();
// Execute the Algorithm Code:
var complete = isolator.ExecuteWithTimeLimit(_algorithmHandlers.Setup.MaximumRuntime, algorithmManager.TimeLoopWithinLimits, () =>
{
try
{
//Run Algorithm Job:
// -> Using this Data Feed,
// -> Send Orders to this TransactionHandler,
// -> Send Results to ResultHandler.
algorithmManager.Run(job, algorithm, synchronizer, _algorithmHandlers.Transactions, _algorithmHandlers.Results, _algorithmHandlers.RealTime, _systemHandlers.LeanManager, _algorithmHandlers.Alphas, isolator.CancellationToken);
}
catch (Exception err)
{
//Debugging at this level is difficult, stack trace needed.
Log.Error(err);
algorithm.RunTimeError = err;
algorithmManager.SetStatus(AlgorithmStatus.RuntimeError);
return;
}
Log.Trace("Engine.Run(): Exiting Algorithm Manager");
}, job.Controls.RamAllocation, workerThread:workerThread);
if (!complete)
{
Log.Error("Engine.Main(): Failed to complete in time: " + _algorithmHandlers.Setup.MaximumRuntime.ToString("F"));
throw new Exception("Failed to complete algorithm within " + _algorithmHandlers.Setup.MaximumRuntime.ToString("F")
+ " seconds. Please make it run faster.");
}
// Algorithm runtime error:
if (algorithm.RunTimeError != null)
{
HandleAlgorithmError(job, algorithm.RunTimeError);
}
}
catch (Exception err)
{
//Error running the user algorithm: purge datafeed, send error messages, set algorithm status to failed.
HandleAlgorithmError(job, err);
}
// notify the LEAN manager that the algorithm has finished
_systemHandlers.LeanManager.OnAlgorithmEnd();
try
{
var trades = algorithm.TradeBuilder.ClosedTrades;
var charts = new Dictionary<string, Chart>(_algorithmHandlers.Results.Charts);
var orders = new Dictionary<int, Order>(_algorithmHandlers.Transactions.Orders);
var holdings = new Dictionary<string, Holding>();
var banner = new Dictionary<string, string>();
var statisticsResults = new StatisticsResults();
var csvTransactionsFileName = Config.Get("transaction-log");
if (!string.IsNullOrEmpty(csvTransactionsFileName))
{
SaveListOfTrades(_algorithmHandlers.Transactions, csvTransactionsFileName);
}
try
{
//Generates error when things don't exist (no charting logged, runtime errors in main algo execution)
const string strategyEquityKey = "Strategy Equity";
const string equityKey = "Equity";
const string dailyPerformanceKey = "Daily Performance";
const string benchmarkKey = "Benchmark";
// make sure we've taken samples for these series before just blindly requesting them
if (charts.ContainsKey(strategyEquityKey) &&
charts[strategyEquityKey].Series.ContainsKey(equityKey) &&
charts[strategyEquityKey].Series.ContainsKey(dailyPerformanceKey) &&
charts.ContainsKey(benchmarkKey) &&
charts[benchmarkKey].Series.ContainsKey(benchmarkKey)
)
{
var equity = charts[strategyEquityKey].Series[equityKey].Values;
var performance = charts[strategyEquityKey].Series[dailyPerformanceKey].Values;
var profitLoss = new SortedDictionary<DateTime, decimal>(algorithm.Transactions.TransactionRecord);
var totalTransactions = algorithm.Transactions.GetOrders(x => x.Status.IsFill()).Count();
var benchmark = charts[benchmarkKey].Series[benchmarkKey].Values;
statisticsResults = StatisticsBuilder.Generate(trades, profitLoss, equity, performance, benchmark,
_algorithmHandlers.Setup.StartingPortfolioValue, algorithm.Portfolio.TotalFees, totalTransactions);
//Some users have $0 in their brokerage account / starting cash of $0. Prevent divide by zero errors
var netReturn = _algorithmHandlers.Setup.StartingPortfolioValue > 0 ?
(algorithm.Portfolio.TotalPortfolioValue - _algorithmHandlers.Setup.StartingPortfolioValue) / _algorithmHandlers.Setup.StartingPortfolioValue
: 0;
//Add other fixed parameters.
