Martin Molinero
108 lines
4.0 KiB
C#
108 lines
4.0 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 QuantConnect.Brokerages.Backtesting;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.Results;
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using QuantConnect.Logging;
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using QuantConnect.Orders;
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using QuantConnect.Util;
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namespace QuantConnect.Lean.Engine.TransactionHandlers
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{
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/// <summary>
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/// This transaction handler is used for processing transactions during backtests
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/// </summary>
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public class BacktestingTransactionHandler : BrokerageTransactionHandler
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{
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// save off a strongly typed version of the brokerage
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private BacktestingBrokerage _brokerage;
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/// <summary>
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/// Creates a new BacktestingTransactionHandler using the BacktestingBrokerage
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="brokerage">The BacktestingBrokerage</param>
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/// <param name="resultHandler"></param>
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public override void Initialize(IAlgorithm algorithm, IBrokerage brokerage, IResultHandler resultHandler)
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{
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if (!(brokerage is BacktestingBrokerage))
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{
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throw new ArgumentException("Brokerage must be of type BacktestingBrokerage for use wth the BacktestingTransactionHandler");
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}
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_brokerage = (BacktestingBrokerage) brokerage;
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base.Initialize(algorithm, brokerage, resultHandler);
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// non blocking implementation
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_orderRequestQueue = new BusyCollection<OrderRequest>();
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}
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/// <summary>
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/// Processes all synchronous events that must take place before the next time loop for the algorithm
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/// </summary>
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public override void ProcessSynchronousEvents()
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{
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// we process pending order requests our selves
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Run();
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base.ProcessSynchronousEvents();
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_brokerage.SimulateMarket();
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_brokerage.Scan();
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}
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/// <summary>
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/// Processes asynchronous events on the transaction handler's thread
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/// </summary>
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public override void ProcessAsynchronousEvents()
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{
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base.ProcessAsynchronousEvents();
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_brokerage.SimulateMarket();
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_brokerage.Scan();
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}
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/// <summary>
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/// For backtesting we will submit the order ourselves
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/// </summary>
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/// <param name="ticket">The <see cref="OrderTicket"/> expecting to be submitted</param>
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protected override void WaitForOrderSubmission(OrderTicket ticket)
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{
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// we submit the order request our selves
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Run();
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if (!ticket.OrderSet.WaitOne(0))
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{
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// this could happen if there was some error handling the order
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// and it was not set
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Log.Error("BacktestingTransactionHandler.WaitForOrderSubmission(): " +
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$"The order request (Id={ticket.OrderId}) was not submitted. " +
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"See the OrderRequest.Response for more information");
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}
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}
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/// <summary>
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/// For backtesting order requests will be processed by the algorithm thread
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/// sequentially at <see cref="WaitForOrderToBeProcess"/> and <see cref="ProcessSynchronousEvents"/>
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/// </summary>
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protected override void InitializeTransactionThread()
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{
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// nop
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}
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}
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} |