Provides base functionality to the implementations of IResultHandler More...

Inheritance diagram for QuantConnect.Lean.Engine.Results.BaseResultsHandler:

Public Member Functions
virtual void	OrderEvent (OrderEvent newEvent)
	New order event for the algorithm More...

virtual void	Exit ()
	Terminate the result thread and apply any required exit procedures like sending final results More...

virtual void	Initialize (ResultHandlerInitializeParameters parameters)
	Initialize the result handler with this result packet. More...

virtual void	OnSecuritiesChanged (SecurityChanges changes)
	Event fired each time that we add/remove securities from the data feed More...

virtual string	SaveLogs (string id, List< LogEntry > logs)
	Returns the location of the logs More...

virtual void	SaveResults (string name, Result result)
	Save the results to disk More...

virtual void	Sample (DateTime time)
	Samples portfolio equity, benchmark, and daily performance Called by scheduled event every night at midnight algorithm time More...

Public Attributes
bool	IsActive => _updateRunner != null && _updateRunner.IsAlive
	Boolean flag indicating the thread is still active. More...

Static Public Attributes
const string	StrategyEquityKey = "Strategy Equity"
	String message saying: Strategy Equity More...

const string	EquityKey = "Equity"
	String message saying: Equity More...

const string	ReturnKey = "Return"
	String message saying: Return More...

const string	BenchmarkKey = "Benchmark"
	String message saying: Benchmark More...

const string	DrawdownKey = "Drawdown"
	String message saying: Drawdown More...

const string	PortfolioTurnoverKey = "Portfolio Turnover"
	String message saying: PortfolioTurnover More...

const string	PortfolioMarginKey = "Portfolio Margin"
	String message saying: Portfolio Margin More...

const string	AssetsSalesVolumeKey = "Assets Sales Volume"
	String message saying: Portfolio Margin More...

Protected Member Functions
	BaseResultsHandler ()
	Creates a new instance More...

virtual Dictionary< string, string >	GetServerStatistics (DateTime utcNow)
	Gets the current Server statistics More...

virtual void	StoreOrderEvents (DateTime utcTime, List< OrderEvent > orderEvents)
	Stores the order events More...

virtual void	StoreInsights ()
	Save insight results to persistent storage More...

virtual Dictionary< int, Order >	GetDeltaOrders (int orderEventsStartPosition, Func< int, bool > shouldStop)
	Gets the orders generated starting from the provided ITransactionHandler.OrderEvents position More...

abstract void	Run ()
	Result handler update method More...

string	GetResultsPath (string filename)
	Gets the full path for a results file More...

void	PurgeQueue ()
	Purge/clear any outstanding messages in message queue. More...

void	StopUpdateRunner ()
	Stops the update runner task More...

decimal	GetNetReturn ()
	Gets the algorithm net return More...

abstract void	StoreResult (Packet packet)
	Save the snapshot of the total results to storage. More...

virtual decimal	GetPortfolioValue ()
	Gets the current portfolio value More...

virtual decimal	GetBenchmarkValue (DateTime time)
	Gets the current benchmark value More...

virtual void	SampleEquity (DateTime time)
	Sample the current equity of the strategy directly with time and using the current algorithm equity value in CurrentAlgorithmEquity More...

virtual void	SamplePerformance (DateTime time, decimal value)
	Sample the current daily performance directly with a time-value pair. More...

virtual void	SampleBenchmark (DateTime time, decimal value)
	Sample the current benchmark performance directly with a time-value pair. More...

virtual void	SampleDrawdown (DateTime time, decimal currentPortfolioValue)
	Sample drawdown of equity of the strategy More...

virtual void	SamplePortfolioTurnover (DateTime time, decimal currentPortfolioValue)
	Sample portfolio turn over of the strategy More...

virtual void	SampleSalesVolume (DateTime time)
	Sample assets sales volume More...

virtual void	SampleExposure (DateTime time, decimal currentPortfolioValue)
	Sample portfolio exposure long/short ratios by security type More...

virtual void	SampleCapacity (DateTime time)
	Sample estimated strategy capacity More...

abstract void	Sample (string chartName, string seriesName, int seriesIndex, SeriesType seriesType, ISeriesPoint value, string unit="$")
	Add a sample to the chart specified by the chartName, and seriesName. More...

SortedDictionary< string, string >	GetAlgorithmRuntimeStatistics (Dictionary< string, string > summary, CapacityEstimate capacityEstimate=null)
	Gets the algorithm runtime statistics More...

void	SetAlgorithmState (string error, string stack)
	Sets the algorithm state data More...

