Files
quantconnect--lean/Common/Packets/Packet.cs
Adalyat Nazirov 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>
2020-12-02 20:10:40 -03:00

168 lines
4.2 KiB
C#

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