Common engine initialization (QuantConnect#5809)

- Create Lean common engine initialization class, which will be called by research and Lean launcher - Fix backtest deserialization bug due to failing to handle decimal value
Coulbe · Jul 30, 2021 · 41636c9 · 41636c9
1 parent 2624b8c
commit 41636c9
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Showing 7 changed files with 93 additions and 58 deletions.
diff --git a/Common/AlgorithmImports.py b/Common/AlgorithmImports.py
@@ -48,6 +48,7 @@
 from QuantConnect.Orders.Fees import *
 from QuantConnect.Data.Custom import *
 from QuantConnect.Data.Market import *
+from QuantConnect.Lean.Engine import *
 from QuantConnect.Orders.Fills import *
 from QuantConnect.Configuration import *
 from QuantConnect.Notifications import *

diff --git a/Common/AlphaRuntimeStatistics.cs b/Common/AlphaRuntimeStatistics.cs
@@ -86,15 +86,15 @@ public AlphaRuntimeStatistics()
         /// <summary>
         /// The total accumulated estimated value of trading all insights
         /// </summary>
-        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore), JsonConverter(typeof(StringDecimalJsonConverter), true)]
         public decimal TotalAccumulatedEstimatedAlphaValue { get; set; }
 
         /// <summary>
         /// Score of the strategy's insights predictive power
         /// </summary>
         /// <remarks>See https://www.quantconnect.com/forum/discussion/6194/insight-scoring-metric/p1.
         /// For performance we only truncate when the value is gotten</remarks>
-        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore), JsonConverter(typeof(StringDecimalJsonConverter), true)]
         public decimal KellyCriterionEstimate
         {
             get
@@ -112,7 +112,7 @@ public decimal KellyCriterionEstimate
         /// </summary>
         /// <remarks>See https://www.quantconnect.com/forum/discussion/6194/insight-scoring-metric/p1.
         /// For performance we only truncate when the value is gotten</remarks>
-        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore), JsonConverter(typeof(StringDecimalJsonConverter), true)]
         public decimal KellyCriterionProbabilityValue
         {
             get
@@ -130,7 +130,7 @@ public decimal KellyCriterionProbabilityValue
         /// </summary>
         /// <remarks>See https://www.quantconnect.com/research/3bc40ecee68d36a9424fbd1b338eb227.
         /// For performance we only truncate when the value is gotten</remarks>
-        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore), JsonConverter(typeof(StringDecimalJsonConverter), true)]
         public decimal FitnessScore
         {
             get
@@ -148,7 +148,7 @@ public decimal FitnessScore
         /// Calculated as the sales volume with respect to the average total portfolio value.
         /// </summary>
         /// <remarks>For performance we only truncate when the value is gotten</remarks>
-        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore), JsonConverter(typeof(StringDecimalJsonConverter), true)]
         public decimal PortfolioTurnover
         {
             get
@@ -166,7 +166,7 @@ public decimal PortfolioTurnover
         /// It is calculated by dividing the Portfolio Annualized Return by the Maximum Drawdown seen during the backtest.
         /// </summary>
         /// <remarks>For performance we only truncate when the value is gotten</remarks>
-        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore), JsonConverter(typeof(StringDecimalJsonConverter), true)]
         public decimal ReturnOverMaxDrawdown
         {
             get
@@ -200,7 +200,7 @@ public decimal SortinoRatio
         /// <summary>
         /// Suggested Value of the Alpha On A Monthly Basis For Licensing
         /// </summary>
-        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore), JsonConverter(typeof(StringDecimalJsonConverter), true)]
         public decimal EstimatedMonthlyAlphaValue
         {
             get
@@ -235,7 +235,7 @@ public decimal EstimatedMonthlyAlphaValue
         /// <summary>
         /// Gets the mean estimated insight value
         /// </summary>
-        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore), JsonConverter(typeof(StringDecimalJsonConverter), true)]
         public decimal MeanPopulationEstimatedInsightValue => TotalInsightsClosed > 0 ? TotalAccumulatedEstimatedAlphaValue / TotalInsightsClosed : 0;
 