Dictionary< string, string >	GetAlgorithmState (DateTime? endTime=null)
	Gets the algorithm state data More...

StatisticsResults	GenerateStatisticsResults (Dictionary< string, Chart > charts, SortedDictionary< DateTime, decimal > profitLoss=null, CapacityEstimate estimatedStrategyCapacity=null)
	Will generate the statistics results and update the provided runtime statistics More...

int	TotalTradesCount ()
	Helper method to get the total trade count statistic More...

StatisticsResults	GenerateStatisticsResults (CapacityEstimate estimatedStrategyCapacity=null)
	Calculates and gets the current statistics for the algorithm. It will use the current Charts and profit loss information calculated from the current transaction record to generate the results. More...

virtual void	AddToLogStore (string message)
	Save an algorithm message to the log store. Uses a different timestamped method of adding messaging to interweve debug and logging messages. More...

void	ProcessAlgorithmLogs (int? messageQueueLimit=null)
	Processes algorithm logs. Logs of the same type are batched together one per line and are sent out More...

void	SummaryStatistic (string name, string value)
	Sets or updates a custom summary statistic More...

void	UpdateAlgorithmEquity ()
	Updates the current equity bar with the current equity value from GetPortfolioValue More...

Protected Attributes
volatile bool	ExitTriggered
	True if the exit has been triggered More...

Properties
virtual TimeSpan	MainUpdateInterval = TimeSpan.FromSeconds(3) `[get]`
	The main loop update interval More...

TimeSpan	ChartUpdateInterval = TimeSpan.FromMinutes(1) `[get, set]`
	The chart update interval More...

int	LastDeltaOrderPosition `[get, set]`
	The last position consumed from the ITransactionHandler.OrderEvents by GetDeltaOrders More...

int	LastDeltaOrderEventsPosition `[get, set]`
	The last position consumed from the ITransactionHandler.OrderEvents while determining delta order events More...

JsonSerializerSettings	SerializerSettings `[get, set]`
	Serializer settings to use More...

Bar	CurrentAlgorithmEquity `[get, set]`
	The current aggregated equity bar for sampling. It will be aggregated with values from the GetPortfolioValue More...

ConcurrentQueue< Packet >	Messages `[get, set]`
	Live packet messaging queue. Queue the messages here and send when the result queue is ready. More...

ConcurrentDictionary< string, Chart >	Charts `[get, set]`
	Storage for the price and equity charts of the live results. More...

ManualResetEvent	ExitEvent `[get]`
	Event set when exit is triggered More...

List< LogEntry >	LogStore `[get]`
	The log store instance More...

List< string >	AlgorithmPerformanceCharts = new List<string> { StrategyEquityKey, BenchmarkKey } `[get]`
	Algorithms performance related chart names More...

object	ChartLock `[get]`
	Lock to be used when accessing the chart collection More...

int	ProjectId `[get, set]`
	The algorithm project id More...

string	RamAllocation `[get, set]`
	The maximum amount of RAM (in MB) this algorithm is allowed to utilize More...

string	CompileId `[get, set]`
	The algorithm unique compilation id More...

string	AlgorithmId `[get, set]`
	The algorithm job id. This is the deploy id for live, backtesting id for backtesting More...

DateTime	StartTime `[get]`
	The result handler start time More...

Dictionary< string, string >	RuntimeStatistics `[get]`
	Customizable dynamic statistics IAlgorithm.RuntimeStatistics More...

Dictionary< string, string >	State `[get, set]`
	State of the algorithm More...

IMessagingHandler	MessagingHandler `[get, set]`
	The handler responsible for communicating messages to listeners More...

ITransactionHandler	TransactionHandler `[get, set]`
	The transaction handler used to get the algorithms Orders information More...

decimal	StartingPortfolioValue `[get, set]`
	The algorithms starting portfolio value. Used to calculate the portfolio return More...

virtual IAlgorithm	Algorithm `[get, set]`
	The algorithm instance More...

string	AlgorithmCurrencySymbol `[get, set]`
	Algorithm currency symbol, used in charting More...

decimal	DailyPortfolioValue `[get, set]`
	Closing portfolio value. Used to calculate daily performance. More...

decimal	CumulativeMaxPortfolioValue `[get, set]`
	Cumulative max portfolio value. Used to calculate drawdown underwater. More...

TimeSpan	ResamplePeriod `[get, set]`
	Sampling period for timespans between resamples of the charting equity. More...

