C# IAlgorithm.PostInitialize方法代码示例

//.........这里部分代码省略.........
                if (!initializeComplete)
                {
                    AddInitializationError("Initialization timed out.");
                    return false;
                }
                try
                {
                    // find the correct brokerage factory based on the specified brokerage in the live job packet
                    _factory = Composer.Instance.Single<IBrokerageFactory>(factory => factory.BrokerageType.MatchesTypeName(liveJob.Brokerage));
                }
                catch (Exception err)
                {
                    Log.Error("BrokerageSetupHandler.Setup(): Error resolving brokerage factory for " + liveJob.Brokerage + ". " + err.Message);
                    AddInitializationError("Unable to locate factory for brokerage: " + liveJob.Brokerage);
                }

                // let the world know what we're doing since logging in can take a minute
                resultHandler.SendStatusUpdate(job.AlgorithmId, AlgorithmStatus.LoggingIn, "Logging into brokerage...");

                // initialize the correct brokerage using the resolved factory
                brokerage = _factory.CreateBrokerage(liveJob, algorithm);

                if (brokerage == null)
                {
                    AddInitializationError("Failed to create instance of brokerage: " + liveJob.Brokerage);
                    return false;
                }

                brokerage.Message += brokerageOnMessage;

                // set the transaction models base on the brokerage properties
                SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
                algorithm.Transactions.SetOrderProcessor(transactionHandler);
                algorithm.PostInitialize();

                try
                {
                    // this can fail for various reasons, such as already being logged in somewhere else
                    brokerage.Connect();
                }
                catch (Exception err)
                {
                    Log.Error(err);
                    AddInitializationError("Error connecting to brokerage: " + err.Message);
                    return false;
                }

                if (!brokerage.IsConnected)
                {
                    // if we're reporting that we're not connected, bail
                    AddInitializationError("Unable to connect to brokerage.");
                    return false;
                }

                try
                {
                    // set the algorithm's cash balance for each currency
                    var cashBalance = brokerage.GetCashBalance();
                    foreach (var cash in cashBalance)
                    {
                        Log.Trace("BrokerageSetupHandler.Setup(): Setting " + cash.Symbol + " cash to " + cash.Quantity);
                        algorithm.SetCash(cash.Symbol, cash.Quantity, cash.ConversionRate);
                    }
                }
                catch (Exception err)
                {

        /// <summary>
        /// Setup the algorithm cash, dates and data subscriptions as desired.
        /// </summary>
        /// <param name="algorithm">Algorithm instance</param>
        /// <param name="brokerage">Brokerage instance</param>
        /// <param name="baseJob">Algorithm job</param>
        /// <param name="resultHandler">The configured result handler</param>
        /// <param name="transactionHandler">The configurated transaction handler</param>
        /// <param name="realTimeHandler">The configured real time handler</param>
        /// <returns>Boolean true on successfully initializing the algorithm</returns>
        public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
        {
            var job = baseJob as BacktestNodePacket;
            if (job == null)
            {
                throw new ArgumentException("Expected BacktestNodePacket but received " + baseJob.GetType().Name);
            }

            Log.Trace(string.Format("BacktestingSetupHandler.Setup(): Setting up job: Plan: {0}, UID: {1}, PID: {2}, Version: {3}, Source: {4}", job.UserPlan, job.UserId, job.ProjectId, job.Version, job.RequestSource));

            if (algorithm == null)
            {
                Errors.Add("Could not create instance of algorithm");
                return false;
            }

            //Make sure the algorithm start date ok.
            if (job.PeriodStart == default(DateTime))
            {
                Errors.Add("Algorithm start date was never set");
                return false;
            }

            var controls = job.Controls;
            var isolator = new Isolator();
            var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromMinutes(5), () =>
            {
                try
                {
                    //Set our parameters
                    algorithm.SetParameters(job.Parameters);
                    //Algorithm is backtesting, not live:
                    algorithm.SetLiveMode(false);
                    //Set the algorithm time before we even initialize:
                    algorithm.SetDateTime(job.PeriodStart.ConvertToUtc(algorithm.TimeZone));
                    //Set the source impl for the event scheduling
                    algorithm.Schedule.SetEventSchedule(realTimeHandler);
                    //Initialise the algorithm, get the required data:
                    algorithm.Initialize();
                }
                catch (Exception err)
                {
                    Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
                }
            });

