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quantconnect--lean/Launcher/config.json
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Ronit Jain 264c3c8374 Composite IDQH - Support multiple live data feeds (#6047) 
* initial commit

* Follow IDQH implementation

* Expect a list of data handlers from LiveNodePacket

* Return null if can not subscribe

* refctor to add check for subscription

* initialze null

* Add tests

* Check subscribe retuns null/not-null

* cleanup

* Read all required IDQH credentails to job

* Use CDQH to handle all IDQH instances

* constructor abstraction to call from setjob

* use flag

* remove redundant because derived will call initialize on it

* abstract and initialize from setjob

* handle null enumerators

* get creds from data handlers

* handle single data handler value from data-queue-handler

* Fix to support a json array

* Fix missed constructor call

* change access modifier to access from Tests files

* Add test to get brokerageFactory from dataQueueHandler

* Fix init flag to handle all conditions

* Add docs

* initialize from setjob

* Check if websocket open before using

* change defination of initialzie to include tradier

* clean up

* change defination

* fix wrong api key name

* return empty enumerator

* check websocket open before sending request

* check connection before subscribing

* fix to include more cases

* check websocket open before sending request

* Minor refactoring

* reafctor and use IsConnected

* remove unused

* clean up

* Fix test cases

* reverse change

* include config changes

* connect to websocket from setjob

* check websocket connection from setjob

* clean up

* include condition for IDQH that are not brokerage

* Address review

* Add market check condition before subscribe

* Remove deprecated

* Minor fix for deserializing data queue handler

Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2021-12-03 16:18:41 -03:00

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{
// this configuration file works by first loading all top-level
// configuration items and then will load the specified environment
// on top, this provides a layering affect. environment names can be
// anything, and just require definition in this file. There's
// two predefined environments, 'backtesting' and 'live', feel free
// to add more!
"environment": "backtesting", // "live-paper", "backtesting", "live-interactive", "live-interactive-iqfeed"
// algorithm class selector
"algorithm-type-name": "BasicTemplateFrameworkAlgorithm",
// Algorithm language selector - options CSharp, Python
"algorithm-language": "CSharp",
//Physical DLL location
"algorithm-location": "QuantConnect.Algorithm.CSharp.dll",
//"algorithm-location": "../../../Algorithm.Python/BasicTemplateFrameworkAlgorithm.py",
//Research notebook
//"composer-dll-directory": ".",
// engine
"data-folder": "../../../Data/",
// debugging configuration - options for debugging-method LocalCmdLine, VisualStudio, PTVSD, PyCharm
"debugging": false,
"debugging-method": "LocalCmdline",
// handlers
"log-handler": "QuantConnect.Logging.CompositeLogHandler",
"messaging-handler": "QuantConnect.Messaging.Messaging",
"job-queue-handler": "QuantConnect.Queues.JobQueue",
"api-handler": "QuantConnect.Api.Api",
"map-file-provider": "QuantConnect.Data.Auxiliary.LocalDiskMapFileProvider",
"factor-file-provider": "QuantConnect.Data.Auxiliary.LocalDiskFactorFileProvider",
"data-provider": "QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider",
"alpha-handler": "QuantConnect.Lean.Engine.Alphas.DefaultAlphaHandler",
"data-channel-provider": "DataChannelProvider",
"object-store": "QuantConnect.Lean.Engine.Storage.LocalObjectStore",
"data-aggregator": "QuantConnect.Lean.Engine.DataFeeds.AggregationManager",
// limits on number of symbols to allow
"symbol-minute-limit": 10000,
"symbol-second-limit": 10000,
"symbol-tick-limit": 10000,
// limits the amount of data points per chart series. Applies only for backtesting
"maximum-data-points-per-chart-series": 4000,
// if one uses true in following token, market hours will remain open all hours and all days.
// if one uses false will make lean operate only during regular market hours.
"force-exchange-always-open": false,
// save list of transactions to the specified csv file
"transaction-log": "",
// To get your api access token go to quantconnect.com/account