TimeSpan	NotificationPeriod `[get, set]`
	How frequently the backtests push messages to the browser. More...

string	ResultsDestinationFolder `[get, set]`
	Directory location to store results More...

IMapFileProvider	MapFileProvider `[get, set]`
	The map file provider instance to use More...

Detailed Description

Provides base functionality to the implementations of IResultHandler

Definition at line 43 of file BaseResultsHandler.cs.

Constructor & Destructor Documentation

◆ BaseResultsHandler()

QuantConnect.Lean.Engine.Results.BaseResultsHandler.BaseResultsHandler ( )

protected

Creates a new instance

Definition at line 297 of file BaseResultsHandler.cs.

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Member Function Documentation

◆ OrderEvent()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.OrderEvent ( OrderEvent newEvent )

virtual

New order event for the algorithm

Parameters

newEvent New event details

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler, QuantConnect.Lean.Engine.Results.BacktestingResultHandler, and QuantConnect.Lean.Engine.Results.RegressionResultHandler.

Definition at line 333 of file BaseResultsHandler.cs.

◆ Exit()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.Exit ( )

virtual

Terminate the result thread and apply any required exit procedures like sending final results

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler, QuantConnect.Lean.Engine.Results.BacktestingResultHandler, and QuantConnect.Lean.Engine.Results.RegressionResultHandler.

Definition at line 340 of file BaseResultsHandler.cs.

◆ GetServerStatistics()

virtual Dictionary<string, string> QuantConnect.Lean.Engine.Results.BaseResultsHandler.GetServerStatistics ( DateTime utcNow )

protectedvirtual

Gets the current Server statistics

Definition at line 350 of file BaseResultsHandler.cs.

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◆ StoreOrderEvents()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.StoreOrderEvents	(	DateTime	utcTime,
		List< OrderEvent >	orderEvents
	)

protectedvirtual

Stores the order events

Parameters

utcTime	The utc date associated with these order events
orderEvents	The order events to store

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler.

Definition at line 365 of file BaseResultsHandler.cs.

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◆ StoreInsights()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.StoreInsights ( )

protectedvirtual

Save insight results to persistent storage

Method called by the storing timer and on exit

Definition at line 384 of file BaseResultsHandler.cs.

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◆ GetDeltaOrders()

virtual Dictionary<int, Order> QuantConnect.Lean.Engine.Results.BaseResultsHandler.GetDeltaOrders	(	int	orderEventsStartPosition,
		Func< int, bool >	shouldStop
	)

protectedvirtual

Gets the orders generated starting from the provided ITransactionHandler.OrderEvents position

Returns: The delta orders

Definition at line 411 of file BaseResultsHandler.cs.

◆ Initialize()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.Initialize ( ResultHandlerInitializeParameters parameters )

virtual

Initialize the result handler with this result packet.

Parameters

parameters DTO parameters class to initialize a result handler

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler, and QuantConnect.Lean.Engine.Results.BacktestingResultHandler.

Definition at line 449 of file BaseResultsHandler.cs.

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◆ Run()

abstract void QuantConnect.Lean.Engine.Results.BaseResultsHandler.Run ( )

protectedpure virtual

Result handler update method

Implemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler, and QuantConnect.Lean.Engine.Results.BacktestingResultHandler.

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◆ GetResultsPath()

string QuantConnect.Lean.Engine.Results.BaseResultsHandler.GetResultsPath ( string filename )

protected

Gets the full path for a results file

Parameters

filename The filename to add to the path

Returns: The full path, including the filename

Definition at line 487 of file BaseResultsHandler.cs.

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◆ OnSecuritiesChanged()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.OnSecuritiesChanged ( SecurityChanges changes )

virtual

Event fired each time that we add/remove securities from the data feed

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler, and QuantConnect.Lean.Engine.Results.RegressionResultHandler.

Definition at line 495 of file BaseResultsHandler.cs.

◆ SaveLogs()

virtual string QuantConnect.Lean.Engine.Results.BaseResultsHandler.SaveLogs	(	string	id,
		List< LogEntry >	logs
	)

virtual

Returns the location of the logs

Parameters

id	Id that will be incorporated into the algorithm log name
logs	The logs to save

Returns: The path to the logs

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler.

Definition at line 505 of file BaseResultsHandler.cs.

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◆ SaveResults()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SaveResults	(	string	name,
		Result	result
	)

virtual

Save the results to disk

Parameters

name	The name of the results
result	The results to save

Reimplemented in QuantConnect.Lean.Engine.Results.RegressionResultHandler.