            //Before continuing, detect if this is ready:
            if (!initializeComplete) return false;

            algorithm.Transactions.SetOrderProcessor(transactionHandler);
            algorithm.PostInitialize();

            //Calculate the max runtime for the strategy
            _maxRuntime = GetMaximumRuntime(job.PeriodStart, job.PeriodFinish, algorithm.SubscriptionManager.Count);

            //Get starting capital:
            _startingCaptial = algorithm.Portfolio.Cash;

            //Max Orders: 10k per backtest:
            if (job.UserPlan == UserPlan.Free)
            {
                _maxOrders = 10000;
            }
            else
            {
                _maxOrders = int.MaxValue;
                _maxRuntime += _maxRuntime;
            }

            //Set back to the algorithm,
            algorithm.SetMaximumOrders(_maxOrders);
            
            //Starting date of the algorithm:
            _startingDate = job.PeriodStart;

            //Put into log for debugging:
            Log.Trace("SetUp Backtesting: User: " + job.UserId + " ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
            Log.Trace("Dates: Start: " + job.PeriodStart.ToShortDateString() + " End: " + job.PeriodFinish.ToShortDateString() + " Cash: " + _startingCaptial.ToString("C"));

            if (Errors.Count > 0)
            {
                initializeComplete = false;
            }
            return initializeComplete;
        }

        /// <summary>
        /// Setup the algorithm cash, dates and portfolio as desired.
        /// </summary>
        /// <param name="algorithm">Existing algorithm instance</param>
        /// <param name="brokerage">New brokerage instance</param>
        /// <param name="baseJob">Backtesting job</param>
        /// <param name="resultHandler">The configured result handler</param>
        /// <param name="transactionHandler">The configuration transaction handler</param>
        /// <param name="realTimeHandler">The configured real time handler</param>
        /// <returns>Boolean true on successfully setting up the console.</returns>
        public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
        {
            var initializeComplete = false;

            try
            {
                //Set common variables for console programs:

                if (baseJob.Type == PacketType.BacktestNode)
                {
                    var backtestJob = baseJob as BacktestNodePacket;

                    //Set our default markets
                    algorithm.SetDefaultMarkets(BacktestingBrokerageFactory.DefaultMarketMap.ToDictionary());
                    algorithm.SetMaximumOrders(int.MaxValue);
                    // set our parameters
                    algorithm.SetParameters(baseJob.Parameters);
                    algorithm.SetLiveMode(false);
                    //Set the source impl for the event scheduling
                    algorithm.Schedule.SetEventSchedule(realTimeHandler);
                    //Setup Base Algorithm:
                    algorithm.Initialize();
                    //Set the time frontier of the algorithm
                    algorithm.SetDateTime(algorithm.StartDate.ConvertToUtc(algorithm.TimeZone));

                    //Construct the backtest job packet:
                    backtestJob.PeriodStart = algorithm.StartDate;
                    backtestJob.PeriodFinish = algorithm.EndDate;
                    backtestJob.BacktestId = "LOCALHOST";
                    backtestJob.UserId = 1001;
                    backtestJob.Type = PacketType.BacktestNode;

                    //Backtest Specific Parameters:
                    StartingDate = backtestJob.PeriodStart;
                    StartingPortfolioValue = algorithm.Portfolio.Cash;
                }
                else
                {
                    throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
                }
            }
            catch (Exception err)
            {
                Log.Error(err);
                Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
            }

            if (Errors.Count == 0)
            {
                initializeComplete = true;
            }

