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1541 lines (1372 loc) · 65.5 KB
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/*
* 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.Collections.Generic;
using System.Linq;
using System.Linq.Expressions;
using NodaTime;
using NodaTime.TimeZones;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Data;
using QuantConnect.Data.Auxiliary;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Indicators;
using QuantConnect.Interfaces;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Parameters;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Cfd;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Option;
using QuantConnect.Statistics;
using QuantConnect.Util;
using SecurityTypeMarket = System.Tuple<QuantConnect.SecurityType, string>;
using System.Collections.Concurrent;
namespace QuantConnect.Algorithm
{
/// <summary>
/// QC Algorithm Base Class - Handle the basic requirements of a trading algorithm,
/// allowing user to focus on event methods. The QCAlgorithm class implements Portfolio,
/// Securities, Transactions and Data Subscription Management.
/// </summary>
public partial class QCAlgorithm : MarshalByRefObject, IAlgorithm
{
private readonly TimeKeeper _timeKeeper;
private LocalTimeKeeper _localTimeKeeper;
private DateTime _startDate; //Default start and end dates.
private DateTime _endDate; //Default end to yesterday
private RunMode _runMode = RunMode.Series;
private bool _locked;
private bool _liveMode;
private string _algorithmId = "";
private ConcurrentQueue<string> _debugMessages = new ConcurrentQueue<string>();
private ConcurrentQueue<string> _logMessages = new ConcurrentQueue<string>();
private ConcurrentQueue<string> _errorMessages = new ConcurrentQueue<string>();
//Error tracking to avoid message flooding:
private string _previousDebugMessage = "";
private string _previousErrorMessage = "";
private readonly MarketHoursDatabase _marketHoursDatabase;
private readonly SymbolPropertiesDatabase _symbolPropertiesDatabase;
// used for calling through to void OnData(Slice) if no override specified
private bool _checkedForOnDataSlice;
private Action<Slice> _onDataSlice;
// set by SetBenchmark helper API functions
private Symbol _benchmarkSymbol = QuantConnect.Symbol.Empty;
// flips to true when the user
private bool _userSetSecurityInitializer = false;
// warmup resolution variables
private TimeSpan? _warmupTimeSpan;
private int? _warmupBarCount;
private Dictionary<string, string> _parameters = new Dictionary<string, string>();
/// <summary>
/// QCAlgorithm Base Class Constructor - Initialize the underlying QCAlgorithm components.
/// QCAlgorithm manages the transactions, portfolio, charting and security subscriptions for the users algorithms.
/// </summary>
public QCAlgorithm()
{
Status = AlgorithmStatus.Running;
// AlgorithmManager will flip this when we're caught up with realtime
IsWarmingUp = true;
//Initialise the Algorithm Helper Classes:
//- Note - ideally these wouldn't be here, but because of the DLL we need to make the classes shared across
// the Worker & Algorithm, limiting ability to do anything else.
//Initialise Start and End Dates:
_startDate = new DateTime(1998, 01, 01);
_endDate = DateTime.Now.AddDays(-1);
// intialize our time keeper with only new york
_timeKeeper = new TimeKeeper(_startDate, new[] { TimeZones.NewYork });
// set our local time zone
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
//Initialise Data Manager
SubscriptionManager = new SubscriptionManager(_timeKeeper);
Securities = new SecurityManager(_timeKeeper);
Transactions = new SecurityTransactionManager(Securities);
Portfolio = new SecurityPortfolioManager(Securities, Transactions);
BrokerageModel = new DefaultBrokerageModel();
Notify = new NotificationManager(false); // Notification manager defaults to disabled.
//Initialise Algorithm RunMode to Series - Parallel Mode deprecated:
_runMode = RunMode.Series;
//Initialise to unlocked:
_locked = false;
// get exchange hours loaded from the market-hours-database.csv in /Data/market-hours
_marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
// get symbol properties loaded from the symbol-properties-database.csv in /Data/symbol-properties
_symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder();
// universe selection
UniverseManager = new UniverseManager();
Universe = new UniverseDefinitions(this);
UniverseSettings = new UniverseSettings(Resolution.Minute, 2m, true, false, TimeSpan.FromDays(1));
// initialize our scheduler, this acts as a liason to the real time handler
Schedule = new ScheduleManager(Securities, TimeZone);
// initialize the trade builder
TradeBuilder = new TradeBuilder(FillGroupingMethod.FillToFill, FillMatchingMethod.FIFO);
SecurityInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(AccountType.Margin));
CandlestickPatterns = new CandlestickPatterns(this);
}
/// <summary>
/// Security collection is an array of the security objects such as Equities and FOREX. Securities data
/// manages the properties of tradeable assets such as price, open and close time and holdings information.