Definition at line 519 of file BaseResultsHandler.cs.

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◆ PurgeQueue()

void QuantConnect.Lean.Engine.Results.BaseResultsHandler.PurgeQueue ( )

protected

Purge/clear any outstanding messages in message queue.

Definition at line 527 of file BaseResultsHandler.cs.

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◆ StopUpdateRunner()

void QuantConnect.Lean.Engine.Results.BaseResultsHandler.StopUpdateRunner ( )

protected

Stops the update runner task

Definition at line 535 of file BaseResultsHandler.cs.

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◆ GetNetReturn()

decimal QuantConnect.Lean.Engine.Results.BaseResultsHandler.GetNetReturn ( )

protected

Gets the algorithm net return

Definition at line 544 of file BaseResultsHandler.cs.

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◆ StoreResult()

abstract void QuantConnect.Lean.Engine.Results.BaseResultsHandler.StoreResult ( Packet packet )

protectedpure virtual

Save the snapshot of the total results to storage.

Parameters

packet Packet to store.

Implemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler, and QuantConnect.Lean.Engine.Results.BacktestingResultHandler.

◆ GetPortfolioValue()

virtual decimal QuantConnect.Lean.Engine.Results.BaseResultsHandler.GetPortfolioValue ( )

protectedvirtual

Gets the current portfolio value

Useful so that live trading implementation can freeze the returned value if there is no user exchange open so we ignore extended market hours updates

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler.

Definition at line 563 of file BaseResultsHandler.cs.

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◆ GetBenchmarkValue()

virtual decimal QuantConnect.Lean.Engine.Results.BaseResultsHandler.GetBenchmarkValue ( DateTime time )

protectedvirtual

Gets the current benchmark value

Useful so that live trading implementation can freeze the returned value if there is no user exchange open so we ignore extended market hours updates

Parameters

time	Time to resolve benchmark value at

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler.

Definition at line 574 of file BaseResultsHandler.cs.

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◆ Sample() [1/2]

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.Sample ( DateTime time )

virtual

Samples portfolio equity, benchmark, and daily performance Called by scheduled event every night at midnight algorithm time

Parameters

time	Current UTC time in the AlgorithmManager loop

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler.

Definition at line 589 of file BaseResultsHandler.cs.

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◆ SampleEquity()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SampleEquity ( DateTime time )

protectedvirtual

Sample the current equity of the strategy directly with time and using the current algorithm equity value in CurrentAlgorithmEquity

Parameters

time	Equity candlestick end time

Definition at line 633 of file BaseResultsHandler.cs.

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◆ SamplePerformance()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SamplePerformance	(	DateTime	time,
		decimal	value
	)

protectedvirtual

Sample the current daily performance directly with a time-value pair.

Parameters

time	Time of the sample.
value	Current daily performance value.

Reimplemented in QuantConnect.Lean.Engine.Results.RegressionResultHandler.

Definition at line 646 of file BaseResultsHandler.cs.

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◆ SampleBenchmark()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SampleBenchmark	(	DateTime	time,
		decimal	value
	)

protectedvirtual

Sample the current benchmark performance directly with a time-value pair.

Parameters

time	Time of the sample.
value	Current benchmark value.

See also: IResultHandler.Sample

Definition at line 661 of file BaseResultsHandler.cs.

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◆ SampleDrawdown()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SampleDrawdown	(	DateTime	time,
		decimal	currentPortfolioValue
	)

protectedvirtual

Sample drawdown of equity of the strategy

Parameters

time	Time of the sample
currentPortfolioValue	Current equity value

Definition at line 671 of file BaseResultsHandler.cs.

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◆ SamplePortfolioTurnover()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SamplePortfolioTurnover	(	DateTime	time,
		decimal	currentPortfolioValue
	)

protectedvirtual

Sample portfolio turn over of the strategy

Parameters

time	Time of the sample
currentPortfolioValue	Current equity value

Definition at line 687 of file BaseResultsHandler.cs.

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◆ SampleSalesVolume()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SampleSalesVolume ( DateTime time )

protectedvirtual

Sample assets sales volume

Parameters

time	Time of the sample

Definition at line 722 of file BaseResultsHandler.cs.

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◆ SampleExposure()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SampleExposure	(	DateTime	time,
		decimal	currentPortfolioValue
	)

protectedvirtual

Sample portfolio exposure long/short ratios by security type

Parameters

time	Time of the sample
currentPortfolioValue	Current value of the portfolio

Definition at line 738 of file BaseResultsHandler.cs.

