Backtesting setup handler processes the algorithm initialize method and sets up the internal state of the algorithm class. More...

Inheritance diagram for QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler:

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Public Member Functions
	BacktestingSetupHandler ()
	Initialize the backtest setup handler. More...

virtual IAlgorithm	CreateAlgorithmInstance (AlgorithmNodePacket algorithmNodePacket, string assemblyPath)
	Create a new instance of an algorithm from a physical dll path. More...

virtual IBrokerage	CreateBrokerage (AlgorithmNodePacket algorithmNodePacket, IAlgorithm uninitializedAlgorithm, out IBrokerageFactory factory)
	Creates a new BacktestingBrokerage instance More...

virtual bool	Setup (SetupHandlerParameters parameters)
	Setup the algorithm cash, dates and data subscriptions as desired. More...

void	Dispose ()
	Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources. More...

Properties
TimeSpan	InitializationTimeOut = TimeSpan.FromMinutes(5) `[get, set]`
	Get the maximum time that the initialization of an algorithm can take More...

TimeSpan	AlgorithmCreationTimeout = BaseSetupHandler.AlgorithmCreationTimeout `[get, set]`
	Get the maximum time that the creation of an algorithm can take More...

WorkerThread	WorkerThread `[get, set]`
	The worker thread instance the setup handler should use More...

List< Exception >	Errors `[get, set]`
	Internal errors list from running the setup procedures. More...

TimeSpan	MaximumRuntime `[get, protected set]`
	Maximum runtime of the algorithm in seconds. More...

decimal	StartingPortfolioValue `[get, protected set]`
	Starting capital according to the users initialize routine. More...

DateTime	StartingDate `[get, protected set]`
	Start date for analysis loops to search for data. More...

int	MaxOrders `[get, protected set]`
	Maximum number of orders for this backtest. More...

Properties inherited from QuantConnect.Lean.Engine.Setup.ISetupHandler
WorkerThread	WorkerThread `[set]`
	The worker thread instance the setup handler should use More...

List< Exception >	Errors `[get, set]`
	Any errors from the initialization stored here: More...

TimeSpan	MaximumRuntime `[get]`
	Get the maximum runtime for this algorithm job. More...

decimal	StartingPortfolioValue `[get]`
	Algorithm starting capital for statistics calculations More...

DateTime	StartingDate `[get]`
	Start date for analysis loops to search for data. More...

int	MaxOrders `[get]`
	Maximum number of orders for the algorithm run – applicable for backtests only. More...

Detailed Description

Backtesting setup handler processes the algorithm initialize method and sets up the internal state of the algorithm class.

Definition at line 34 of file BacktestingSetupHandler.cs.

Constructor & Destructor Documentation

◆ BacktestingSetupHandler()

QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.BacktestingSetupHandler ( )

Initialize the backtest setup handler.

Definition at line 84 of file BacktestingSetupHandler.cs.

Member Function Documentation

◆ CreateAlgorithmInstance()

virtual IAlgorithm QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.CreateAlgorithmInstance	(	AlgorithmNodePacket	algorithmNodePacket,
		string	assemblyPath
	)

virtual

Create a new instance of an algorithm from a physical dll path.

Parameters

assemblyPath	The path to the assembly's location
algorithmNodePacket	Details of the task required

Returns: A new instance of IAlgorithm, or throws an exception if there was an error

Implements QuantConnect.Lean.Engine.Setup.ISetupHandler.

Definition at line 97 of file BacktestingSetupHandler.cs.

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◆ CreateBrokerage()

virtual IBrokerage QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.CreateBrokerage	(	AlgorithmNodePacket	algorithmNodePacket,
		IAlgorithm	uninitializedAlgorithm,
		out IBrokerageFactory	factory
	)

virtual

Creates a new BacktestingBrokerage instance

Parameters

algorithmNodePacket	Job packet
uninitializedAlgorithm	The algorithm instance before Initialize has been called
factory	The brokerage factory

Returns: The brokerage instance, or throws if error creating instance

Implements QuantConnect.Lean.Engine.Setup.ISetupHandler.

Definition at line 125 of file BacktestingSetupHandler.cs.

◆ Setup()

virtual bool QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.Setup ( SetupHandlerParameters parameters )

virtual

Setup the algorithm cash, dates and data subscriptions as desired.

Parameters

parameters The parameters object to use

Returns: Boolean true on successfully initializing the algorithm

Implements QuantConnect.Lean.Engine.Setup.ISetupHandler.

Definition at line 136 of file BacktestingSetupHandler.cs.

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◆ Dispose()

void QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.Dispose ( )

Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.

Definition at line 273 of file BacktestingSetupHandler.cs.

Property Documentation

◆ InitializationTimeOut

TimeSpan QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.InitializationTimeOut = TimeSpan.FromMinutes(5)

getsetprotected

Get the maximum time that the initialization of an algorithm can take

Definition at line 39 of file BacktestingSetupHandler.cs.

◆ AlgorithmCreationTimeout

TimeSpan QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.AlgorithmCreationTimeout = BaseSetupHandler.AlgorithmCreationTimeout

getsetprotected

Get the maximum time that the creation of an algorithm can take

Definition at line 44 of file BacktestingSetupHandler.cs.

◆ WorkerThread

WorkerThread QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.WorkerThread

getset

The worker thread instance the setup handler should use

Definition at line 49 of file BacktestingSetupHandler.cs.

◆ Errors

List<Exception> QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.Errors

getset

Internal errors list from running the setup procedures.

Definition at line 54 of file BacktestingSetupHandler.cs.

◆ MaximumRuntime

TimeSpan QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.MaximumRuntime

getprotected set

Maximum runtime of the algorithm in seconds.

Maximum runtime is a formula based on the number and resolution of symbols requested, and the days backtesting

Definition at line 60 of file BacktestingSetupHandler.cs.

◆ StartingPortfolioValue

decimal QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.StartingPortfolioValue

getprotected set

Starting capital according to the users initialize routine.

Set from the user code.

See also: QCAlgorithm.SetCash(decimal)

Definition at line 67 of file BacktestingSetupHandler.cs.

◆ StartingDate

DateTime QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.StartingDate

getprotected set

Start date for analysis loops to search for data.

See also: QCAlgorithm.SetStartDate(DateTime)

Definition at line 73 of file BacktestingSetupHandler.cs.

◆ MaxOrders

int QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.MaxOrders

getprotected set

Maximum number of orders for this backtest.

To stop algorithm flooding the backtesting system with hundreds of megabytes of order data we limit it to 100 per day

Definition at line 79 of file BacktestingSetupHandler.cs.

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

Engine/Setup/BacktestingSetupHandler.cs

Public Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ BacktestingSetupHandler()

Member Function Documentation

◆ CreateAlgorithmInstance()

◆ CreateBrokerage()

◆ Setup()

◆ Dispose()

Property Documentation

◆ InitializationTimeOut

◆ AlgorithmCreationTimeout

◆ WorkerThread

◆ Errors

◆ MaximumRuntime

◆ StartingPortfolioValue

◆ StartingDate

◆ MaxOrders