/// </summary>
public SecurityManager Securities
{
get;
set;
}
/// <summary>
/// Portfolio object provieds easy access to the underlying security-holding properties; summed together in a way to make them useful.
/// This saves the user time by providing common portfolio requests in a single
/// </summary>
public SecurityPortfolioManager Portfolio
{
get;
set;
}
/// <summary>
/// Generic Data Manager - Required for compiling all data feeds in order, and passing them into algorithm event methods.
/// The subscription manager contains a list of the data feed's we're subscribed to and properties of each data feed.
/// </summary>
public SubscriptionManager SubscriptionManager
{
get;
set;
}
/// <summary>
/// Gets the brokerage model - used to model interactions with specific brokerages.
/// </summary>
public IBrokerageModel BrokerageModel
{
get;
private set;
}
/// <summary>
/// Gets the brokerage message handler used to decide what to do
/// with each message sent from the brokerage
/// </summary>
public IBrokerageMessageHandler BrokerageMessageHandler
{
get;
set;
}
/// <summary>
/// Notification Manager for Sending Live Runtime Notifications to users about important events.
/// </summary>
public NotificationManager Notify
{
get;
set;
}
/// <summary>
/// Gets schedule manager for adding/removing scheduled events
/// </summary>
public ScheduleManager Schedule
{
get;
private set;
}
/// <summary>
/// Gets or sets the current status of the algorithm
/// </summary>
public AlgorithmStatus Status
{
get;
set;
}
/// <summary>
/// Gets an instance that is to be used to initialize newly created securities.
/// </summary>
public ISecurityInitializer SecurityInitializer
{
get;
private set;
}
/// <summary>
/// Gets the Trade Builder to generate trades from executions
/// </summary>
public TradeBuilder TradeBuilder
{
get;
private set;
}
/// <summary>
/// Gets an instance to access the candlestick pattern helper methods
/// </summary>
public CandlestickPatterns CandlestickPatterns
{
get;
private set;
}
/// <summary>
/// Gets the date rules helper object to make specifying dates for events easier
/// </summary>
public DateRules DateRules
{
get { return Schedule.DateRules; }
}
/// <summary>
/// Gets the time rules helper object to make specifying times for events easier
/// </summary>
public TimeRules TimeRules
{
get { return Schedule.TimeRules; }
}
/// <summary>
/// Public name for the algorithm as automatically generated by the IDE. Intended for helping distinguish logs by noting
/// the algorithm-id.
/// </summary>
/// <seealso cref="AlgorithmId"/>
public string Name
{
get;
set;
}
/// <summary>
/// Read-only value for current time frontier of the algorithm in terms of the <see cref="TimeZone"/>
/// </summary>
/// <remarks>During backtesting this is primarily sourced from the data feed. During live trading the time is updated from the system clock.</remarks>
public DateTime Time
{
get { return _localTimeKeeper.LocalTime; }
}
/// <summary>
/// Current date/time in UTC.
/// </summary>
public DateTime UtcTime
{
get { return _timeKeeper.UtcTime; }
}
/// <summary>
/// Gets the time zone used for the <see cref="Time"/> property. The default value
/// is <see cref="TimeZones.NewYork"/>
/// </summary>
public DateTimeZone TimeZone
{
get { return _localTimeKeeper.TimeZone; }
}
/// <summary>
/// Value of the user set start-date from the backtest.
/// </summary>
/// <remarks>This property is set with SetStartDate() and defaults to the earliest QuantConnect data available - Jan 1st 1998. It is ignored during live trading </remarks>
/// <seealso cref="SetStartDate(DateTime)"/>
public DateTime StartDate
{
get
{
return _startDate;
}
}
/// <summary>
/// Value of the user set start-date from the backtest. Controls the period of the backtest.