"job-user-id": "0",
"api-access-token": "",
"job-organization-id": "",
// live data configuration
"live-data-url": "ws://www.quantconnect.com/api/v2/live/data/",
"live-data-port": 8020,
// live portfolio state
"live-cash-balance": "",
"live-holdings": "[]",
// interactive brokers configuration
"ib-account": "",
"ib-user-name": "",
"ib-password": "",
"ib-host": "127.0.0.1",
"ib-port": "4002",
"ib-agent-description": "Individual",
"ib-tws-dir": "C:\\Jts",
"ib-trading-mode": "paper",
"ib-enable-delayed-streaming-data": false,
"ib-version": "974",
// tradier configuration
"tradier-use-sandbox": true,
"tradier-account-id": "",
"tradier-access-token": "",
// oanda configuration
"oanda-environment": "Practice",
"oanda-access-token": "",
"oanda-account-id": "",
// fxcm configuration
"fxcm-server": "http://www.fxcorporate.com/Hosts.jsp",
"fxcm-terminal": "Demo", //Real or Demo
"fxcm-user-name": "",
"fxcm-password": "",
"fxcm-account-id": "",
// iqfeed configuration
"iqfeed-host": "127.0.0.1",
"iqfeed-username": "",
"iqfeed-password": "",
"iqfeed-productName": "",
"iqfeed-version": "1.0",
// gdax configuration
"gdax-api-secret": "",
"gdax-api-key": "",
"gdax-passphrase": "",
// bitfinex configuration
"bitfinex-api-secret": "",
"bitfinex-api-key": "",
// binance configuration
"binance-api-secret": "",
"binance-api-key": "",
"binance-api-url": "https://api.binance.com",
"binance-websocket-url": "wss://stream.binance.com:9443/ws",
// kraken configuration
"kraken-api-secret": "",
"kraken-api-key": "",
"kraken-verification-tier": "Starter", // Starter, Intermediate, Pro
// arteyu configuration
"atreyu-host": "",
"atreyu-req-port": "",
"atreyu-sub-port": "",
"atreyu-username": "",
"atreyu-password": "",
"atreyu-client-id": "",
"atreyu-broker-mpid": "",
"atreyu-locate-rqd": "",
// Trading Technologies configuration
"tt-user-name": "",
"tt-session-password": "",
"tt-account-name": "",
"tt-rest-app-key": "",
"tt-rest-app-secret": "",
"tt-rest-environment": "",
"tt-market-data-sender-comp-id": "",
"tt-market-data-target-comp-id": "",
"tt-market-data-host": "",
"tt-market-data-port": "",
"tt-order-routing-sender-comp-id": "",
"tt-order-routing-target-comp-id": "",
"tt-order-routing-host": "",
"tt-order-routing-port": "",
"tt-log-fix-messages": false,
// Required to access data from Quandl
// To get your access token go to https://www.quandl.com/account/api
"quandl-auth-token": "",
// Required to access data from Tiingo
// To get your access token go to https://www.tiingo.com
"tiingo-auth-token": "",
// Required to access data from US Energy Information Administration
// To get your access token go to https://www.eia.gov/opendata
"us-energy-information-auth-token": "",
// Required for IEX history requests
"iex-cloud-api-key": "",
// Required for market data from Coin API
"coinapi-api-key": "",
"coinapi-product": "free", // free, startup, streamer, professional, enterprise
// Required for streaming Polygon.io data
// To get your access token go to https://polygon.io
"polygon-api-key": "",
// zerodha configuration goto https://kite.trade
"zerodha-access-token": "",
"zerodha-api-key": "",
"zerodha-product-type": "MIS", //MIS(Intraday) or CNC(Delivery) or NRML(Carry Forward)
"zerodha-trading-segment": "EQUITY", // EQUITY(NSE,BSE) or COMMODITY (MCX)
"zerodha-history-subscription": false, // Enable this if History API Subscription available
//samco configuration go to https://www.samco.in/stocknote-api
"samco-client-id": "",
"samco-client-password": "",
"samco-year-of-birth": "",
"samco-product-type": "MIS", //MIS(Intraday) or CNC(Delivery) or NRML(Carry Forward)
"samco-trading-segment": "EQUITY", // EQUITY(NSE,BSE) or COMMODITY (MCX)
// FTX configuration
"ftx-account-tier": "Tier1", // accept "Tier1", "Tier2", "Tier3", "Tier4", "Tier5", "Tier6", "VIP1", "VIP2", "VIP3", "MM1", "MM2", "MM3"
"ftx-api-secret": "",
"ftx-api-key": "",
// parameters to set in the algorithm (the below are just samples)
"parameters": {
// Intrinio account user and password
"intrinio-username": "",
"intrinio-password": "",
"ema-fast": 10,
"ema-slow": 20
},
// specify supported languages when running regression tests
"regression-test-languages": [ "CSharp", "Python" ],
"environments": {
// defines the 'backtesting' environment
"backtesting": {
"live-mode": false,
