BacktestingResultHandler

QuantConnect.Lean.Engine.Results.BacktestingResultHandler

BacktestingResultHandler()

Bases: BaseResultsHandler, IResultHandler

Backtesting result handler passes messages back from the Lean to the User.

Creates a new instance

final_statistics

final_statistics: Dictionary[str, str]

A dictionary containing summary statistics

messages

messages: ConcurrentQueue[Packet]

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

is_active

is_active: bool

Boolean flag indicating the thread is still active.

STRATEGY_EQUITY_KEY

STRATEGY_EQUITY_KEY: str = 'Strategy Equity'

String message saying: Strategy Equity

EQUITY_KEY

EQUITY_KEY: str = 'Equity'

String message saying: Equity

RETURN_KEY

RETURN_KEY: str = 'Return'

String message saying: Return

BENCHMARK_KEY

BENCHMARK_KEY: str = 'Benchmark'

String message saying: Benchmark

DRAWDOWN_KEY

DRAWDOWN_KEY: str = 'Drawdown'

String message saying: Drawdown

PORTFOLIO_TURNOVER_KEY

PORTFOLIO_TURNOVER_KEY: str = 'Portfolio Turnover'

String message saying: PortfolioTurnover

PORTFOLIO_MARGIN_KEY

PORTFOLIO_MARGIN_KEY: str = 'Portfolio Margin'

String message saying: Portfolio Margin

ASSETS_SALES_VOLUME_KEY

ASSETS_SALES_VOLUME_KEY: str = 'Assets Sales Volume'

String message saying: Portfolio Margin

main_update_interval

main_update_interval: timedelta

The main loop update interval

This codeEntityType is protected.

chart_update_interval

chart_update_interval: timedelta

The chart update interval

This codeEntityType is protected.

last_delta_order_position

last_delta_order_position: int

The last position consumed from the ITransactionHandler.order_events by get_delta_orders

This codeEntityType is protected.

last_delta_order_events_position

last_delta_order_events_position: int

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

This codeEntityType is protected.

serializer_settings

serializer_settings: Any

Serializer settings to use

This codeEntityType is protected.

current_algorithm_equity

current_algorithm_equity: Bar

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

This codeEntityType is protected.

charts

charts: ConcurrentDictionary[str, Chart]

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

exit_triggered

exit_triggered: bool

True if the exit has been triggered

This codeEntityType is protected.

exit_event

exit_event: ManualResetEvent

Event set when exit is triggered

This codeEntityType is protected.

log_store

log_store: List[LogEntry]

The log store instance

This codeEntityType is protected.

algorithm_performance_charts

algorithm_performance_charts: List[str]

Algorithms performance related chart names

This codeEntityType is protected.

chart_lock

chart_lock: Object

Lock to be used when accessing the chart collection

This codeEntityType is protected.

project_id

project_id: int

The algorithm project id

This codeEntityType is protected.

ram_allocation

ram_allocation: str

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

This codeEntityType is protected.

compile_id

compile_id: str

The algorithm unique compilation id

This codeEntityType is protected.

algorithm_id

algorithm_id: str

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

This codeEntityType is protected.

start_time

start_time: datetime

The result handler start time

This codeEntityType is protected.

runtime_statistics

runtime_statistics: Dictionary[str, str]

Customizable dynamic statistics IAlgorithm.runtime_statistics

This codeEntityType is protected.

state

state: Dictionary[str, str]

State of the algorithm

This codeEntityType is protected.

messaging_handler

messaging_handler: IMessagingHandler

The handler responsible for communicating messages to listeners

This codeEntityType is protected.

transaction_handler

transaction_handler: ITransactionHandler

The transaction handler used to get the algorithms Orders information

This codeEntityType is protected.

starting_portfolio_value

starting_portfolio_value: float

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

This codeEntityType is protected.

algorithm

algorithm: IAlgorithm

The algorithm instance

This codeEntityType is protected.

algorithm_currency_symbol

algorithm_currency_symbol: str

Algorithm currency symbol, used in charting

This codeEntityType is protected.

daily_portfolio_value

daily_portfolio_value: float

Closing portfolio value. Used to calculate daily performance.