         /// <summary>
@@ -292,4 +292,4 @@ private static string Invariant(IConvertible obj)
             return obj.ToStringInvariant();
         }
     }
-}
+}
diff --git a/Engine/Initializer.cs b/Engine/Initializer.cs
@@ -0,0 +1,72 @@
+/*
+ * 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.IO;
+using QuantConnect.Util;
+using QuantConnect.Logging;
+using QuantConnect.Configuration;
+
+namespace QuantConnect.Lean.Engine
+{
+    /// <summary>
+    /// Helper class to initialize a Lean engine
+    /// </summary>
+    public static class Initializer
+    {
+        /// <summary>
+        /// The current Lean Engine System handlers
+        /// </summary>
+        public static LeanEngineSystemHandlers LeanEngineSystemHandlers { get; private set; }
+
+        /// <summary>
+        /// The current Lean Engine Algorithm handlers
+        /// </summary>
+        public static LeanEngineAlgorithmHandlers LeanEngineAlgorithmHandlers { get; private set; }
+
+        /// <summary>
+        /// Basic common Lean initialization
+        /// </summary>
+        public static void Start()
+        {
+            try
+            {
+                var mode = "RELEASE";
+                #if DEBUG
+                mode = "DEBUG";
+                #endif
+
+                Log.DebuggingEnabled = Config.GetBool("debug-mode");
+                Log.FilePath = Path.Combine(Config.Get("results-destination-folder"), "log.txt");
+                Log.LogHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
+
+                Log.Trace($"Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v{Globals.Version} Mode: {mode} ({(Environment.Is64BitProcess ? "64" : "32")}bit) Host: {Environment.MachineName}");
+                Log.Trace("Engine.Main(): Started " + DateTime.Now.ToShortTimeString());
+
+                LeanEngineSystemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance);
+
+                //Setup packeting, queue and controls system: These don't do much locally.
+                LeanEngineSystemHandlers.Initialize();
+
+                LeanEngineAlgorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
+            }
+            catch (Exception e)
+            {
+                Log.Error(e);
+                throw;
+            }
+        }
+    }
+}
diff --git a/Launcher/Program.cs b/Launcher/Program.cs
@@ -47,12 +47,6 @@ static Program()
 
         static void Main(string[] args)
         {
-            //Initialize:
-            var mode = "RELEASE";
-            #if DEBUG
-                mode = "DEBUG";
-            #endif
-
             if (OS.IsWindows)
             {
                 Console.OutputEncoding = System.Text.Encoding.UTF8;
@@ -65,29 +59,12 @@ static void Main(string[] args)
             }
 
             var liveMode = Config.GetBool("live-mode");
-            Log.DebuggingEnabled = Config.GetBool("debug-mode");
-            Log.FilePath = Path.Combine(Config.Get("results-destination-folder"), "log.txt");
-            Log.LogHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
-
             //Name thread for the profiler:
             Thread.CurrentThread.Name = "Algorithm Analysis Thread";
-            Log.Trace($"Engine.Main(): LEAN ALGORITHMIC TRADING ENGINE v{Globals.Version} Mode: {mode} ({(Environment.Is64BitProcess ? "64" : "32")}bit) Host: {Environment.MachineName}");
-            Log.Trace("Engine.Main(): Started " + DateTime.Now.ToShortTimeString());
 
-            //Import external libraries specific to physical server location (cloud/local)
-
-            try
-            {
-                leanEngineSystemHandlers = LeanEngineSystemHandlers.FromConfiguration(Composer.Instance);
-            }
-            catch (CompositionException compositionException)
-            {
-                Log.Error("Engine.Main(): Failed to load library: " + compositionException);
-                throw;
-            }
-
-            //Setup packeting, queue and controls system: These don't do much locally.
-            leanEngineSystemHandlers.Initialize();
+            Initializer.Start();
+            leanEngineSystemHandlers = Initializer.LeanEngineSystemHandlers;
+            leanEngineAlgorithmHandlers = Initializer.LeanEngineAlgorithmHandlers;
 
             //-> Pull job from QuantConnect job queue, or, pull local build:
             string assemblyPath;
@@ -100,16 +77,6 @@ static void Main(string[] args)
                 throw new ArgumentException(jobNullMessage);
             }
 
-            try
-            {
-                leanEngineAlgorithmHandlers = LeanEngineAlgorithmHandlers.FromConfiguration(Composer.Instance);
-            }
-            catch (CompositionException compositionException)
-            {
-                Log.Error("Engine.Main(): Failed to load library: " + compositionException);
-                throw;
-            }
-
             // if the job version doesn't match this instance version then we can't process it
             // we also don't want to reprocess redelivered jobs
             if (job.Redelivered)

diff --git a/Research/QuantBook.cs b/Research/QuantBook.cs
@@ -52,9 +52,6 @@ public class QuantBook : QCAlgorithm
 
         static QuantBook()
         {
-            Logging.Log.LogHandler =
-                Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
-
             //Determine if we are in a Python Notebook
             try
             {

diff --git a/Research/QuantConnect.csx b/Research/QuantConnect.csx
@@ -80,9 +80,7 @@ using QuantConnect.Securities.Equity;
 using QuantConnect.Securities.Forex;
 using QuantConnect.Securities.Interfaces;
 using QuantConnect.Configuration;
+using QuantConnect.Lean.Engine;
 
-// Loads up a connection to our API for use in the research environment
-Api api = new Api();
-api.Initialize(Config.GetInt("job-user-id", 1), 
-    Config.Get("api-access-token", "default"),
-    Config.Get("data-folder"));
+Initializer.Start();
+Api api = (Api)Initializer.LeanEngineSystemHandlers.Api;
diff --git a/Research/start.py b/Research/start.py
@@ -29,10 +29,10 @@
 
 from AlgorithmImports import *
 
-# Start an instance of an API class
-api = Api()
-api.Initialize(Config.GetInt("job-user-id", 1),
-    Config.Get("api-access-token", "default"),
-    Config.Get("data-folder"))
+# Used by pythonNet
+AddReference("Fasterflect")
+
+Initializer.Start()
+api = Initializer.LeanEngineSystemHandlers.Api
 
 get_ipython().run_line_magic('matplotlib', 'inline')