/// </summary>
/// <remarks> This property is set with SetEndDate() and defaults to today. It is ignored during live trading.</remarks>
/// <seealso cref="SetEndDate(DateTime)"/>
public DateTime EndDate
{
get
{
return _endDate;
}
}
/// <summary>
/// Algorithm Id for this backtest or live algorithm.
/// </summary>
/// <remarks>A unique identifier for </remarks>
public string AlgorithmId
{
get
{
return _algorithmId;
}
}
/// <summary>
/// Control the server setup run style for the backtest: Automatic, Parallel or Series.
/// </summary>
/// <remark>
/// Series mode runs all days through one computer, allowing memory of the previous days.
/// Parallel mode runs all days separately which maximises speed but gives no memory of a previous day trading.
/// </remark>
/// <obsolete>The RunMode enum propert is now obsolete. All algorithms will default to RunMode.Series for series backtests.</obsolete>
[Obsolete("The RunMode enum propert is now obsolete. All algorithms will default to RunMode.Series for series backtests.")]
public RunMode RunMode
{
get
{
return _runMode;
}
}
/// <summary>
/// Boolean property indicating the algorithm is currently running in live mode.
/// </summary>
/// <remarks>Intended for use where certain behaviors will be enabled while the algorithm is trading live: such as notification emails, or displaying runtime statistics.</remarks>
public bool LiveMode
{
get
{
return _liveMode;
}
}
/// <summary>
/// Storage for debugging messages before the event handler has passed control back to the Lean Engine.
/// </summary>
/// <seealso cref="Debug(string)"/>
public ConcurrentQueue<string> DebugMessages
{
get
{
return _debugMessages;
}
set
{
_debugMessages = value;
}
}
/// <summary>
/// Storage for log messages before the event handlers have passed control back to the Lean Engine.
/// </summary>
/// <seealso cref="Log(string)"/>
public ConcurrentQueue<string> LogMessages
{
get
{
return _logMessages;
}
set
{
_logMessages = value;
}
}
/// <summary>
/// Gets the run time error from the algorithm, or null if none was encountered.
/// </summary>
public Exception RunTimeError { get; set; }
/// <summary>
/// List of error messages generated by the user's code calling the "Error" function.
/// </summary>
/// <remarks>This method is best used within a try-catch bracket to handle any runtime errors from a user algorithm.</remarks>
/// <see cref="Error(string)"/>
public ConcurrentQueue<string> ErrorMessages
{
get
{
return _errorMessages;
}
set
{
_errorMessages = value;
}
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <seealso cref="SetStartDate(DateTime)"/>
/// <seealso cref="SetEndDate(DateTime)"/>
/// <seealso cref="SetCash(decimal)"/>
public virtual void Initialize()
{
//Setup Required Data
throw new NotImplementedException("Please override the Initialize() method");
}
/// <summary>
/// Called by setup handlers after Initialize and allows the algorithm a chance to organize
/// the data gather in the Initialize method
/// </summary>
public void PostInitialize()
{
// if the benchmark hasn't been set yet, set it
if (Benchmark == null)
{
// apply the default benchmark if it hasn't been set
if (_benchmarkSymbol == null || _benchmarkSymbol == QuantConnect.Symbol.Empty)
{
_benchmarkSymbol = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
}
// if the requested benchmark symbol wasn't already added, then add it now
// we do a simple compare here for simplicity, also it avoids confusion over
// the desired market.