            // set the transaction and settlement models based on the brokerage properties
            algorithm.UpdateModels(algorithm.BrokerageModel);
            algorithm.Transactions.SetOrderProcessor(transactionHandler);
            algorithm.PostInitialize();

            return initializeComplete;
        }

        /// <summary>
        /// Setup the algorithm cash, dates and portfolio as desired.
        /// </summary>
        /// <param name="algorithm">Existing algorithm instance</param>
        /// <param name="brokerage">New brokerage instance</param>
        /// <param name="baseJob">Backtesting job</param>
        /// <param name="resultHandler">The configured result handler</param>
        /// <param name="transactionHandler">The configuration transaction handler</param>
        /// <param name="realTimeHandler">The configured real time handler</param>
        /// <returns>Boolean true on successfully setting up the console.</returns>
        public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
        {
            var initializeComplete = false;

            try
            {
                //Set common variables for console programs:

                if (baseJob.Type == PacketType.BacktestNode)
                {
                    var backtestJob = baseJob as BacktestNodePacket;
                    
                    //Set the limits on the algorithm assets (for local no limits)
                    algorithm.SetAssetLimits(999, 999, 999);
                    algorithm.SetMaximumOrders(int.MaxValue);
                    algorithm.SetLiveMode(false);
                    //Set the source impl for the event scheduling
                    algorithm.Schedule.SetEventSchedule(realTimeHandler);
                    //Setup Base Algorithm:
                    algorithm.Initialize();
                    //Set the time frontier of the algorithm
                    algorithm.SetDateTime(algorithm.StartDate.ConvertToUtc(algorithm.TimeZone));
                    //Add currency data feeds that weren't explicity added in Initialize
                    algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, MarketHoursDatabase.FromDataFolder());

                    //Construct the backtest job packet:
                    backtestJob.PeriodStart = algorithm.StartDate;
                    backtestJob.PeriodFinish = algorithm.EndDate;
                    backtestJob.BacktestId = "LOCALHOST";
                    backtestJob.UserId = 1001;
                    backtestJob.Type = PacketType.BacktestNode;

                    //Backtest Specific Parameters:
                    StartingDate = backtestJob.PeriodStart;
                    StartingPortfolioValue = algorithm.Portfolio.Cash;
                }
                else
                {
                    throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
                }
            }
            catch (Exception err)
            {
                Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
                Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
            }

            if (Errors.Count == 0)
            {
                initializeComplete = true;
            }

            // we need to do this after algorithm initialization
            brokerage = new BacktestingBrokerage(algorithm);

            // set the transaction and settlement models based on the brokerage properties
            SetupHandler.UpdateModels(algorithm, algorithm.BrokerageModel);
            algorithm.Transactions.SetOrderProcessor(transactionHandler);
            algorithm.PostInitialize();

            return initializeComplete;
        }

//.........这里部分代码省略.........
                        Log.Trace("BrokerageSetupHandler.Setup(): Setting " + cash.Symbol + " cash to " + cash.Amount);
                        algorithm.Portfolio.SetCash(cash.Symbol, cash.Amount, cash.ConversionRate);
                    }
                }
                catch (Exception err)
                {
                    Log.Error(err);
                    AddInitializationError("Error getting cash balance from brokerage: " + err.Message);
                    return false;
                }

                Log.Trace("BrokerageSetupHandler.Setup(): Fetching open orders from brokerage...");
                try
                {
                    // populate the algorithm with the account's outstanding orders
                    var openOrders = brokerage.GetOpenOrders();
                    foreach (var order in openOrders)
                    {
                        // be sure to assign order IDs such that we increment from the SecurityTransactionManager to avoid ID collisions
                        Log.Trace("BrokerageSetupHandler.Setup(): Has open order: " + order.Symbol.ToString() + " - " + order.Quantity);
                        order.Id = algorithm.Transactions.GetIncrementOrderId();
                        transactionHandler.Orders.AddOrUpdate(order.Id, order, (i, o) => order);
                    }
                }
                catch (Exception err)
                {
                    Log.Error(err);
                    AddInitializationError("Error getting open orders from brokerage: " + err.Message);
                    return false;
                }

                Log.Trace("BrokerageSetupHandler.Setup(): Fetching holdings from brokerage...");
                try
                {
                    // populate the algorithm with the account's current holdings
                    var holdings = brokerage.GetAccountHoldings();
                    var supportedSecurityTypes = new HashSet<SecurityType> { SecurityType.Equity, SecurityType.Forex, SecurityType.Cfd };
                    var minResolution = new Lazy<Resolution>(() => algorithm.Securities.Select(x => x.Value.Resolution).DefaultIfEmpty(Resolution.Second).Min());
                    foreach (var holding in holdings)
                    {
                        Log.Trace("BrokerageSetupHandler.Setup(): Has existing holding: " + holding);