This codeEntityType is protected.

cumulative_max_portfolio_value

cumulative_max_portfolio_value: float

Cumulative max portfolio value. Used to calculate drawdown underwater.

This codeEntityType is protected.

resample_period

resample_period: timedelta

Sampling period for timespans between resamples of the charting equity.

This codeEntityType is protected.

notification_period

notification_period: timedelta

How frequently the backtests push messages to the browser.

This codeEntityType is protected.

results_destination_folder

results_destination_folder: str

Directory location to store results

This codeEntityType is protected.

map_file_provider

map_file_provider: IMapFileProvider

The map file provider instance to use

This codeEntityType is protected.

add_to_log_store

add_to_log_store(message: str) -> None

Add message to LogStore

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
message	str	Message to add	required

algorithm_name_updated

algorithm_name_updated(name: str) -> None

Handles updates to the algorithm's name

Parameters:

Name	Type	Description	Default
name	str	The new name	required

algorithm_tags_updated

algorithm_tags_updated(tags: HashSet[str]) -> None

Sends a packet communicating an update to the algorithm's tags

Parameters:

Name	Type	Description	Default
tags	HashSet[str]	The new tags	required

brokerage_message

brokerage_message(
    brokerage_message_event: BrokerageMessageEvent,
) -> None

Process brokerage message events

Parameters:

Name	Type	Description	Default
brokerage_message_event	BrokerageMessageEvent	The brokerage message event	required

configure_console_text_writer

configure_console_text_writer(
    algorithm: IAlgorithm,
) -> None

Configures the Console.Out and Console.ErrorTextWriter instances. By default, we forward Console.WriteLine(string) to IAlgorithm.debug. This is perfect for running in the cloud, but since they're processed asynchronously, the ordering of these messages with respect to Log messages is broken. This can lead to differences in regression test logs based solely on the ordering of messages. To disable this forwarding, set "forward-console-messages" to false in the configuration.

This codeEntityType is protected.

debug_message

debug_message(message: str) -> None

Send a debug message back to the browser console.

Parameters:

Name	Type	Description	Default
message	str	Message we'd like shown in console.	required

error_message

error_message(message: str, stacktrace: str = ...) -> None

Send an error message back to the browser highlighted in red with a stacktrace.

Parameters:

Name	Type	Description	Default
message	str	Error message we'd like shown in console.	required
stacktrace	str	Stacktrace information string	...

exit

exit() -> None

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

initialize

initialize(
    parameters: ResultHandlerInitializeParameters,
) -> None

Initialize the result handler with this result packet.

log_message

log_message(message: str) -> None

Send a logging message to the log list for storage.

Parameters:

Name	Type	Description	Default
message	str	Message we'd in the log.	required

order_event

order_event(new_event: OrderEvent) -> None

Handle order event

Parameters:

Name	Type	Description	Default
new_event	OrderEvent	Event to process	required

process_synchronous_events

process_synchronous_events(
    force_process: bool = False,
) -> None

Process the synchronous result events, sampling and message reading. This method is triggered from the algorithm manager thread.

run

run() -> None

The main processing method steps through the messaging queue and processes the messages one by one.

This codeEntityType is protected.

runtime_error

runtime_error(message: str, stacktrace: str = ...) -> None

Send a runtime error message back to the browser highlighted with in red

Parameters:

Name	Type	Description	Default
message	str	Error message.	required
stacktrace	str	Stacktrace information string	...

runtime_statistic

runtime_statistic(key: str, value: str) -> None

Set the current runtime statistics of the algorithm. These are banner/title statistics which show at the top of the live trading results.

Parameters:

Name	Type	Description	Default
key	str	Runtime headline statistic name	required
value	str	Runtime headline statistic value	required

sample

sample(
    chart_name: str,
    series_name: str,
    series_index: int,
    series_type: SeriesType,
    value: ISeriesPoint,
    unit: str = "$",
) -> None

Add a sample to the chart specified by the chart_name, and series_name.

