软件工程师的量化交易之路（39）-Lean之BacktestingRealTimeHandler回测实时时间事件处理7
程序员的量化交易之路（39）--Lean之BacktestingRealTimeHandler回测实时时间事件处理7
</pre>转载需注明出处：<a target=_blank href="http://blog.csdn.net/minimicall?viewmode=contents">http://blog.csdn.net/minimicall?viewmode=contents</a>，<a target=_blank href="http://cloudtrade.top/">http://cloudtrade.top/</a></p><p></p><p>上一节已经说明了实时事件和处理接口。这一节需要说明回测里面的实时事件处理。主要是开启一个新的线程来处理定时事件。例如每天开市的时候的事件和每天闭市时候触发的事件。还有你可以定义任意一个给定时间的事件。</p><p>下面我们通过代码来说 明问题</p><p><pre name="code" class="csharp">/*
* 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.Threading;
using QuantConnect.Interfaces;
using QuantConnect.Packets;
using QuantConnect.Logging;
namespace QuantConnect.Lean.Engine.RealTime
{
/// <summary>
/// Psuedo realtime event processing for backtesting to simulate realtime events in fast forward.
/// 伪实时事件处理，为回归测试实时事件（快进）
/// </summary>
public class BacktestingRealTimeHandler : IRealTimeHandler
{
/********************************************************
* PRIVATE VARIABLES
*********************************************************/
//Threading
private DateTime _time = new DateTime();
private bool _exitTriggered;
private bool _isActive = true;
private AlgorithmNodePacket _job;//相关任务
//Events:
private List<RealTimeEvent> _events;
//Algorithm and Handlers:
private IAlgorithm _algorithm;//相关算法
private Dictionary<SecurityType, MarketToday> _today;//今日市场
/********************************************************
* PUBLIC PROPERTIES
*********************************************************/
/// <summary>
/// Realtime Moment.
/// </summary>
public DateTime Time
{
get
{
return _time;
}
}
/// <summary>
/// Events array we scan to trigger realtime events.
/// </summary>
public List<RealTimeEvent> Events
{
get
{
return _events;
}
}
/// <summary>
/// Flag indicating the hander thread is completely finished and ready to dispose.
/// </summary>
public bool IsActive
{
get
{
return _isActive;
}
}
/// <summary>
/// Market hours for today for each security type in the algorithm
/// 为算法中每种证券类型的今日交易时间（例如股票和黄金的交易时间就不一样的，如果该算法涉及到这两种证券类型）
/// </summary>
public Dictionary<SecurityType, MarketToday> MarketToday
{
get
{
throw new NotImplementedException("MarketToday is not currently needed in backtesting mode");//回归测试不需要
return _today;
}
}
/********************************************************
* PUBLIC CONSTRUCTOR
*********************************************************/
/// <summary>
/// Setup the algorithm data, cash, job start end date etc.
/// 设置算法数据、现金、任务开始和结束时间等信息，通过algorithm和job即可
/// </summary>
public BacktestingRealTimeHandler(IAlgorithm algorithm, AlgorithmNodePacket job)
{
//Initialize:
_algorithm = algorithm;
_events = new List<RealTimeEvent>();
_job = job;
_today = new Dictionary<SecurityType, MarketToday>();
}
/********************************************************
* PUBLIC METHODS
*********************************************************/
/// <summary>
/// Setup the events for this date.
/// 设置该日的事件
/// </summary>
/// <param name="date">Date for event</param>
public void SetupEvents(DateTime date)
{
//Clear any existing events:清除已经存在的事件
ClearEvents();
//Set up the events:设置事件
//1. Default End of Day Times:
foreach (var security in _algorithm.Securities.Values)//遍历算法中涉及的每一个证券
{
//Register Events:注册事件
Log.Debug("BacktestingRealTimeHandler.SetupEvents(): Adding End of Day: " + security.Exchange.MarketClose.Add(TimeSpan.FromMinutes(-10)));
//1. Setup End of Day Events:
//设置事件结束时间(23:50)
var closingToday = date.Date + security.Exchange.MarketClose.Add(TimeSpan.FromMinutes(-10));
var symbol = security.Symbol;//证券代号
AddEvent(new RealTimeEvent( closingToday, () =>
{//匿名方法
try
{
_algorithm.OnEndOfDay(symbol);//在一天闭市的时候会调用该函数
}
catch (Exception err)
{
Engine.ResultHandler.RuntimeError("Runtime error in OnEndOfDay event: " + err.Message, err.StackTrace);
Log.Error("BacktestingRealTimeHandler.SetupEvents(): EOD: " + err.Message);
}
}));
}
// fire just before the day rolls over, 11:58pm在一天即将结束的时候调用。。。。（尼玛，和上面究竟啥子关系）
AddEvent(new RealTimeEvent(date.AddHours(23.967), () =>
{//匿名方法
try
{
_algorithm.OnEndOfDay();
Log.Trace(string.Format("BacktestingRealTimeHandler: Fired On End of Day Event() for Day({0})", _time.ToShortDateString()));
}
catch (Exception err)
{
Engine.ResultHandler.RuntimeError("Runtime error in OnEndOfDay event: " + err.Message, err.StackTrace);
Log.Error("BacktestingRealTimeHandler.SetupEvents.Trigger OnEndOfDay(): " + err.Message);
}
}, true));
}
/// <summary>
/// Normally this would run the realtime event monitoring. Backtesting is in fastforward so the realtime is linked to the backtest clock.
/// This thread does nothing. Wait until the job is over.
/// </summary>
public void Run()
{
_isActive = false;
}
/// <summary>
/// Add a new event to our list of events to scan.
/// </summary>
/// <param name="newEvent">Event object to montitor daily.</param>
public void AddEvent(RealTimeEvent newEvent)
{
_events.Add(newEvent);
}
/// <summary>
/// Scan the event list with the current market time and see if we need to trigger the callback.
/// </summary>
public void ScanEvents()
{
for (var i = 0; i < _events.Count; i++)
{
_events[i].Scan(_time);
}
}
/// <summary>
/// Clear any outstanding events.
/// </summary>
public void ClearEvents()
{
_events.Clear();
}
/// <summary>
/// Reset the events for a new day.
/// </summary>
public void ResetEvents()
{
for (var i = 0; i < _events.Count; i++)
{
_events[i].Reset();
}
}
/// <summary>
/// Set the time for the realtime event handler.
/// </summary>
/// <param name="time">Current time.</param>
public void SetTime(DateTime time)
{
//Check for day reset:
if (_time.Date != time.Date)
{
// Backtest Mode Only:
// > Scan & trigger any remaining events which haven't been triggered (e.g. daily bar data with "daily event" at 4pm):
ScanEvents();
//Reset all the daily events with today's date:
SetupEvents(time.Date);
}
//Set the time:
_time = time;
// Backtest Mode Only:
// > Scan the event every time we set the time. This allows "fast-forwarding" of the realtime events into sync with backtest.
ScanEvents();
}
/// <summary>
/// Stop the real time thread
/// </summary>
public void Exit()
{
_exitTriggered = true;
}
} // End Result Handler Thread:
} // End Namespace