Files
quantconnect--lean/Common/Parameters/ParameterAttribute.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

170 lines
7.2 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 System;
using System.Collections.Generic;
using System.Linq;
using System.Reflection;
using QuantConnect.Logging;
using QuantConnect.Packets;
namespace QuantConnect.Parameters
{
/// <summary>
/// Specifies a field or property is a parameter that can be set
/// from an <see cref="AlgorithmNodePacket.Parameters"/> dictionary
/// </summary>
[AttributeUsage(AttributeTargets.Field | AttributeTargets.Property)]
public class ParameterAttribute : Attribute
{
/// <summary>
/// Specifies the binding flags used by this implementation to resolve parameter attributes
/// </summary>
public const BindingFlags BindingFlags = System.Reflection.BindingFlags.Public | System.Reflection.BindingFlags.NonPublic | System.Reflection.BindingFlags.Static | System.Reflection.BindingFlags.Instance;
private static readonly string ParameterAttributeNameProperty = "Name";
/// <summary>
/// Gets the name of this parameter
/// </summary>
public string Name { get; private set; }
/// <summary>
/// Initializes a new instance of the <see cref="ParameterAttribute"/> class
/// </summary>
/// <param name="name">The name of the parameter. If null is specified
/// then the field or property name will be used</param>
public ParameterAttribute(string name = null)
{
Name = name;
}
/// <summary>
/// Uses reflections to inspect the instance for any parameter attributes.
/// If a value is found in the parameters dictionary, it is set.
/// </summary>
/// <param name="parameters">The parameters dictionary</param>
/// <param name="instance">The instance to set parameters on</param>
public static void ApplyAttributes(Dictionary<string, string> parameters, object instance)
{
if (instance == null) throw new ArgumentNullException(nameof(instance));
var type = instance.GetType();
// get all fields/properties on the instance
var members = type.GetFields(BindingFlags).Concat<MemberInfo>(type.GetProperties(BindingFlags));
foreach (var memberInfo in members)
{
var fieldInfo = memberInfo as FieldInfo;
var propertyInfo = memberInfo as PropertyInfo;
// this line make static analysis a little happier, but should never actually throw
if (fieldInfo == null && propertyInfo == null)
{
throw new InvalidOperationException("Resolved member that is neither FieldInfo or PropertyInfo");
}
// check the member for our custom attribute
var attribute = memberInfo.GetCustomAttribute<ParameterAttribute>();
if (attribute == null) continue;
// if no name is specified in the attribute then use the member name
var parameterName = attribute.Name ?? memberInfo.Name;
// get the parameter string value to apply to the member
string parameterValue;
if (!parameters.TryGetValue(parameterName, out parameterValue)) continue;
if (string.IsNullOrEmpty(parameterValue))
{
Log.Error($"ParameterAttribute.ApplyAttributes(): parameter '{parameterName}' provided value is null/empty, skipping");
continue;
}
// if it's a read-only property with a parameter value we can't really do anything, bail
if (propertyInfo != null && !propertyInfo.CanWrite)
{
var message = $"The specified property is read only: {propertyInfo.DeclaringType}.{propertyInfo.Name}";
throw new InvalidOperationException(message);
}
// resolve the member type
var memberType = fieldInfo != null ? fieldInfo.FieldType : propertyInfo.PropertyType;
// convert the parameter string value to the member type
var value = parameterValue.ConvertTo(memberType);
// set the value to the field/property
if (fieldInfo != null)
{
fieldInfo.SetValue(instance, value);
}
else
{
propertyInfo.SetValue(instance, value);
}
}
}
/// <summary>
/// Resolves all parameter attributes from the specified compiled assembly path
/// </summary>
/// <param name="assembly">The assembly to inspect</param>
/// <returns>Parameters dictionary keyed by parameter name with a value of the member type</returns>
public static Dictionary<string, string> GetParametersFromAssembly(Assembly assembly)
{
var parameters = new Dictionary<string, string>();
foreach (var type in assembly.GetTypes())
{
foreach (var kvp in GetParametersFromType(type))
{
parameters[kvp.Key] = kvp.Value;
}
}
return parameters;
}
/// <summary>
/// Resolves all parameter attributes from the specified type
/// </summary>
/// <param name="type">The type to inspect</param>
/// <returns>Parameters dictionary keyed by parameter name with a value of the member type</returns>
public static IEnumerable<KeyValuePair<string, string>> GetParametersFromType(Type type)
{
foreach (var field in type.GetFields(BindingFlags))
{
var attribute = field.GetCustomAttribute<ParameterAttribute>();
if (attribute != null)
{
var parameterName = attribute.Name ?? field.Name;
yield return new KeyValuePair<string, string>(parameterName, field.FieldType.GetBetterTypeName());
}
}
foreach (var property in type.GetProperties(BindingFlags))
{
// ignore non-writeable properties
if (!property.CanWrite) continue;
var attribute = property.GetCustomAttribute<ParameterAttribute>();
if (attribute != null)
{
var parameterName = attribute.Name ?? property.Name;
yield return new KeyValuePair<string, string>(parameterName, property.PropertyType.GetBetterTypeName());
}
}
}
}
}