C# IAlgorithm.SetAssetLimits方法代码示例

        /// <summary>
        /// Setup the algorithm cash, dates and portfolio as desired.
        /// </summary>
        /// <param name="algorithm">Algorithm instance</param>
        /// <param name="brokerage">Output new instance of the brokerage</param>
        /// <param name="job">Algorithm job/task we're running</param>
        /// <returns>Bool setup success</returns>
        public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket job)
        {
            var initializeComplete = false;
            brokerage = new PaperBrokerage(algorithm);

            //For the console, let it set itself up primarily:
            try
            {
                //Algorithm is backtesting, not live:
                algorithm.SetLiveMode(true);

                //Set the live trading level asset/ram allocation limits.
                //Protects algorithm from linux killing the job by excess memory:
                switch (job.ServerType)
                {
                    case ServerType.Server1024:
                        algorithm.SetAssetLimits(100, 20, 10);
                        break;

                    case ServerType.Server2048:
                        algorithm.SetAssetLimits(400, 50, 30);
                        break;

                    default: //512
                        algorithm.SetAssetLimits(50, 10, 5);
                        break;
                }

                //Initialize the algorithm
                algorithm.Initialize();
            }
            catch (Exception err)
            {
                Log.Error("PaperTradingSetupHandler.Setup(): " + err.Message);
                Errors.Add("Error setting up the paper trading algorithm; " + err.Message);
            }

            // Starting capital is portfolio cash:
            StartingCapital = algorithm.Portfolio.Cash;

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

        /// <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>
        /// <returns>Boolean true on successfully initializing the algorithm</returns>
        public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob)
        {
            var job = baseJob as BacktestNodePacket;
            if (job == null)
            {
                throw new ArgumentException("Expected BacktestNodePacket but received " + baseJob.GetType().Name);
            }

            // Must be set since its defined as an out parameters
            brokerage = new BacktestingBrokerage(algorithm);

            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 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();
                }
                catch (Exception err)
                {
                    Errors.Add("Failed to initialize algorithm: Initialize(): " + err.Message);
                }
            });

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

            //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: 100 per day:
            _maxOrders = (int)(job.PeriodFinish - job.PeriodStart).TotalDays * 100;

            //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"></param>
        /// <returns>Boolean true on successfully setting up the console.</returns>
        public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob, IResultHandler resultHandler)
        {
            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);

                    //Setup Base Algorithm:
                    algorithm.Initialize();
                    //Add currency data feeds that weren't explicity added in Initialize
                    algorithm.Portfolio.CashBook.EnsureCurrencyDataFeeds(algorithm.Securities, algorithm.SubscriptionManager);

                    //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 models base on the requested brokerage properties
            SetupHandler.UpdateTransactionModels(algorithm, algorithm.BrokerageModel);

            return initializeComplete;
        }

        /// <summary>
        /// Primary entry point to setup a new algorithm
        /// </summary>
        /// <param name="algorithm">Algorithm instance</param>
        /// <param name="brokerage">New brokerage output instance</param>
        /// <param name="job">Algorithm job task</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>True on successfully setting up the algorithm state, or false on error.</returns>
        public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket job, IResultHandler resultHandler, ITransactionHandler transactionHandler, IRealTimeHandler realTimeHandler)
        {
            _algorithm = algorithm;
            brokerage = default(IBrokerage);

            // verify we were given the correct job packet type
            var liveJob = job as LiveNodePacket;
            if (liveJob == null)
            {
                AddInitializationError("BrokerageSetupHandler requires a LiveNodePacket");
                return false;
            }

            // verify the brokerage was specified
            if (string.IsNullOrWhiteSpace(liveJob.Brokerage))
            {
                AddInitializationError("A brokerage must be specified");
                return false;
            }

            // attach to the message event to relay brokerage specific initialization messages
            EventHandler<BrokerageMessageEvent> brokerageOnMessage = (sender, args) =>
            {
                if (args.Type == BrokerageMessageType.Error)
                {
                    AddInitializationError(string.Format("Brokerage Error Code: {0} - {1}", args.Code, args.Message));
                }
            };

            try
            {
                Log.Trace("BrokerageSetupHandler.Setup(): Initializing algorithm...");