"setup-handler": "QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.BacktestingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.BacktestingRealTimeHandler",
"history-provider": "QuantConnect.Lean.Engine.HistoricalData.SubscriptionDataReaderHistoryProvider",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler"
},
// defines the 'live-paper' environment
"live-paper": {
"live-mode": true,
// the paper brokerage requires the BacktestingTransactionHandler
"live-mode-brokerage": "PaperBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"data-queue-handler": [ "QuantConnect.Lean.Engine.DataFeeds.Queues.LiveDataQueue" ],
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler"
},
// defines 'live-zerodha' environment
"live-zerodha": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "ZerodhaBrokerage",
"data-queue-handler": [ "ZerodhaBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
// defines 'live-samco' environment
"live-samco": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "SamcoBrokerage",
"data-queue-handler": [ "SamcoBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
// defines the 'live-tradier' environment
"live-tradier": {
"live-mode": true,
// this setting will save tradier access/refresh tokens to a tradier-tokens.txt file
// that can be read in next time, this makes it easier to start/stop a tradier algorithm
"tradier-save-tokens": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "TradierBrokerage",
"data-queue-handler": [ "TradierBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler"
},
// defines the 'live-interactive' environment
"live-interactive": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "InteractiveBrokersBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"data-queue-handler": [ "QuantConnect.Brokerages.InteractiveBrokers.InteractiveBrokersBrokerage" ],
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
// defines the 'live-interactive-iqfeed' environment
"live-interactive-iqfeed": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "InteractiveBrokersBrokerage",
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"data-queue-handler": [ "QuantConnect.ToolBox.IQFeed.IQFeedDataQueueHandler" ],
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "QuantConnect.ToolBox.IQFeed.IQFeedDataQueueHandler"
},
// defines the 'live-fxcm' environment
"live-fxcm": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "FxcmBrokerage",
"data-queue-handler": [ "FxcmBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
// defines the 'live-oanda' environment
"live-oanda": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "OandaBrokerage",
"data-queue-handler": [ "OandaBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
"live-gdax": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "GDAXBrokerage",
"data-queue-handler": [ "GDAXDataQueueHandler" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
"live-bitfinex": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "BitfinexBrokerage",
"data-queue-handler": [ "BitfinexBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
"live-binance": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "BinanceBrokerage",
"data-queue-handler": [ "BinanceBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
// defines the 'live-atreyu' environment
"live-atreyu": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "QuantConnect.Atreyu.AtreyuBrokerage",
"data-queue-handler": [ "QuantConnect.Lean.Engine.DataFeeds.Queues.LiveDataQueue" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler"
},
// defines the 'live-trading-technologies' environment
"live-trading-technologies": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "TradingTechnologiesBrokerage",
"data-queue-handler": [ "TradingTechnologiesBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler"
},
// defines the 'live-kraken' environment
"live-kraken": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "KrakenBrokerage",
"data-queue-handler": [ "KrakenBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
},
"live-ftx": {
"live-mode": true,
// real brokerage implementations require the BrokerageTransactionHandler
"live-mode-brokerage": "QuantConnect.FTXBrokerage.FTXBrokerage",
"data-queue-handler": [ "QuantConnect.FTXBrokerage.FTXBrokerage" ],
"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
"history-provider": "BrokerageHistoryProvider"
}
}
}
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