                        // verify existing holding security type
                        if (!supportedSecurityTypes.Contains(holding.Type))
                        {
                            Log.Error("BrokerageSetupHandler.Setup(): Unsupported security type: " + holding.Type + "-" + holding.Symbol.Value);
                            AddInitializationError("Found unsupported security type in existing brokerage holdings: " + holding.Type + ". " +
                                "QuantConnect currently supports the following security types: " + string.Join(",", supportedSecurityTypes));

                            // keep aggregating these errors
                            continue;
                        }

                        if (!algorithm.Portfolio.ContainsKey(holding.Symbol))
                        {
                            Log.Trace("BrokerageSetupHandler.Setup(): Adding unrequested security: " + holding.Symbol.ToString());
                            // for items not directly requested set leverage to 1 and at the min resolution
                            algorithm.AddSecurity(holding.Type, holding.Symbol.Value, minResolution.Value, null, true, 1.0m, false);
                        }
                        algorithm.Portfolio[holding.Symbol].SetHoldings(holding.AveragePrice, (int) holding.Quantity);
                        algorithm.Securities[holding.Symbol].SetMarketPrice(new TradeBar
                        {
                            Time = DateTime.Now,
                            Open = holding.MarketPrice,
                            High = holding.MarketPrice,
                            Low = holding.MarketPrice,
                            Close = holding.MarketPrice,
                            Volume = 0,
                            Symbol = holding.Symbol,
                            DataType = MarketDataType.TradeBar
                        });
                    }
                }
                catch (Exception err)
                {
                    Log.Error(err);
                    AddInitializationError("Error getting account holdings from brokerage: " + err.Message);
                    return false;
                }

                algorithm.PostInitialize();

                //Set the starting portfolio value for the strategy to calculate performance:
                StartingPortfolioValue = algorithm.Portfolio.TotalPortfolioValue;
                StartingDate = DateTime.Now;
            }
            catch (Exception err)
            {
                AddInitializationError(err.Message);
            }
            finally
            {
                if (brokerage != null)
                {
                    brokerage.Message -= brokerageOnMessage;
                }
            }

            return Errors.Count == 0;
        }

        /// <summary>
        /// Setup the algorithm cash, dates and data subscriptions as desired.
        /// </summary>
        /// <param name="algorithm">Algorithm instance</param>
        /// <param name="brokerage">Brokerage instance</param>
        /// <param name="baseJob">Algorithm job</param>
        /// <param name="resultHandler">The configured result handler</param>
        /// <param name="transactionHandler">The configurated transaction handler</param>
        /// <returns>Boolean true on successfully initializing the algorithm</returns>
        public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler)
        {
            var job = baseJob as BacktestNodePacket;
            if (job == null)
            {
                throw new ArgumentException("Expected BacktestNodePacket but received " + baseJob.GetType().Name);
            }

            Log.Trace(string.Format("BacktestingSetupHandler.Setup(): Setting up job: Plan: {0}, UID: {1}, PID: {2}, Version: {3}, Source: {4}", job.UserPlan, job.UserId, job.ProjectId, job.Version, job.RequestSource));

            brokerage = null;

            if (algorithm == null)
            {
                Errors.Add("Could not create instance of algorithm");
                return false;
            }

            //Make sure the algorithm start date ok.
            if (job.PeriodStart == default(DateTime))
            {
                Errors.Add("Algorithm start date was never set");
                return false;
            }

            //Execute the initialize code:
            var isolator = new Isolator();
            var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(10), () =>
            {
                try
                {
                    //Algorithm is backtesting, not live:
                    algorithm.SetLiveMode(false);
                    //Set the backtest level asset ram allocation limits
                    algorithm.SetAssetLimits(500, 100, 30);
                    //Set the algorithm time before we even initialize:
                    algorithm.SetDateTime(job.PeriodStart);
                    //Initialise the algorithm, get the required data:
                    algorithm.Initialize();
                    //Add currency data feeds that weren't explicity added in Initialize
                    algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager, SecurityExchangeHoursProvider.FromDataFolder());
                }
                catch (Exception err)
                {
                    Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
                }
            });

