15607
3 Commits
| Author | SHA1 | Message | Date | |
|---|---|---|---|---|
 Andreas Sundebo
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e2de241c2b |
Feature 5090 add api optimization methods (#6108)
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Move Optimizer-related DTOs and JSON converters into Common/Optimizer * Add REST methods for Optimization * Move OptimizationStatus into Common * Change optimizationId parameter type to string * Update Optimization and add lightweight optimization object * Rename lightweight optimization to BaseOptimization and remove unneccessary properties * Remove snapshotId from Optimization, add ParameterSet to Backtest * Add missing IApi.cs method signatures * Move ParameterSet into Common * Replace Backtest with OptimizationBacktest * Update UpdateOptimization to not include null or empty name and layout params in the request * Change Objective targetTemplate regex pattern from ['(.+)'] to (.+) to prevent escaping target strings without whitespace * Return Estimate object when calling EstimateOptimization * Use DefaultNamingStrategy when serializing constraint operators * Revert "Change Objective targetTemplate regex pattern from ['(.+)'] to (.+) to prevent escaping target strings without whitespace" This reverts commit fbe7de0fd77dccc62e8c52c42a4ec9c18347acb2. * Update Api method signatures * Add unit tests * Fix XML comment referring to the old class name * Fix XML summary for OptimizationResponseWrapper * Address review feedback - Remove unused testOrganizationId - Change NodeType from string to NodeType enum - Clarify unit types for Estimate time and balance - Simplify JsonConverter classes * Add accessors to Common/Api classes * Define performance metrics names in PerformanceMetrics class * Remove unnecessary branching logic from GetSeriesValues method * Add crefs and examples to XML comments in the Api class * Revert "Change NodeType from string to NodeType enum" * Remove layout param from UpdateOptimization method * Backtest property ParameterSet should be of type ParameterSet * Add asserts for deserialization in OptimizationBacktestJsonConverterTests * Replace the three target-related properties with Criterion * Add serialization and deserialization tests for Optimization * Remove Optimization Serialization test * Add EstimateDeserialization test * Add asserts for integration tests * Address self review * Revert test case * Update Nodes.cs * Update Nodes.cs * Set Aborted status when Optimization fails to start * Add ParameterSetJsonConverter and ParameterSetJsonConverterTests Co-authored-by: Martin-Molinero <martin@quantconnect.com> |
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Martin-Molinero
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2de9c21b6d |
Optimization tweaks (#5056)
* Add progress for runtimeStats - Add optimization progress runtimestats - Add ServerStatistics for the last backtesting package * Add StaticOptimizationParameter - Add StaticOptimizationParameter. Updating unit tests |
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Adalyat Nazirov
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a4f66628fd |
Lean Optimization interface in QCAlgorithm (#4923)
* initial commit * run parametrized algorithm with command line parameters * skeleton: top level structure * OptimizationNodePacket scheme * pass parameters as HashSet * run Lean and read results * call method on optimization completion * refactor public interfaces - close ParameterSet collection; allow only get operations - explicit method to start LeanOptimizer * synchronize RunLean method; the result could come in before the backtest id is set in the collections * another portion of refactoring and interface changes * comments * comments & tests for Extremum, Minimization and Maximization classes * unify optimization paramater values (min, max, step) & mode GridSearch tests - swap min&max if necessary - iterate left => right (negate step value if necessary) & provide default step value if step == 0 - no StackOverflow Exception - parameterSet Id should be global for current generator and retain between steps - test signle point boundary (min == max) * BruteForceStrategy tests * more comments * Update Optimizer assembly information - Update Optimizer projects assembly information to match behavior of the other projects * Tweaks - Adding comments - Replace OnComplete for Ended event - Replace Abort for Dispose - ConsoleLeanOptimizer will keep track of running processes - Each backtest will store results in a separated directory, so they don't fight for the log.txt file. - Adding cmdline option for lean to close automatically - Adding concurrent execution backtest limit - Console optimizer will start Lean minimized - Escape spaces in Json path * remove parameter set generator abstraction layer we don't need this flexibility now. * refactor public methods; Step shouldn't be public * constraints: wip * define contract * comparison operators and tests * specify JsonProperty values * Move SafeMultiply100 to extensions * Throw exception on failed Optimizer.Start * constraints: wip * change finish & dispose process * minor fixes - handle force lean abort - notify consumer if target has been reached * target & constraints; adapt unit tests * Minor Tweaks and fixes - Some logging improvements - Remove Public since not required * Ignore empty ParameterValue * simplify condition * avoid reinitialization * reduce type; force immutable * unit tests for constraints and target value * parse & normalize percent values, i.e. 20% => 0.2 * fixup * Target & Constraint & OptimizationNodePacket unit tests * Add more json unit tests - Adding more json conversion unit tests. Fix bug for Extremum which wasn't using the converter. * LeanOptimizer tests * Estimation results * User thread safe counters * LeanOptimizer unit tests; push OptimizationResult on Ended event * more unit tests * Minor tweaks -Estimate ToString in a single line. -Typos and missing header file * Add base SendUpdate method - Add base SendUpdate method for LeanOptimizer * fix LeanOptimizer test; rely on internal Update rather than timer * Add OptimizationStatus - Add missing commments and OptimizationStatus * EulerSearch implementation: wip * OptimizationParameter custom converter * change the type * make step optional * change folder structure * enumerate optimization parameter using IEnumerable & IEnumerator * unit tests: parameters & objectives * unit tests: strategies * remove redundant TODO * change Euler search boundaries * more Euler tests * prevent race condition * Add account/read endpoint - Adding account/read endpoint. Adding unit test * Add status check before running lean * Minor self review - Adding missing comments, minor changes * remove array parameters * minor changes - tidy up config file, rename variable - accept min less or equal than max * move OptimizationParameter methods to strategies * Minor improvements for BaseResultHandler derivates * minor changes - strict requirements for Step and MinStep values - strategy specific settigs * Add TotalRuntime to estimate Co-authored-by: Martin Molinero <martin.molinero1@gmail.com> |