quantconnect--lean/Engine/Setup/BaseSetupHandler.cs

/*
 * 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.Linq;
using Newtonsoft.Json;
using QuantConnect.Data;
using QuantConnect.Util;
using QuantConnect.Logging;
using QuantConnect.Packets;
using QuantConnect.Interfaces;
using QuantConnect.Brokerages;
using System.Collections.Generic;
using QuantConnect.Configuration;
using QuantConnect.AlgorithmFactory;
using QuantConnect.Lean.Engine.DataFeeds;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Lean.Engine.DataFeeds.WorkScheduling;
using QuantConnect.Securities;

namespace QuantConnect.Lean.Engine.Setup
{
    /// <summary>
    ///  Base class that provides shared code for
    /// the <see cref="ISetupHandler"/> implementations
    /// </summary>
    public static class BaseSetupHandler
    {
        /// <summary>
        /// Get the maximum time that the initialization of an algorithm can take
        /// </summary>
        public static TimeSpan InitializationTimeout { get; } = TimeSpan.FromSeconds(Config.GetDouble("initialization-timeout", 300));

        /// <summary>
        /// Get the maximum time that the creation of an algorithm can take
        /// </summary>
        public static TimeSpan AlgorithmCreationTimeout { get; } = TimeSpan.FromSeconds(Config.GetDouble("algorithm-creation-timeout", 90));

        /// <summary>
        /// Primary entry point to setup a new algorithm
        /// </summary>
        /// <param name="parameters">The parameters object to use</param>
        /// <returns>True on successfully setting up the algorithm state, or false on error.</returns>
        public static bool Setup(SetupHandlerParameters parameters)
        {
            var algorithm = parameters.Algorithm;
            var job = parameters.AlgorithmNodePacket;

            algorithm?.SetDeploymentTarget(job.DeploymentTarget);

            Log.Trace($"BaseSetupHandler.Setup({job.DeploymentTarget}): UID: {job.UserId.ToStringInvariant()}, " +
                $"PID: {job.ProjectId.ToStringInvariant()}, Version: {job.Version}, Source: {job.RequestSource}"
            );
            return true;
        }

        /// <summary>
        /// Will first check and add all the required conversion rate securities
        /// and later will seed an initial value to them.
        /// </summary>
        /// <param name="algorithm">The algorithm instance</param>
        /// <param name="universeSelection">The universe selection instance</param>
        /// <param name="currenciesToUpdateWhiteList">
        /// If passed, the currencies in the CashBook that are contained in this list will be updated.
        /// By default, if not passed (null), all currencies in the cashbook without a properly set up currency conversion will be updated.
        /// This is not intended for actual algorithms but for tests or for this method to be used as a helper.
        /// </param>
        public static void SetupCurrencyConversions(
            IAlgorithm algorithm,
            UniverseSelection universeSelection,
            IReadOnlyCollection<string> currenciesToUpdateWhiteList = null)
        {
            // this is needed to have non-zero currency conversion rates during warmup
            // will also set the Cash.ConversionRateSecurity.
            // We don't let it seed the conversion rates here because we do that right below,
            // where we can also limit the seeding to a specific white list of currencies
            universeSelection.EnsureCurrencyDataFeeds(SecurityChanges.None, seedNewCurrencies: false);

            // now set conversion rates
            AlgorithmUtils.SeedCurrencyConversionRates(algorithm, currenciesToUpdateWhiteList);

            Log.Trace($"BaseSetupHandler.SetupCurrencyConversions():{Environment.NewLine}" +
                $"Account Type: {algorithm.BrokerageModel.AccountType}{Environment.NewLine}{Environment.NewLine}{algorithm.Portfolio.CashBook}");
            // this is useful for debugging
            algorithm.Portfolio.LogMarginInformation();
        }

        /// <summary>
        /// Initialize the debugger
        /// </summary>
        /// <param name="algorithmNodePacket">The algorithm node packet</param>
        /// <param name="workerThread">The worker thread instance to use</param>
        public static bool InitializeDebugging(AlgorithmNodePacket algorithmNodePacket, WorkerThread workerThread)
        {
            var isolator = new Isolator();
            return isolator.ExecuteWithTimeLimit(TimeSpan.FromMinutes(5),
                () =>
                {
                    DebuggerHelper.Initialize(algorithmNodePacket.Language, out var workersInitializationCallback);

                    if (workersInitializationCallback != null)
                    {
                        // initialize workers for debugging if required
                        WeightedWorkScheduler.Instance.AddSingleCallForAll(workersInitializationCallback);
                    }
                },
                algorithmNodePacket.RamAllocation,
                sleepIntervalMillis: 100,
                workerThread: workerThread);
        }

        /// <summary>
        /// Sets the initial cash for the algorithm if set in the job packet.
        /// </summary>
        /// <remarks>Should be called after initialize <see cref="LoadBacktestJobAccountCurrency"/></remarks>
        public static void LoadBacktestJobCashAmount(IAlgorithm algorithm, BacktestNodePacket job)
        {
            // set initial cash, if present in the job
            if (job.CashAmount.HasValue)
            {
                // Zero the CashBook - we'll populate directly from job
                foreach (var kvp in algorithm.Portfolio.CashBook)
                {
                    kvp.Value.SetAmount(0);
                }

                algorithm.SetCash(job.CashAmount.Value.Amount);
            }
        }

        /// <summary>
        /// Sets the account currency the algorithm should use if set in the job packet
        /// </summary>
        /// <remarks>Should be called before initialize <see cref="LoadBacktestJobCashAmount"/></remarks>
        public static void LoadBacktestJobAccountCurrency(IAlgorithm algorithm, BacktestNodePacket job)
        {
            // set account currency if present in the job
            if (job.CashAmount.HasValue)
            {
                algorithm.SetAccountCurrency(job.CashAmount.Value.Currency);
            }
        }

        /// <summary>
        /// Get the available data feeds from config.json,
        /// </summary>
        public static Dictionary<SecurityType, List<TickType>> GetConfiguredDataFeeds()
        {
            var dataFeedsConfigString = Config.Get("security-data-feeds");

            if (!dataFeedsConfigString.IsNullOrEmpty())
            {
                var dataFeeds = JsonConvert.DeserializeObject<Dictionary<SecurityType, List<TickType>>>(dataFeedsConfigString);
                return dataFeeds;
            }

            return null;
        }

        /// <summary>
        /// Set the number of trading days per year based on the specified brokerage model.
        /// </summary>
        /// <param name="algorithm">The algorithm instance</param>
        /// <returns>
        /// The number of trading days per year. For specific brokerages (Coinbase, Binance, Bitfinex, Bybit, FTX, Kraken),
        /// the value is 365. For other brokerages, the default value is 252.
        /// </returns>
        public static void SetBrokerageTradingDayPerYear(IAlgorithm algorithm)
        {
            if (algorithm == null)
            {
                throw new ArgumentNullException(nameof(algorithm));
            }

            algorithm.Settings.TradingDaysPerYear ??= algorithm.BrokerageModel switch
            {
                CoinbaseBrokerageModel
                or BinanceBrokerageModel
                or BitfinexBrokerageModel
                or BybitBrokerageModel
                or FTXBrokerageModel
                or KrakenBrokerageModel => 365,
                _ => 252
            };
        }
    }
}