Security security;
if (!Securities.TryGetValue(_benchmarkSymbol, out security))
{
// add the security as an internal feed so the algorithm doesn't receive the data
Resolution resolution;
if (_liveMode)
{
resolution = Resolution.Second;
}
else
{
// check to see if any universes arn't the ones added via AddSecurity
var hasNonAddSecurityUniverses = (
from kvp in UniverseManager
let config = kvp.Value.Configuration
let symbol = UserDefinedUniverse.CreateSymbol(config.SecurityType, config.Market)
where config.Symbol != symbol
select kvp).Any();
resolution = hasNonAddSecurityUniverses ? UniverseSettings.Resolution : Resolution.Daily;
}
security = SecurityManager.CreateSecurity(Portfolio, SubscriptionManager, _marketHoursDatabase, _symbolPropertiesDatabase, SecurityInitializer, _benchmarkSymbol, resolution, true, 1m, false, true, false, LiveMode);
AddToUserDefinedUniverse(security);
}
// just return the current price
Benchmark = new SecurityBenchmark(security);
}
// add option underlying securities if not present
foreach (var option in Securities.Select(x => x.Value).OfType<Option>())
{
var sid = option.Symbol.ID;
var underlying = QuantConnect.Symbol.Create(sid.Symbol, SecurityType.Equity, sid.Market);
Security equity;
if (!Securities.TryGetValue(underlying, out equity))
{
// if it wasn't manually added, add a daily subscription for volatility calculations
equity = AddEquity(underlying.Value, Resolution.Daily, underlying.ID.Market, false);
}
// set the underlying property on the option chain
option.Underlying = equity;
// check for the null volatility model and update it
if (equity.VolatilityModel == VolatilityModel.Null)
{
const int period = 50;
// define indicator for daily close to prevent multiple consolidators per indicator
var dailyClose = Identity(equity.Symbol, Resolution.Daily);
var meanName = CreateIndicatorName(equity.Symbol, "SMA" + period, Resolution.Daily);
var stdName = CreateIndicatorName(equity.Symbol, "STD" + period, Resolution.Daily);
var mean = new SimpleMovingAverage(meanName, period).Of(dailyClose);
var std = new StandardDeviation(stdName, period).Of(dailyClose);
// the model wants a % volatility
var volatility = std.Over(mean);
equity.VolatilityModel = new IndicatorVolatilityModel<IndicatorDataPoint>(volatility);
}
}
}
/// <summary>
/// Gets the parameter with the specified name. If a parameter
/// with the specified name does not exist, null is returned
/// </summary>
/// <param name="name">The name of the parameter to get</param>
/// <returns>The value of the specified parameter, or null if not found</returns>
public string GetParameter(string name)
{
string value;
return _parameters.TryGetValue(name, out value) ? value : null;
}
/// <summary>
/// Sets the parameters from the dictionary
/// </summary>
/// <param name="parameters">Dictionary containing the parameter names to values</param>
public void SetParameters(Dictionary<string, string> parameters)
{
// save off a copy and try to apply the parameters
_parameters = parameters.ToDictionary();
try
{
ParameterAttribute.ApplyAttributes(parameters, this);
}
catch (Exception err)
{
Error("Error applying parameter values: " + err.Message);
}
}
/// <summary>
/// Sets the security initializer, used to initialize/configure securities after creation
/// </summary>
/// <param name="securityInitializer">The security initializer</param>
public void SetSecurityInitializer(ISecurityInitializer securityInitializer)
{
// this flag will prevent calls to SetBrokerageModel from overwriting this initializer
_userSetSecurityInitializer = true;
SecurityInitializer = securityInitializer;
}
/// <summary>
/// Sets the security initializer function, used to initialize/configure securities after creation
/// </summary>
/// <param name="securityInitializer">The security initializer function</param>
public void SetSecurityInitializer(Action<Security> securityInitializer)
{
SetSecurityInitializer(new FuncSecurityInitializer(securityInitializer));
}
/// <summary>
/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
/// </summary>
/// <code>
/// TradeBars bars = slice.Bars;
/// Ticks ticks = slice.Ticks;
/// TradeBar spy = slice["SPY"];
/// List{Tick} aaplTicks = slice["AAPL"]
/// Quandl oil = slice["OIL"]
/// dynamic anySymbol = slice[symbol];
/// DataDictionary{Quandl} allQuandlData = slice.Get{Quand}
/// Quandl oil = slice.Get{Quandl}("OIL")
/// </code>
/// <param name="slice">The current slice of data keyed by symbol string</param>
public virtual void OnData(Slice slice)
{
// as a default implementation, let's look for and call OnData(Slice) just in case a user forgot to use the override keyword
if (!_checkedForOnDataSlice)
{
_checkedForOnDataSlice = true;
var method = GetType().GetMethods()
.Where(x => x.Name == "OnData")
.Where(x => x.DeclaringType != typeof(QCAlgorithm))
.Where(x => x.GetParameters().Length == 1)
.FirstOrDefault(x => x.GetParameters()[0].ParameterType == typeof (Slice));
if (method == null)
{
return;
}
var self = Expression.Constant(this);
var parameter = Expression.Parameter(typeof (Slice), "data");
var call = Expression.Call(self, method, parameter);
var lambda = Expression.Lambda<Action<Slice>>(call, parameter);
_onDataSlice = lambda.Compile();
}
// if we have it, then invoke it
if (_onDataSlice != null)
{
_onDataSlice(slice);
}
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="changes"></param>
public virtual void OnSecuritiesChanged(SecurityChanges changes)
{
}
// <summary>
// Event - v2.0 TRADEBAR EVENT HANDLER: (Pattern) Basic template for user to override when requesting tradebar data.