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
chart_name	str	String chart name to place the sample.	required
series_index	int	Type of chart we should create if it doesn't already exist.	required
series_name	str	Series name for the chart.	required
series_type	SeriesType	Series type for the chart.	required
value	ISeriesPoint	Value for the chart sample.	required
unit	str	Unit of the sample	'$'

sample_capacity

sample_capacity(time: Union[datetime, date]) -> None

Sample estimated strategy capacity

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Time of the sample	required

sample_range

sample_range(updates: List[Chart]) -> None

Add a range of samples from the users algorithms to the end of our current list.

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
updates	List[Chart]	Chart updates since the last request.	required

send_final_result

send_final_result() -> None

Send a final analysis result back to the IDE.

This codeEntityType is protected.

send_status_update

send_status_update(
    status: AlgorithmStatus, message: str = ...
) -> None

Send an algorithm status update to the browser.

Parameters:

Name	Type	Description	Default
status	AlgorithmStatus	Status enum value.	required
message	str	Additional optional status message.	...

set_algorithm

set_algorithm(
    algorithm: IAlgorithm, starting_portfolio_value: float
) -> None

Set the Algorithm instance for ths result.

Parameters:

Name	Type	Description	Default
algorithm	IAlgorithm	Algorithm we're working on.	required
starting_portfolio_value	float	Algorithm starting capital for statistics calculations	required

set_summary_statistic

set_summary_statistic(name: str, value: str) -> None

Sets or updates a custom summary statistic

Parameters:

Name	Type	Description	Default
name	str	The statistic name	required
value	str	The statistic value	required

split_packets

split_packets(
    delta_charts: Dictionary[str, Chart],
    delta_orders: Dictionary[int, Order],
    runtime_statistics: SortedDictionary[str, str],
    progress: float,
    server_statistics: Dictionary[str, str],
) -> Iterable[BacktestResultPacket]

Run over all the data and break it into smaller packets to ensure they all arrive at the terminal

statistics_results

statistics_results() -> StatisticsResults

Calculates and gets the current statistics for the algorithm

Returns:

Type	Description
StatisticsResults	The current statistics.

store_result

store_result(packet: Packet) -> None

Save the snapshot of the total results to storage.

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
packet	Packet	Packet to store.	required

system_debug_message

system_debug_message(message: str) -> None

Send a system debug message back to the browser console.

Parameters:

Name	Type	Description	Default
message	str	Message we'd like shown in console.	required

on_securities_changed

on_securities_changed(changes: SecurityChanges) -> None

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

save_results

save_results(name: str, result: Result) -> None

Save the results to disk

Parameters:

Name	Type	Description	Default
name	str	The name of the results	required
result	Result	The results to save	required

security_type

security_type(types: List[SecurityType]) -> None

Send list of security asset types the algorithm uses to browser.

generate_statistics_results

generate_statistics_results(
    charts: Dictionary[str, Chart],
    profit_loss: SortedDictionary[datetime, float] = None,
    estimated_strategy_capacity: CapacityEstimate = None,
) -> StatisticsResults

generate_statistics_results(
    estimated_strategy_capacity: CapacityEstimate = None,
) -> StatisticsResults

Signature descriptions:

• Will generate the statistics results and update the provided runtime statistics

• 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:

Type	Description
StatisticsResults	The current statistics.

get_algorithm_runtime_statistics

get_algorithm_runtime_statistics(
    summary: Dictionary[str, str],
    capacity_estimate: CapacityEstimate = None,
) -> SortedDictionary[str, str]

Gets the algorithm runtime statistics

This codeEntityType is protected.

get_algorithm_state

get_algorithm_state(
    end_time: Optional[datetime] = None,
) -> Dictionary[str, str]

Gets the algorithm state data

This codeEntityType is protected.

get_benchmark_value

get_benchmark_value() -> float

Gets the current benchmark value

This codeEntityType is protected.

get_delta_orders

get_delta_orders(
    order_events_start_position: int,
    should_stop: Callable[[int], bool],
) -> Dictionary[int, Order]

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

This codeEntityType is protected.