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◆ SampleCapacity()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SampleCapacity ( DateTime time )

protectedvirtual

Sample estimated strategy capacity

Parameters

time	Time of the sample

Reimplemented in QuantConnect.Lean.Engine.Results.BacktestingResultHandler.

Definition at line 804 of file BaseResultsHandler.cs.

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◆ Sample() [2/2]

abstract void QuantConnect.Lean.Engine.Results.BaseResultsHandler.Sample	(	string	chartName,
		string	seriesName,
		int	seriesIndex,
		SeriesType	seriesType,
		ISeriesPoint	value,
		string	unit = `"$"`
	)

protectedpure virtual

Add a sample to the chart specified by the chartName, and seriesName.

Parameters

chartName	String chart name to place the sample.
seriesName	Series name for the chart.
seriesIndex	Series chart index - which chart should this series belong
seriesType	Series type for the chart.
value	Value for the chart sample.
unit	Unit for the chart axis

Sample can be used to create new charts or sample equity - daily performance.

Implemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler, and QuantConnect.Lean.Engine.Results.BacktestingResultHandler.

◆ GetAlgorithmRuntimeStatistics()

SortedDictionary<string, string> QuantConnect.Lean.Engine.Results.BaseResultsHandler.GetAlgorithmRuntimeStatistics	(	Dictionary< string, string >	summary,
		CapacityEstimate	capacityEstimate = `null`
	)

protected

Gets the algorithm runtime statistics

Definition at line 829 of file BaseResultsHandler.cs.

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◆ SetAlgorithmState()

void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SetAlgorithmState	(	string	error,
		string	stack
	)

protected

Sets the algorithm state data

Definition at line 863 of file BaseResultsHandler.cs.

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◆ GetAlgorithmState()

Dictionary<string, string> QuantConnect.Lean.Engine.Results.BaseResultsHandler.GetAlgorithmState ( DateTime? endTime = null )

protected

Gets the algorithm state data

Definition at line 872 of file BaseResultsHandler.cs.

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◆ GenerateStatisticsResults() [1/2]

StatisticsResults QuantConnect.Lean.Engine.Results.BaseResultsHandler.GenerateStatisticsResults	(	Dictionary< string, Chart >	charts,
		SortedDictionary< DateTime, decimal >	profitLoss = `null`,
		CapacityEstimate	estimatedStrategyCapacity = `null`
	)

protected

Will generate the statistics results and update the provided runtime statistics

Definition at line 897 of file BaseResultsHandler.cs.

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◆ TotalTradesCount()

int QuantConnect.Lean.Engine.Results.BaseResultsHandler.TotalTradesCount ( )

protected

Helper method to get the total trade count statistic

Definition at line 949 of file BaseResultsHandler.cs.

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◆ GenerateStatisticsResults() [2/2]

StatisticsResults QuantConnect.Lean.Engine.Results.BaseResultsHandler.GenerateStatisticsResults ( CapacityEstimate estimatedStrategyCapacity = null )

protected

Calculates and gets the current statistics for the algorithm. It will use the current Charts and profit loss information calculated from the current transaction record to generate the results.

Returns: The current statistics

Definition at line 960 of file BaseResultsHandler.cs.

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◆ AddToLogStore()

virtual void QuantConnect.Lean.Engine.Results.BaseResultsHandler.AddToLogStore ( string message )

protectedvirtual

Save an algorithm message to the log store. Uses a different timestamped method of adding messaging to interweve debug and logging messages.

Parameters

message String message to store

Reimplemented in QuantConnect.Lean.Engine.Results.LiveTradingResultHandler, QuantConnect.Lean.Engine.Results.BacktestingResultHandler, and QuantConnect.Lean.Engine.Results.RegressionResultHandler.

Definition at line 982 of file BaseResultsHandler.cs.

◆ ProcessAlgorithmLogs()

void QuantConnect.Lean.Engine.Results.BaseResultsHandler.ProcessAlgorithmLogs ( int? messageQueueLimit = null )

protected

Processes algorithm logs. Logs of the same type are batched together one per line and are sent out

Definition at line 995 of file BaseResultsHandler.cs.

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◆ SummaryStatistic()

void QuantConnect.Lean.Engine.Results.BaseResultsHandler.SummaryStatistic	(	string	name,
		string	value
	)

protected

Sets or updates a custom summary statistic

Parameters

name	The statistic name
value	The statistic value

Definition at line 1057 of file BaseResultsHandler.cs.