// </summary>
// <param name="data"></param>
//public void OnData(TradeBars data)
//{
//
//}
// <summary>
// Event - v2.0 QUOTEBAR EVENT HANDLER: (Pattern) Basic template for user to override when requesting quotebar data.
// </summary>
// <param name="data"></param>
//public void OnData(QuoteBars data)
//{
//
//}
// <summary>
// Event - v2.0 TICK EVENT HANDLER: (Pattern) Basic template for user to override when requesting tick data.
// </summary>
// <param name="data">List of Tick Data</param>
//public void OnData(Ticks data)
//{
//
//}
// <summary>
// Event - v2.0 OPTIONCHAIN EVENT HANDLER: (Pattern) Basic template for user to override when requesting option data.
// </summary>
// <param name="data">List of Tick Data</param>
//public void OnData(OptionChains data)
//{
//
//}
// <summary>
// Event - v2.0 SPLIT EVENT HANDLER: (Pattern) Basic template for user to override when inspecting split data.
// </summary>
// <param name="data">IDictionary of Split Data Keyed by Symbol String</param>
//public void OnData(Splits data)
//{
//
//}
// <summary>
// Event - v2.0 DIVIDEND EVENT HANDLER: (Pattern) Basic template for user to override when inspecting dividend data
// </summary>
// <param name="data">IDictionary of Dividend Data Keyed by Symbol String</param>
//public void OnData(Dividends data)
//{
//
//}
// <summary>
// Event - v2.0 DELISTING EVENT HANDLER: (Pattern) Basic template for user to override when inspecting delisting data
// </summary>
// <param name="data">IDictionary of Delisting Data Keyed by Symbol String</param>
//public void OnData(Delistings data)
// <summary>
// Event - v2.0 SYMBOL CHANGED EVENT HANDLER: (Pattern) Basic template for user to override when inspecting symbol changed data
// </summary>
// <param name="data">IDictionary of SymbolChangedEvent Data Keyed by Symbol String</param>
//public void OnData(SymbolChangedEvents data)
/// <summary>
/// Margin call event handler. This method is called right before the margin call orders are placed in the market.
/// </summary>
/// <param name="requests">The orders to be executed to bring this algorithm within margin limits</param>
public virtual void OnMarginCall(List<SubmitOrderRequest> requests)
{
}
/// <summary>
/// Margin call warning event handler. This method is called when Portfolio.MarginRemaining is under 5% of your Portfolio.TotalPortfolioValue
/// </summary>
public virtual void OnMarginCallWarning()
{
}
/// <summary>
/// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
/// </summary>
/// <remarks>Method is called 10 minutes before closing to allow user to close out position.</remarks>
public virtual void OnEndOfDay()
{
}
/// <summary>
/// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
/// </summary>
/// <remarks>
/// This method is left for backwards compatibility and is invoked via <see cref="OnEndOfDay(Symbol)"/>, if that method is
/// override then this method will not be called without a called to base.OnEndOfDay(string)
/// </remarks>
/// <param name="symbol">Asset symbol for this end of day event. Forex and equities have different closing hours.</param>
public virtual void OnEndOfDay(string symbol)
{
}
/// <summary>
/// End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).
/// </summary>
/// <param name="symbol">Asset symbol for this end of day event. Forex and equities have different closing hours.</param>
public virtual void OnEndOfDay(Symbol symbol)
{
OnEndOfDay(symbol.ToString());
}
/// <summary>
/// End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs.
/// </summary>
public virtual void OnEndOfAlgorithm()
{
}
/// <summary>
/// Order fill event handler. On an order fill update the resulting information is passed to this method.
/// </summary>
/// <param name="orderEvent">Order event details containing details of the evemts</param>
/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
public virtual void OnOrderEvent(OrderEvent orderEvent)
{
}
/// <summary>
/// Brokerage message event handler. This method is called for all types of brokerage messages.
