a4f66628fd
* 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>
168 lines
4.2 KiB
C#
168 lines
4.2 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using Newtonsoft.Json;
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using Newtonsoft.Json.Converters;
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namespace QuantConnect.Packets
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{
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/// <summary>
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/// Base class for packet messaging system
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/// </summary>
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public class Packet
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{
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/// <summary>
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/// Packet type defined by a string enum
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/// </summary>
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[JsonProperty(PropertyName = "eType")]
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public PacketType Type { get; set; } = PacketType.None;
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/// <summary>
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/// User unique specific channel endpoint to send the packets
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/// </summary>
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[JsonProperty(PropertyName = "sChannel")]
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public virtual string Channel { get; set; } = "";
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/// <summary>
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/// Initialize the base class and setup the packet type.
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/// </summary>
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/// <param name="type">PacketType for the class.</param>
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public Packet(PacketType type)
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{
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Channel = "";
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Type = type;
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}
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}
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/// <summary>
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/// Classifications of internal packet system
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/// </summary>
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[JsonConverter(typeof(StringEnumConverter))]
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public enum PacketType
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{
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/// Default, unset:
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None,
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/// Base type for backtest and live work
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AlgorithmNode,
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/// Autocomplete Work Packet
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AutocompleteWork,
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/// Result of the Autocomplete Job:
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AutocompleteResult,
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/// Controller->Backtest Node Packet:
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BacktestNode,
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/// Packet out of backtest node:
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BacktestResult,
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/// API-> Controller Work Packet:
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BacktestWork,
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/// Controller -> Live Node Packet:
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LiveNode,
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/// Live Node -> User Packet:
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LiveResult,
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/// API -> Controller Packet:
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LiveWork,
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/// Node -> User Algo Security Types
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SecurityTypes,
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/// Controller -> User Error in Backtest Settings:
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BacktestError,
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/// Nodes -> User Algorithm Status Packet:
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AlgorithmStatus,
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/// API -> Compiler Work Packet:
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BuildWork,
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/// Compiler -> User Build Success
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BuildSuccess,
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/// Compiler -> User, Compile Error
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BuildError,
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/// Node -> User Algorithm Runtime Error
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RuntimeError,
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/// Error is an internal handled error packet inside users algorithm
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HandledError,
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/// Nodes -> User Log Message
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Log,
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/// Nodes -> User Debug Message
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Debug,
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/// Nodes -> User, Order Update Event
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OrderEvent,
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/// Boolean true/false success
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Success,
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/// History live job packets
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History,
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/// Result from a command
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CommandResult,
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/// Hook from git hub
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GitHubHook,
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/// Documentation result from docs server
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DocumentationResult,
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/// Documentation request to the docs server
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Documentation,
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/// Debug packet generated by Lean
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SystemDebug,
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/// Packet containing insights generated by the algorithm
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AlphaResult,
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/// Alpha API -> Controller packet
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AlphaWork,
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/// Alpha Controller -> Alpha Node packet
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AlphaNode,
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/// Packet containing list of algorithms to run as a regression test
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RegressionAlgorithm,
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/// Packet containing a heartbeat
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AlphaHeartbeat,
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/// Used when debugging to send status updates
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DebuggingStatus,
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/// Optimization Node Packet:
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OptimizationNode,
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/// Optimization Estimate Packet:
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OptimizationEstimate,
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/// Optimization work status update
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OptimizationStatus
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}
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}
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