Returns:

Type	Description
Dictionary[int, Order]	The delta orders.

get_net_return

get_net_return() -> float

Gets the algorithm net return

This codeEntityType is protected.

get_portfolio_value

get_portfolio_value() -> float

Gets the current portfolio value

This codeEntityType is protected.

get_results_path

get_results_path(filename: str) -> str

Gets the full path for a results file

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
filename	str	The filename to add to the path	required

Returns:

Type	Description
str	The full path, including the filename.

get_server_statistics

get_server_statistics(
    utc_now: Union[datetime, date],
) -> Dictionary[str, str]

Gets the current Server statistics

This codeEntityType is protected.

process_algorithm_logs

process_algorithm_logs(
    message_queue_limit: Optional[int] = None,
) -> None

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

This codeEntityType is protected.

purge_queue

purge_queue() -> None

Purge/clear any outstanding messages in message queue.

This codeEntityType is protected.

sample_benchmark

sample_benchmark(
    time: Union[datetime, date], value: float
) -> None

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

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Time of the sample.	required
value	float	Current benchmark value.	required

sample_drawdown

sample_drawdown(
    time: Union[datetime, date],
    current_portfolio_value: float,
) -> None

Sample drawdown of equity of the strategy

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Time of the sample	required
current_portfolio_value	float	Current equity value	required

sample_equity

sample_equity(time: Union[datetime, date]) -> None

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

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Equity candlestick end time	required

sample_exposure

sample_exposure(
    time: Union[datetime, date],
    current_portfolio_value: float,
) -> None

Sample portfolio exposure long/short ratios by security type

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Time of the sample	required
current_portfolio_value	float	Current value of the portfolio	required

sample_performance

sample_performance(
    time: Union[datetime, date], value: float
) -> None

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

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Time of the sample.	required
value	float	Current daily performance value.	required

sample_portfolio_turnover

sample_portfolio_turnover(
    time: Union[datetime, date],
    current_portfolio_value: float,
) -> None

Sample portfolio turn over of the strategy

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Time of the sample	required
current_portfolio_value	float	Current equity value	required

sample_sales_volume

sample_sales_volume(time: Union[datetime, date]) -> None

Sample assets sales volume

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Time of the sample	required

save_logs

save_logs(id: str, logs: List[LogEntry]) -> str

Returns the location of the logs

Parameters:

Name	Type	Description	Default
id	str	Id that will be incorporated into the algorithm log name	required
logs	List[LogEntry]	The logs to save	required

Returns:

Type	Description
str	The path to the logs.

set_algorithm_state

set_algorithm_state(error: str, stack: str) -> None

Sets the algorithm state data

This codeEntityType is protected.

stop_update_runner

stop_update_runner() -> None

Stops the update runner task

This codeEntityType is protected.

store_insights

store_insights() -> None

Save insight results to persistent storage

This codeEntityType is protected.

store_order_events

store_order_events(
    utc_time: Union[datetime, date],
    order_events: List[OrderEvent],
) -> None

Stores the order events

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
utc_time	Union[datetime, date]	The utc date associated with these order events	required
order_events	List[OrderEvent]	The order events to store	required

summary_statistic

summary_statistic(name: str, value: str) -> None

Sets or updates a custom summary statistic

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
name	str	The statistic name	required
value	str	The statistic value	required

total_trades_count

total_trades_count() -> int

Helper method to get the total trade count statistic

This codeEntityType is protected.

update_algorithm_equity

update_algorithm_equity() -> None

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

This codeEntityType is protected.

update_benchmark_value

update_benchmark_value(
    time: Union[datetime, date], force: bool = False
) -> None

This codeEntityType is protected.

update_portfolio_values

update_portfolio_values(
    time: Union[datetime, date], force: bool = False
) -> None

This codeEntityType is protected.