            //Before continuing, detect if this is ready:
            if (!initializeComplete) return false;

            // this needs to be done after algorithm initialization
            brokerage = new BacktestingBrokerage(algorithm);

            SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);
            algorithm.Transactions.SetOrderProcessor(transactionHandler);
            algorithm.PostInitialize();

            //Calculate the max runtime for the strategy
            _maxRuntime = GetMaximumRuntime(job.PeriodStart, job.PeriodFinish, algorithm.SubscriptionManager.Count);

            //Get starting capital:
            _startingCaptial = algorithm.Portfolio.Cash;

            //Max Orders: 10k per backtest:
            if (job.UserPlan == UserPlan.Free)
            {
                _maxOrders = 10000;
            }
            else
            {
                _maxOrders = int.MaxValue;
                _maxRuntime += _maxRuntime;
            }

            //Set back to the algorithm,
            algorithm.SetMaximumOrders(_maxOrders);

            //Starting date of the algorithm:
            _startingDate = job.PeriodStart;

            //Put into log for debugging:
            Log.Trace("SetUp Backtesting: User: " + job.UserId + " ProjectId: " + job.ProjectId + " AlgoId: " + job.AlgorithmId);
            Log.Trace("Dates: Start: " + job.PeriodStart.ToShortDateString() + " End: " + job.PeriodFinish.ToShortDateString() + " Cash: " + _startingCaptial.ToString("C"));

            if (Errors.Count > 0)
            {
                initializeComplete = false;
            }
            return initializeComplete;
        }

        /// <summary>
        /// Setup the algorithm cash, dates and portfolio as desired.
        /// </summary>
        /// <param name="algorithm">Existing algorithm instance</param>
        /// <param name="brokerage">New brokerage instance</param>
        /// <param name="baseJob">Backtesting job</param>
        /// <param name="resultHandler">The configured result handler</param>
        /// <param name="transactionHandler">The configuration transaction handler</param>
        /// <param name="realTimeHandler">The configured real time handler</param>
        /// <returns>Boolean true on successfully setting up the console.</returns>
        public bool Setup(IAlgorithm algorithm, IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
        {
            var initializeComplete = false;

            try
            {
                //Set common variables for console programs:

                if (baseJob.Type == PacketType.BacktestNode)
                {
                    var backtestJob = baseJob as BacktestNodePacket;
                    
                    algorithm.SetMaximumOrders(int.MaxValue);
                    // set our parameters
                    algorithm.SetParameters(baseJob.Parameters);
                    algorithm.SetLiveMode(false);
                    //Set the source impl for the event scheduling
                    algorithm.Schedule.SetEventSchedule(realTimeHandler);
                    //Setup Base Algorithm:
                    algorithm.Initialize();
                    //Set the time frontier of the algorithm
                    algorithm.SetDateTime(algorithm.StartDate.ConvertToUtc(algorithm.TimeZone));

                    //Construct the backtest job packet:
                    backtestJob.PeriodStart = algorithm.StartDate;
                    backtestJob.PeriodFinish = algorithm.EndDate;
                    backtestJob.BacktestId = "LOCALHOST";
                    backtestJob.Type = PacketType.BacktestNode;
                    backtestJob.UserId = !string.IsNullOrWhiteSpace(Config.Get("qc-user-id"))  ? Convert.ToInt32(Config.Get("qc-user-id")) : 1001;
                    backtestJob.Channel = Config.Get("api-access-token");
       
                    //Backtest Specific Parameters:
                    StartingDate = backtestJob.PeriodStart;
                    StartingPortfolioValue = algorithm.Portfolio.Cash;
                }
                else
                {
                    throw new Exception("The ConsoleSetupHandler is for backtests only. Use the BrokerageSetupHandler.");
                }
            }
            catch (Exception err)
            {
                Log.Error(err);
                Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
            }

            if (Errors.Count == 0)
            {
                initializeComplete = true;
            }

            algorithm.Transactions.SetOrderProcessor(transactionHandler);
            algorithm.PostInitialize();

            return initializeComplete;
        }