banner.Add("Unrealized", "$" + algorithm.Portfolio.TotalUnrealizedProfit.ToString("N2"));
banner.Add("Fees", "-$" + algorithm.Portfolio.TotalFees.ToString("N2"));
banner.Add("Net Profit", "$" + algorithm.Portfolio.TotalProfit.ToString("N2"));
banner.Add("Return", netReturn.ToString("P"));
banner.Add("Equity", "$" + algorithm.Portfolio.TotalPortfolioValue.ToString("N2"));
}
}
catch (Exception err)
{
Log.Error(err, "Error generating statistics packet");
}
//Diagnostics Completed, Send Result Packet:
var totalSeconds = (DateTime.Now - startTime).TotalSeconds;
var dataPoints = algorithmManager.DataPoints + algorithm.HistoryProvider.DataPointCount;
if (!_liveMode)
{
var kps = dataPoints / (double) 1000 / totalSeconds;
_algorithmHandlers.Results.DebugMessage($"Algorithm Id:({job.AlgorithmId}) completed in {totalSeconds:F2} seconds at {kps:F0}k data points per second. Processing total of {dataPoints:N0} data points.");
}
_algorithmHandlers.Results.SendFinalResult(job, orders, algorithm.Transactions.TransactionRecord, holdings, algorithm.Portfolio.CashBook, statisticsResults, banner);
}
catch (Exception err)
{
Log.Error(err, "Error sending analysis results");
}
//Before we return, send terminate commands to close up the threads
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.RealTime.Exit();
_algorithmHandlers.Alphas.Exit();
dataManager?.RemoveAllSubscriptions();
workerThread?.Dispose();
}
//Close result handler:
_algorithmHandlers.Results.Exit();
//Wait for the threads to complete:
var millisecondInterval = 10;
var millisecondTotalWait = 0;
while ((_algorithmHandlers.Results.IsActive
|| (_algorithmHandlers.Transactions != null && _algorithmHandlers.Transactions.IsActive)
|| (_algorithmHandlers.DataFeed != null && _algorithmHandlers.DataFeed.IsActive)
|| (_algorithmHandlers.RealTime != null && _algorithmHandlers.RealTime.IsActive)
|| (_algorithmHandlers.Alphas != null && _algorithmHandlers.Alphas.IsActive))
&& millisecondTotalWait < 30*1000)
{
Thread.Sleep(millisecondInterval);
if (millisecondTotalWait % (millisecondInterval * 10) == 0)
{
Log.Trace("Waiting for threads to exit...");
}
millisecondTotalWait += millisecondInterval;
}
//Terminate threads still in active state.
if (threadResults != null && threadResults.IsAlive) threadResults.Abort();
if (threadAlphas != null && threadAlphas.IsAlive) threadAlphas.Abort();
if (brokerage != null)
{
Log.Trace("Engine.Run(): Disconnecting from brokerage...");
brokerage.Disconnect();
brokerage.Dispose();
}
if (_algorithmHandlers.Setup != null)
{
Log.Trace("Engine.Run(): Disposing of setup handler...");
_algorithmHandlers.Setup.Dispose();
}
Log.Trace("Engine.Main(): Analysis Completed and Results Posted.");
}
catch (Exception err)
{
Log.Error(err, "Error running algorithm");
}
finally
{
//No matter what for live mode; make sure we've set algorithm status in the API for "not running" conditions:
if (_liveMode && algorithmManager.State != AlgorithmStatus.Running && algorithmManager.State != AlgorithmStatus.RuntimeError)
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, algorithmManager.State);
_algorithmHandlers.Results.Exit();
_algorithmHandlers.DataFeed.Exit();
_algorithmHandlers.Transactions.Exit();
_algorithmHandlers.RealTime.Exit();
}
}
/// <summary>
/// Handle an error in the algorithm.Run method.
/// </summary>
/// <param name="job">Job we're processing</param>
/// <param name="err">Error from algorithm stack</param>
private void HandleAlgorithmError(AlgorithmNodePacket job, Exception err)
{
Log.Error(err, "Breaking out of parent try catch:");
if (_algorithmHandlers.DataFeed != null) _algorithmHandlers.DataFeed.Exit();
if (_algorithmHandlers.Results != null)
{
// perform exception interpretation
err = _exceptionInterpreter.Value.Interpret(err, _exceptionInterpreter.Value);
var message = "Runtime Error: " + _exceptionInterpreter.Value.GetExceptionMessageHeader(err);
Log.Trace("Engine.Run(): Sending runtime error to user...");
_algorithmHandlers.Results.LogMessage(message);
_algorithmHandlers.Results.RuntimeError(message, err.ToString());
_systemHandlers.Api.SetAlgorithmStatus(job.AlgorithmId, AlgorithmStatus.RuntimeError, message + " Stack Trace: " + err);
}
}
/// <summary>
/// Load the history provider from the Composer
/// </summary>
private IHistoryProvider GetHistoryProvider(string historyProvider)
{
if (historyProvider.IsNullOrEmpty())
{
historyProvider = Config.Get("history-provider", "SubscriptionDataReaderHistoryProvider");
}
return Composer.Instance.GetExportedValueByTypeName<IHistoryProvider>(historyProvider);
}
/// <summary>
/// Save a list of trades to disk for a given path
/// </summary>
/// <param name="transactions">Transactions list via an OrderProvider</param>
/// <param name="csvFileName">File path to create</param>
private static void SaveListOfTrades(IOrderProvider transactions, string csvFileName)
{
var orders = transactions.GetOrders(x => x.Status.IsFill());
var path = Path.GetDirectoryName(csvFileName);
if (path != null && !Directory.Exists(path))
Directory.CreateDirectory(path);
using (var writer = new StreamWriter(csvFileName))
{
foreach (var order in orders)
{
var line = string.Format("{0},{1},{2},{3},{4}",
order.Time.ToString("yyyy-MM-dd HH:mm:ss"),
order.Symbol.Value,
order.Direction,
order.Quantity,
order.Price);
writer.WriteLine(line);
}
}
}
/// <summary>
/// Initialize slow static variables
/// </summary>
[MethodImpl(MethodImplOptions.NoOptimization | MethodImplOptions.NoInlining)]
private static MarketHoursDatabase StaticInitializations()
{
// This is slow because it create all static timezones
var nyTime = TimeZones.NewYork;
// slow because if goes to disk and parses json
return MarketHoursDatabase.FromDataFolder();
}
} // End Algorithm Node Core Thread
} // End Namespace