Append out of memory diagnostics to the algorithm runtime error message

Engine/Engine.cs

@@ -381,7 +381,7 @@ public void Run(AlgorithmNodePacket job, AlgorithmManager manager, string assemb
                     // Algorithm runtime error:
                     if (algorithm.RunTimeError != null)
                     {
-                        HandleAlgorithmError(job, algorithm.RunTimeError);
+                        HandleAlgorithmError(job, algorithm, algorithm.RunTimeError);
                     }
 
                     // notify the LEAN manager that the algorithm has finished
@@ -477,13 +477,18 @@ public void Run(AlgorithmNodePacket job, AlgorithmManager manager, string assemb
         /// Handle an error in the algorithm.Run method.
         /// </summary>
         /// <param name="job">Job we're processing</param>
+        /// <param name="algorithm">The algorithm instance that raised the error</param>
         /// <param name="err">Error from algorithm stack</param>
-        private void HandleAlgorithmError(AlgorithmNodePacket job, Exception err)
+        private void HandleAlgorithmError(AlgorithmNodePacket job, IAlgorithm algorithm, Exception err)
         {
             AlgorithmHandlers.DataFeed?.Exit();
             if (AlgorithmHandlers.Results != null)
             {
                 var message = $"Runtime Error: {err.Message}";
+                if (TryGetOutOfMemoryErrorDetails(job, algorithm, err, out var outOfMemoryDetails))
+                {
+                    message += outOfMemoryDetails;
+                }
                 Log.Trace("Engine.Run(): Sending runtime error to user...");
                 AlgorithmHandlers.Results.LogMessage(message);
 
@@ -495,6 +500,42 @@ private void HandleAlgorithmError(AlgorithmNodePacket job, Exception err)
             }
         }
 
+        /// <summary>
+        /// Checks whether the given exception is an <see cref="OutOfMemoryException"/>,
+        /// producing details about the algorithm state and the common causes to be appended to the runtime error message
+        /// </summary>
+        /// <param name="job">Job we're processing</param>
+        /// <param name="algorithm">The algorithm instance that raised the error</param>
+        /// <param name="err">Error from algorithm stack</param>
+        /// <param name="details">The out of memory details, null if the error is not an out of memory error</param>
+        /// <returns>True if the error is an out of memory error</returns>
+        private static bool TryGetOutOfMemoryErrorDetails(AlgorithmNodePacket job, IAlgorithm algorithm, Exception err, out string details)
+        {
+            details = null;
+            if (err is not OutOfMemoryException)
+            {
+                return false;
+            }
+
+            details = Invariant($" The algorithm exhausted its {job.RamAllocation}MB of RAM.");
+            if (algorithm != null)
+            {
+                try
+                {
+                    details += Invariant($" State: {algorithm.Securities.Count} securities, {algorithm.SubscriptionManager.Count} subscriptions, {algorithm.UniverseManager.Count} universes.");
+                }
+                catch (Exception stateException)
+                {
+                    // best effort: don't let diagnostics collection replace the original error
+                    Log.Error(stateException);
+                }
+            }
+            details += " Common causes: universe/subscription count too high for the allocated RAM; unbounded buffers such as rolling windows," +
+                " consolidators or accumulated history results. Fixes: reduce universe size/subscriptions, use coarser resolutions," +
+                " or bound buffers.";
+            return true;
+        }
+
         /// <summary>
         /// Load the history provider from the Composer
         /// </summary>