                //Execute the initialize code:
                var isolator = new Isolator();
                var initializeComplete = isolator.ExecuteWithTimeLimit(TimeSpan.FromSeconds(10), () =>
                {
                    try
                    {
                        //Set the live trading level asset/ram allocation limits.
                        //Protects algorithm from linux killing the job by excess memory:
                        switch (job.ServerType)
                        {
                            case ServerType.Server1024:
                                algorithm.SetAssetLimits(100, 20, 10);
                                break;

                            case ServerType.Server2048:
                                algorithm.SetAssetLimits(400, 50, 30);
                                break;

                            default: //512
                                algorithm.SetAssetLimits(50, 25, 15);
                                break;
                        }

                        //Algorithm is live, not backtesting:
                        algorithm.SetLiveMode(true);
                        //Initialize the algorithm's starting date
                        algorithm.SetDateTime(DateTime.UtcNow);
                        //Set the source impl for the event scheduling
                        algorithm.Schedule.SetEventSchedule(realTimeHandler);
                        //Initialise the algorithm, get the required data:
                        algorithm.Initialize();
                    }
                    catch (Exception err)
                    {
                        AddInitializationError(err.Message);
                    }
                });

                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...");

//.........这里部分代码省略.........

        /// <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);
                }
                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);

            //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>
        /// <returns>Boolean true on successfully setting up the console.</returns>
        public bool Setup(IAlgorithm algorithm, out IBrokerage brokerage, AlgorithmNodePacket baseJob)
        {
            var initializeComplete = false;
            brokerage = new BacktestingBrokerage(algorithm);

            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);

                    //Setup Base Algorithm:
                    algorithm.Initialize();

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

                    //Endpoints:
                    backtestJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
                    backtestJob.ResultEndpoint = ResultHandlerEndpoint.Console;
                    backtestJob.DataEndpoint = DataFeedEndpoint.FileSystem;
                    backtestJob.RealTimeEndpoint = RealTimeEndpoint.Backtesting;
                    backtestJob.SetupEndpoint = SetupHandlerEndpoint.Console;

                    //Backtest Specific Parameters:
                    StartingDate = backtestJob.PeriodStart;
                    StartingCapital = algorithm.Portfolio.Cash;
                }
                else
                {
                    var liveJob = baseJob as LiveNodePacket;

                    //Live Job Parameters:
                    liveJob.UserId = liveJob.UserId;
                    liveJob.DeployId = "LOCALHOST";
                    liveJob.IssuedAt = DateTime.Now.Subtract(TimeSpan.FromSeconds(86399 - 60));     //For testing, first access token expires in 60 sec. refresh.
                    liveJob.LifeTime = TimeSpan.FromSeconds(86399);
                    liveJob.AccessToken = "123456";
                    liveJob.AccountId = 123456;
                    liveJob.RefreshToken = "";
                    liveJob.Type = PacketType.LiveNode;

                    //Endpoints:
                    liveJob.TransactionEndpoint = TransactionHandlerEndpoint.Backtesting;
                    liveJob.ResultEndpoint = ResultHandlerEndpoint.LiveTrading;

                    bool testLiveTradingEnabled = Config.GetBool("test-live-trading-enabled", defaultValue: false);
                    liveJob.DataEndpoint = testLiveTradingEnabled ? DataFeedEndpoint.Test : DataFeedEndpoint.LiveTrading;
                    liveJob.RealTimeEndpoint = RealTimeEndpoint.LiveTrading;
                    liveJob.SetupEndpoint = SetupHandlerEndpoint.Console;

                    //Call in the paper trading setup:
                    var setup = new PaperTradingSetupHandler();
                    setup.Setup(algorithm, out brokerage, baseJob);

                    //Live Specific Parameters:
                    StartingDate = DateTime.Now;
                    StartingCapital = algorithm.Portfolio.Cash;
                }
            }
            catch (Exception err)
            {
                Log.Error("ConsoleSetupHandler().Setup(): " + err.Message);
            }

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

            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());
                    //Set the limits on the algorithm assets (for local no limits)
                    algorithm.SetAssetLimits(999, 999, 999);
                    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));
                    //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(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
            SetupHandler.UpdateModels(algorithm, algorithm.BrokerageModel);
            algorithm.Transactions.SetOrderProcessor(transactionHandler);
            algorithm.PostInitialize();

            return initializeComplete;
        }