/// </summary>
public virtual void OnBrokerageMessage(BrokerageMessageEvent messageEvent)
{
}
/// <summary>
/// Brokerage disconnected event handler. This method is called when the brokerage connection is lost.
/// </summary>
public virtual void OnBrokerageDisconnect()
{
}
/// <summary>
/// Brokerage reconnected event handler. This method is called when the brokerage connection is restored after a disconnection.
/// </summary>
public virtual void OnBrokerageReconnect()
{
}
/// <summary>
/// Update the internal algorithm time frontier.
/// </summary>
/// <remarks>For internal use only to advance time.</remarks>
/// <param name="frontier">Current datetime.</param>
public void SetDateTime(DateTime frontier)
{
_timeKeeper.SetUtcDateTime(frontier);
}
/// <summary>
/// Sets the time zone of the <see cref="Time"/> property in the algorithm
/// </summary>
/// <param name="timeZone">The desired time zone</param>
public void SetTimeZone(string timeZone)
{
DateTimeZone tz;
try
{
tz = DateTimeZoneProviders.Tzdb[timeZone];
}
catch (DateTimeZoneNotFoundException)
{
throw new ArgumentException(string.Format("TimeZone with id '{0}' was not found. For a complete list of time zones please visit: http://en.wikipedia.org/wiki/List_of_tz_database_time_zones", timeZone));
}
SetTimeZone(tz);
}
/// <summary>
/// Sets the time zone of the <see cref="Time"/> property in the algorithm
/// </summary>
/// <param name="timeZone">The desired time zone</param>
public void SetTimeZone(DateTimeZone timeZone)
{
if (_locked)
{
throw new Exception("Algorithm.SetTimeZone(): Cannot change time zone after algorithm running.");
}
if (timeZone == null) throw new ArgumentNullException("timeZone");
_timeKeeper.AddTimeZone(timeZone);
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(timeZone);
// the time rules need to know the default time zone as well
TimeRules.SetDefaultTimeZone(timeZone);
}
/// <summary>
/// Set the RunMode for the Servers. If you are running an overnight algorithm, you must select series.
/// Automatic will analyse the selected data, and if you selected only minute data we'll select series for you.
/// </summary>
/// <obsolete>This method is now obsolete and has no replacement. All algorithms now run in Series mode.</obsolete>
/// <param name="mode">Enum RunMode with options Series, Parallel or Automatic. Automatic scans your requested symbols and resolutions and makes a decision on the fastest analysis</param>
[Obsolete("This method is now obsolete and has no replacement. All algorithms now run in Series mode.")]
public void SetRunMode(RunMode mode)
{
if (mode != RunMode.Parallel) return;
Debug("Algorithm.SetRunMode(): RunMode-Parallel Type has been deprecated. Series analysis selected instead");
}
/// <summary>
/// Sets the brokerage to emulate in backtesting or paper trading.
/// This can be used for brokerages that have been implemented in LEAN
/// </summary>
/// <param name="brokerage">The brokerage to emulate</param>
/// <param name="accountType">The account type (Cash or Margin)</param>
public void SetBrokerageModel(BrokerageName brokerage, AccountType accountType = AccountType.Margin)
{
SetBrokerageModel(Brokerages.BrokerageModel.Create(brokerage, accountType));
}
/// <summary>
/// Sets the brokerage to emulate in backtesting or paper trading.
/// This can be used to set a custom brokerage model.
/// </summary>
/// <param name="model">The brokerage model to use</param>
public void SetBrokerageModel(IBrokerageModel model)
{
BrokerageModel = model;
if (!_userSetSecurityInitializer)
{
// purposefully use the direct setter vs Set method so we don't flip the switch :/
SecurityInitializer = new BrokerageModelSecurityInitializer(model);
}
}
/// <summary>
/// Sets the implementation used to handle messages from the brokerage.
/// The default implementation will forward messages to debug or error
/// and when a <see cref="BrokerageMessageType.Error"/> occurs, the algorithm
/// is stopped.