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◆ UpdateAlgorithmEquity()

void QuantConnect.Lean.Engine.Results.BaseResultsHandler.UpdateAlgorithmEquity ( )

protected

Updates the current equity bar with the current equity value from GetPortfolioValue

Definition at line 1077 of file BaseResultsHandler.cs.

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Member Data Documentation

◆ StrategyEquityKey

const string QuantConnect.Lean.Engine.Results.BaseResultsHandler.StrategyEquityKey = "Strategy Equity"

static

String message saying: Strategy Equity

Definition at line 61 of file BaseResultsHandler.cs.

◆ EquityKey

const string QuantConnect.Lean.Engine.Results.BaseResultsHandler.EquityKey = "Equity"

static

String message saying: Equity

Definition at line 66 of file BaseResultsHandler.cs.

◆ ReturnKey

const string QuantConnect.Lean.Engine.Results.BaseResultsHandler.ReturnKey = "Return"

static

String message saying: Return

Definition at line 71 of file BaseResultsHandler.cs.

◆ BenchmarkKey

const string QuantConnect.Lean.Engine.Results.BaseResultsHandler.BenchmarkKey = "Benchmark"

static

String message saying: Benchmark

Definition at line 76 of file BaseResultsHandler.cs.

◆ DrawdownKey

const string QuantConnect.Lean.Engine.Results.BaseResultsHandler.DrawdownKey = "Drawdown"

static

String message saying: Drawdown

Definition at line 81 of file BaseResultsHandler.cs.

◆ PortfolioTurnoverKey

const string QuantConnect.Lean.Engine.Results.BaseResultsHandler.PortfolioTurnoverKey = "Portfolio Turnover"

static

String message saying: PortfolioTurnover

Definition at line 86 of file BaseResultsHandler.cs.

◆ PortfolioMarginKey

const string QuantConnect.Lean.Engine.Results.BaseResultsHandler.PortfolioMarginKey = "Portfolio Margin"

static

String message saying: Portfolio Margin

Definition at line 91 of file BaseResultsHandler.cs.

◆ AssetsSalesVolumeKey

const string QuantConnect.Lean.Engine.Results.BaseResultsHandler.AssetsSalesVolumeKey = "Assets Sales Volume"

static

String message saying: Portfolio Margin

Definition at line 96 of file BaseResultsHandler.cs.

◆ IsActive

bool QuantConnect.Lean.Engine.Results.BaseResultsHandler.IsActive => _updateRunner != null && _updateRunner.IsAlive

Boolean flag indicating the thread is still active.

Definition at line 162 of file BaseResultsHandler.cs.

◆ ExitTriggered

volatile bool QuantConnect.Lean.Engine.Results.BaseResultsHandler.ExitTriggered

protected

True if the exit has been triggered

Definition at line 177 of file BaseResultsHandler.cs.

Property Documentation

◆ MainUpdateInterval

virtual TimeSpan QuantConnect.Lean.Engine.Results.BaseResultsHandler.MainUpdateInterval = TimeSpan.FromSeconds(3)

getprotected

The main loop update interval

Definition at line 101 of file BaseResultsHandler.cs.

◆ ChartUpdateInterval

TimeSpan QuantConnect.Lean.Engine.Results.BaseResultsHandler.ChartUpdateInterval = TimeSpan.FromMinutes(1)

getsetprotected

The chart update interval

Definition at line 106 of file BaseResultsHandler.cs.

◆ LastDeltaOrderPosition

int QuantConnect.Lean.Engine.Results.BaseResultsHandler.LastDeltaOrderPosition

getsetprotected

The last position consumed from the ITransactionHandler.OrderEvents by GetDeltaOrders

Definition at line 111 of file BaseResultsHandler.cs.

◆ LastDeltaOrderEventsPosition

int QuantConnect.Lean.Engine.Results.BaseResultsHandler.LastDeltaOrderEventsPosition

getsetprotected

The last position consumed from the ITransactionHandler.OrderEvents while determining delta order events

Definition at line 116 of file BaseResultsHandler.cs.

◆ SerializerSettings

JsonSerializerSettings QuantConnect.Lean.Engine.Results.BaseResultsHandler.SerializerSettings

getsetprotected

Initial value:

= new ()
        {
            ContractResolver = new DefaultContractResolver
            {
                NamingStrategy = new CamelCaseNamingStrategy
                {
                    ProcessDictionaryKeys = false,
                    OverrideSpecifiedNames = true
                }
            }
        }

Serializer settings to use

Definition at line 121 of file BaseResultsHandler.cs.

