/*
* 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 QuantConnect.Brokerages.Backtesting;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;
using QuantConnect.Lean.Engine.Results;
using QuantConnect.Logging;
using QuantConnect.Orders;
using QuantConnect.Util;
namespace QuantConnect.Lean.Engine.TransactionHandlers
{
///
/// This transaction handler is used for processing transactions during backtests
///
public class BacktestingTransactionHandler : BrokerageTransactionHandler
{
// save off a strongly typed version of the brokerage
private BacktestingBrokerage _brokerage;
private IAlgorithm _algorithm;
private Delistings _lastestDelistings;
///
/// Gets current time UTC. This is here to facilitate testing
///
protected override DateTime CurrentTimeUtc => _algorithm.UtcTime;
///
/// Creates a new BacktestingTransactionHandler using the BacktestingBrokerage
///
/// The algorithm instance
/// The BacktestingBrokerage
///
public override void Initialize(IAlgorithm algorithm, IBrokerage brokerage, IResultHandler resultHandler)
{
if (!(brokerage is BacktestingBrokerage))
{
throw new ArgumentException("Brokerage must be of type BacktestingBrokerage for use wth the BacktestingTransactionHandler");
}
_brokerage = (BacktestingBrokerage) brokerage;
_algorithm = algorithm;
base.Initialize(algorithm, brokerage, resultHandler);
// non blocking implementation
_orderRequestQueue = new BusyCollection();
}
///
/// Processes all synchronous events that must take place before the next time loop for the algorithm
///
public override void ProcessSynchronousEvents()
{
// we process pending order requests our selves
Run();
base.ProcessSynchronousEvents();
_brokerage.Scan();
// Run our delistings processing, only do this once a slice
if (_algorithm.CurrentSlice != null && _algorithm.CurrentSlice.Delistings != _lastestDelistings)
{
_lastestDelistings = _algorithm.CurrentSlice.Delistings;
_brokerage.ProcessDelistings(_algorithm.CurrentSlice.Delistings);
}
}
///
/// Processes asynchronous events on the transaction handler's thread
///
public override void ProcessAsynchronousEvents()
{
base.ProcessAsynchronousEvents();
_brokerage.Scan();
}
///
/// For backtesting we will submit the order ourselves
///
/// The expecting to be submitted
protected override void WaitForOrderSubmission(OrderTicket ticket)
{
// we submit the order request our selves
Run();
if (!ticket.OrderSet.WaitOne(0))
{
// this could happen if there was some error handling the order
// and it was not set
Log.Error("BacktestingTransactionHandler.WaitForOrderSubmission(): " +
$"The order request (Id={ticket.OrderId}) was not submitted. " +
"See the OrderRequest.Response for more information");
}
}
///
/// For backtesting order requests will be processed by the algorithm thread
/// sequentially at and
///
protected override void InitializeTransactionThread()
{
// nop
}
}
}