/// </summary>
/// <param name="handler">The message handler to use</param>
public void SetBrokerageMessageHandler(IBrokerageMessageHandler handler)
{
if (handler == null)
{
throw new ArgumentNullException("handler");
}
BrokerageMessageHandler = handler;
}
/// <summary>
/// Sets the benchmark used for computing statistics of the algorithm to the specified symbol
/// </summary>
/// <param name="symbol">symbol to use as the benchmark</param>
/// <param name="securityType">Is the symbol an equity, forex, base, etc. Default SecurityType.Equity</param>
/// <remarks>
/// Must use symbol that is available to the trade engine in your data store(not strictly enforced)
/// </remarks>
public void SetBenchmark(SecurityType securityType, string symbol)
{
var market = securityType == SecurityType.Forex ? Market.FXCM : Market.USA;
_benchmarkSymbol = QuantConnect.Symbol.Create(symbol, securityType, market);
}
/// <summary>
/// Sets the benchmark used for computing statistics of the algorithm to the specified symbol, defaulting to SecurityType.Equity
/// if the symbol doesn't exist in the algorithm
/// </summary>
/// <param name="symbol">symbol to use as the benchmark</param>
/// <remarks>
/// Overload to accept symbol without passing SecurityType. If symbol is in portfolio it will use that SecurityType, otherwise will default to SecurityType.Equity
/// </remarks>
public void SetBenchmark(string symbol)
{
// check existence
symbol = symbol.ToUpper();
var security = Securities.FirstOrDefault(x => x.Key.Value == symbol).Value;
_benchmarkSymbol = security == null
? QuantConnect.Symbol.Create(symbol, SecurityType.Equity, Market.USA)
: security.Symbol;
}
/// <summary>
/// Sets the benchmark used for computing statistics of the algorithm to the specified symbol
/// </summary>
/// <param name="symbol">symbol to use as the benchmark</param>
public void SetBenchmark(Symbol symbol)
{
_benchmarkSymbol = symbol;
}
/// <summary>
/// Sets the specified function as the benchmark, this function provides the value of
/// the benchmark at each date/time requested
/// </summary>
/// <param name="benchmark">The benchmark producing function</param>
public void SetBenchmark(Func<DateTime, decimal> benchmark)
{
Benchmark = new FuncBenchmark(benchmark);
}
/// <summary>
/// Benchmark
/// </summary>
/// <remarks>Use Benchmark to override default symbol based benchmark, and create your own benchmark. For example a custom moving average benchmark </remarks>
///
public IBenchmark Benchmark
{
get;
private set;
}
/// <summary>
/// Set initial cash for the strategy while backtesting. During live mode this value is ignored
/// and replaced with the actual cash of your brokerage account.
/// </summary>
/// <param name="startingCash">Starting cash for the strategy backtest</param>
/// <remarks>Alias of SetCash(decimal)</remarks>
public void SetCash(double startingCash)
{
SetCash((decimal)startingCash);
}
/// <summary>
/// Set initial cash for the strategy while backtesting. During live mode this value is ignored
/// and replaced with the actual cash of your brokerage account.
/// </summary>
/// <param name="startingCash">Starting cash for the strategy backtest</param>
/// <remarks>Alias of SetCash(decimal)</remarks>
public void SetCash(int startingCash)
{
SetCash((decimal)startingCash);
}
/// <summary>
/// Set initial cash for the strategy while backtesting. During live mode this value is ignored
/// and replaced with the actual cash of your brokerage account.
/// </summary>
/// <param name="startingCash">Starting cash for the strategy backtest</param>
public void SetCash(decimal startingCash)
{
if (!_locked)
{
Portfolio.SetCash(startingCash);
}
else
{
throw new Exception("Algorithm.SetCash(): Cannot change cash available after algorithm initialized.");
}
}
/// <summary>
/// Set the cash for the specified symbol
/// </summary>
/// <param name="symbol">The cash symbol to set</param>
/// <param name="startingCash">Decimal cash value of portfolio</param>
/// <param name="conversionRate">The current conversion rate for the</param>
public void SetCash(string symbol, decimal startingCash, decimal conversionRate)
{
if (!_locked)
{
Portfolio.SetCash(symbol, startingCash, conversionRate);
}
else
{
throw new Exception("Algorithm.SetCash(): Cannot change cash available after algorithm initialized.");
}
}
/// <summary>
/// Set the start date for backtest.
/// </summary>
/// <param name="day">Int starting date 1-30</param>
/// <param name="month">Int month starting date</param>
/// <param name="year">Int year starting date</param>
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