◆ CurrentAlgorithmEquity

Bar QuantConnect.Lean.Engine.Results.BaseResultsHandler.CurrentAlgorithmEquity

getsetprotected

The current aggregated equity bar for sampling. It will be aggregated with values from the GetPortfolioValue

Definition at line 138 of file BaseResultsHandler.cs.

◆ Messages

ConcurrentQueue<Packet> QuantConnect.Lean.Engine.Results.BaseResultsHandler.Messages

getset

Live packet messaging queue. Queue the messages here and send when the result queue is ready.

Definition at line 167 of file BaseResultsHandler.cs.

◆ Charts

ConcurrentDictionary<string, Chart> QuantConnect.Lean.Engine.Results.BaseResultsHandler.Charts

getset

Storage for the price and equity charts of the live results.

Definition at line 172 of file BaseResultsHandler.cs.

◆ ExitEvent

ManualResetEvent QuantConnect.Lean.Engine.Results.BaseResultsHandler.ExitEvent

getprotected

Event set when exit is triggered

Definition at line 182 of file BaseResultsHandler.cs.

◆ LogStore

List<LogEntry> QuantConnect.Lean.Engine.Results.BaseResultsHandler.LogStore

getprotected

The log store instance

Definition at line 187 of file BaseResultsHandler.cs.

◆ AlgorithmPerformanceCharts

List<string> QuantConnect.Lean.Engine.Results.BaseResultsHandler.AlgorithmPerformanceCharts = new List<string> { StrategyEquityKey, BenchmarkKey }

getprotected

Algorithms performance related chart names

Used to calculate the probabilistic sharpe ratio

Definition at line 193 of file BaseResultsHandler.cs.

◆ ChartLock

object QuantConnect.Lean.Engine.Results.BaseResultsHandler.ChartLock

getprotected

Lock to be used when accessing the chart collection

Definition at line 198 of file BaseResultsHandler.cs.

◆ ProjectId

int QuantConnect.Lean.Engine.Results.BaseResultsHandler.ProjectId

getsetprotected

The algorithm project id

Definition at line 203 of file BaseResultsHandler.cs.

◆ RamAllocation

string QuantConnect.Lean.Engine.Results.BaseResultsHandler.RamAllocation

getsetprotected

The maximum amount of RAM (in MB) this algorithm is allowed to utilize

Definition at line 208 of file BaseResultsHandler.cs.

◆ CompileId

string QuantConnect.Lean.Engine.Results.BaseResultsHandler.CompileId

getsetprotected

The algorithm unique compilation id

Definition at line 213 of file BaseResultsHandler.cs.

◆ AlgorithmId

string QuantConnect.Lean.Engine.Results.BaseResultsHandler.AlgorithmId

getsetprotected

The algorithm job id. This is the deploy id for live, backtesting id for backtesting

Definition at line 219 of file BaseResultsHandler.cs.

◆ StartTime

DateTime QuantConnect.Lean.Engine.Results.BaseResultsHandler.StartTime

getprotected

The result handler start time

Definition at line 224 of file BaseResultsHandler.cs.

◆ RuntimeStatistics

Dictionary<string, string> QuantConnect.Lean.Engine.Results.BaseResultsHandler.RuntimeStatistics

getprotected

Customizable dynamic statistics IAlgorithm.RuntimeStatistics

Definition at line 229 of file BaseResultsHandler.cs.

◆ State

Dictionary<string, string> QuantConnect.Lean.Engine.Results.BaseResultsHandler.State

getsetprotected

State of the algorithm

Definition at line 234 of file BaseResultsHandler.cs.

◆ MessagingHandler

IMessagingHandler QuantConnect.Lean.Engine.Results.BaseResultsHandler.MessagingHandler

getsetprotected

The handler responsible for communicating messages to listeners

Definition at line 239 of file BaseResultsHandler.cs.

◆ TransactionHandler

ITransactionHandler QuantConnect.Lean.Engine.Results.BaseResultsHandler.TransactionHandler

getsetprotected

The transaction handler used to get the algorithms Orders information

Definition at line 244 of file BaseResultsHandler.cs.

◆ StartingPortfolioValue

decimal QuantConnect.Lean.Engine.Results.BaseResultsHandler.StartingPortfolioValue

getsetprotected

The algorithms starting portfolio value. Used to calculate the portfolio return

Definition at line 250 of file BaseResultsHandler.cs.

◆ Algorithm

virtual IAlgorithm QuantConnect.Lean.Engine.Results.BaseResultsHandler.Algorithm

getsetprotected

The algorithm instance

Definition at line 255 of file BaseResultsHandler.cs.

◆ AlgorithmCurrencySymbol

string QuantConnect.Lean.Engine.Results.BaseResultsHandler.AlgorithmCurrencySymbol

getsetprotected

Algorithm currency symbol, used in charting

Definition at line 260 of file BaseResultsHandler.cs.

◆ DailyPortfolioValue

decimal QuantConnect.Lean.Engine.Results.BaseResultsHandler.DailyPortfolioValue

getsetprotected

Closing portfolio value. Used to calculate daily performance.

Definition at line 265 of file BaseResultsHandler.cs.

◆ CumulativeMaxPortfolioValue

decimal QuantConnect.Lean.Engine.Results.BaseResultsHandler.CumulativeMaxPortfolioValue

getsetprotected

Cumulative max portfolio value. Used to calculate drawdown underwater.

Definition at line 270 of file BaseResultsHandler.cs.

◆ ResamplePeriod

TimeSpan QuantConnect.Lean.Engine.Results.BaseResultsHandler.ResamplePeriod

getsetprotected

Sampling period for timespans between resamples of the charting equity.

Specifically critical for backtesting since with such long timeframes the sampled data can get extreme.

Definition at line 276 of file BaseResultsHandler.cs.

◆ NotificationPeriod

TimeSpan QuantConnect.Lean.Engine.Results.BaseResultsHandler.NotificationPeriod

getsetprotected

How frequently the backtests push messages to the browser.

Update frequency of notification packets

Definition at line 282 of file BaseResultsHandler.cs.

◆ ResultsDestinationFolder

string QuantConnect.Lean.Engine.Results.BaseResultsHandler.ResultsDestinationFolder

getsetprotected

Directory location to store results

Definition at line 287 of file BaseResultsHandler.cs.

◆ MapFileProvider

IMapFileProvider QuantConnect.Lean.Engine.Results.BaseResultsHandler.MapFileProvider

getsetprotected

The map file provider instance to use

Definition at line 292 of file BaseResultsHandler.cs.

The documentation for this class was generated from the following file:

Engine/Results/BaseResultsHandler.cs

Public Member Functions

Public Attributes

Static Public Attributes

Protected Member Functions

Protected Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ BaseResultsHandler()

Member Function Documentation

◆ OrderEvent()

◆ Exit()

◆ GetServerStatistics()

◆ StoreOrderEvents()

◆ StoreInsights()

◆ GetDeltaOrders()

◆ Initialize()

◆ Run()

◆ GetResultsPath()

◆ OnSecuritiesChanged()

◆ SaveLogs()

◆ SaveResults()

◆ PurgeQueue()

◆ StopUpdateRunner()

◆ GetNetReturn()

◆ StoreResult()

◆ GetPortfolioValue()

◆ GetBenchmarkValue()

◆ Sample() [1/2]

◆ SampleEquity()

◆ SamplePerformance()

◆ SampleBenchmark()

◆ SampleDrawdown()

◆ SamplePortfolioTurnover()

◆ SampleSalesVolume()

◆ SampleExposure()

◆ SampleCapacity()

◆ Sample() [2/2]

◆ GetAlgorithmRuntimeStatistics()

◆ SetAlgorithmState()

◆ GetAlgorithmState()

◆ GenerateStatisticsResults() [1/2]

◆ TotalTradesCount()

◆ GenerateStatisticsResults() [2/2]

◆ AddToLogStore()

◆ ProcessAlgorithmLogs()

◆ SummaryStatistic()

◆ UpdateAlgorithmEquity()

Member Data Documentation

◆ StrategyEquityKey

◆ EquityKey

◆ ReturnKey

◆ BenchmarkKey

◆ DrawdownKey

◆ PortfolioTurnoverKey

◆ PortfolioMarginKey

◆ AssetsSalesVolumeKey

◆ IsActive

◆ ExitTriggered

Property Documentation

◆ MainUpdateInterval

◆ ChartUpdateInterval

◆ LastDeltaOrderPosition

◆ LastDeltaOrderEventsPosition

◆ SerializerSettings

◆ CurrentAlgorithmEquity

◆ Messages

◆ Charts

◆ ExitEvent

◆ LogStore

◆ AlgorithmPerformanceCharts

◆ ChartLock

◆ ProjectId

◆ RamAllocation

◆ CompileId

◆ AlgorithmId

◆ StartTime

◆ RuntimeStatistics

◆ State

◆ MessagingHandler