Adalyat Nazirov
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>
324 lines
13 KiB
JSON
324 lines
13 KiB
JSON
{
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// this configuration file works by first loading all top-level
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// configuration items and then will load the specified environment
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// on top, this provides a layering affect. environment names can be
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// anything, and just require definition in this file. There's
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// two predefined environments, 'backtesting' and 'live', feel free
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// to add more!
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"environment": "backtesting", // "live-paper", "backtesting", "live-interactive", "live-interactive-iqfeed"
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// algorithm class selector
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"algorithm-type-name": "BasicTemplateFrameworkAlgorithm",
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// Algorithm language selector - options CSharp, Python
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"algorithm-language": "CSharp",
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//Physical DLL location
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"algorithm-location": "QuantConnect.Algorithm.CSharp.dll",
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//"algorithm-location": "../../../Algorithm.Python/BasicTemplateFrameworkAlgorithm.py"
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//Research notebook
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//"composer-dll-directory": ".",
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// engine
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"data-folder": "../../../Data/",
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// debugging configuration - options for debugging-method LocalCmdLine, VisualStudio, PTVSD, PyCharm
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"debugging": false,
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"debugging-method": "LocalCmdline",
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// handlers
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"log-handler": "QuantConnect.Logging.CompositeLogHandler",
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"messaging-handler": "QuantConnect.Messaging.Messaging",
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"job-queue-handler": "QuantConnect.Queues.JobQueue",
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"api-handler": "QuantConnect.Api.Api",
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"map-file-provider": "QuantConnect.Data.Auxiliary.LocalDiskMapFileProvider",
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"factor-file-provider": "QuantConnect.Data.Auxiliary.LocalDiskFactorFileProvider",
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"data-provider": "QuantConnect.Lean.Engine.DataFeeds.DefaultDataProvider",
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"alpha-handler": "QuantConnect.Lean.Engine.Alphas.DefaultAlphaHandler",
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"data-channel-provider": "DataChannelProvider",
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"object-store": "QuantConnect.Lean.Engine.Storage.LocalObjectStore",
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"data-aggregator": "QuantConnect.Lean.Engine.DataFeeds.AggregationManager",
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// limits on number of symbols to allow
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"symbol-minute-limit": 10000,
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"symbol-second-limit": 10000,
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"symbol-tick-limit": 10000,
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// limits the amount of data points per chart series. Applies only for backtesting
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"maximum-data-points-per-chart-series": 4000,
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// if one uses true in following token, market hours will remain open all hours and all days.
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// if one uses false will make lean operate only during regular market hours.
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"force-exchange-always-open": false,
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// save list of transactions to the specified csv file
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"transaction-log": "",
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// To get your api access token go to quantconnect.com/account
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"job-user-id": "0",
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"api-access-token": "",
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// live data configuration
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"live-data-url": "ws://www.quantconnect.com/api/v2/live/data/",
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"live-data-port": 8020,
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// interactive brokers configuration
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"ib-account": "",
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"ib-user-name": "",
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"ib-password": "",
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"ib-host": "127.0.0.1",
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"ib-port": "4002",
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"ib-agent-description": "Individual",
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"ib-tws-dir": "C:\\Jts",
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"ib-trading-mode": "paper",
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"ib-enable-delayed-streaming-data": false,
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"ib-version": "974",
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// tradier configuration
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"tradier-account-id": "",
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"tradier-access-token": "",
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"tradier-refresh-token": "",
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"tradier-issued-at": "",
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"tradier-lifespan": "",
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"tradier-refresh-session": true,
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// oanda configuration
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"oanda-environment": "Practice",
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"oanda-access-token": "",
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"oanda-account-id": "",
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// fxcm configuration
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"fxcm-server": "http://www.fxcorporate.com/Hosts.jsp",
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"fxcm-terminal": "Demo", //Real or Demo
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"fxcm-user-name": "",
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"fxcm-password": "",
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"fxcm-account-id": "",
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// iqfeed configuration
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"iqfeed-host": "127.0.0.1",
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"iqfeed-username": "",
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"iqfeed-password": "",
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"iqfeed-productName": "",
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"iqfeed-version": "1.0",
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// gdax configuration
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"gdax-api-secret": "",
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"gdax-api-key": "",
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"gdax-passphrase": "",
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// bitfinex configuration
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"bitfinex-api-secret": "",
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"bitfinex-api-key": "",
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// binance configuration
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"binance-api-secret": "",
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"binance-api-key": "",
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// Required to access data from Quiver Quantitative
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// To get your access token go to https://api.quiverquant.com
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"quiver-auth-token": "",
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// Required to access data from Quandl
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// To get your access token go to https://www.quandl.com/account/api
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"quandl-auth-token": "",
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// Required to access data from Tiingo
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// To get your access token go to https://www.tiingo.com
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"tiingo-auth-token": "",
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// Required to access data from US Energy Information Administration
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// To get your access token go to https://www.eia.gov/opendata
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"us-energy-information-auth-token": "",
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// Required for IEX history requests
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"iex-cloud-api-key": "",
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// alpaca configuration
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// available trading mode: 'paper', 'live'
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"alpaca-key-id": "",
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"alpaca-secret-key": "",
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"alpaca-trading-mode": "paper",
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// Required for streaming Polygon.io data
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// To get your access token go to https://polygon.io
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"polygon-api-key": "",
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// parameters to set in the algorithm (the below are just samples)
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"parameters": {
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// Intrinio account user and password
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"intrinio-username": "",
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"intrinio-password": "",
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"ema-fast": 10,
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"ema-slow": 20
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},
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"environments": {
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// defines the 'backtesting' environment
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"backtesting": {
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"live-mode": false,
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"setup-handler": "QuantConnect.Lean.Engine.Setup.ConsoleSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.BacktestingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.BacktestingRealTimeHandler",
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"history-provider": "QuantConnect.Lean.Engine.HistoricalData.SubscriptionDataReaderHistoryProvider",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler"
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},
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// defines the 'live-paper' environment
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"live-paper": {
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"live-mode": true,
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// the paper brokerage requires the BacktestingTransactionHandler
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"live-mode-brokerage": "PaperBrokerage",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"data-queue-handler": "QuantConnect.Lean.Engine.DataFeeds.Queues.LiveDataQueue",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BacktestingTransactionHandler"
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},
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// defines the 'live-tradier' environment
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"live-tradier": {
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"live-mode": true,
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// this setting will save tradier access/refresh tokens to a tradier-tokens.txt file
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// that can be read in next time, this makes it easier to start/stop a tradier algorithm
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"tradier-save-tokens": true,
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// real brokerage implementations require the BrokerageTransactionHandler
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"live-mode-brokerage": "TradierBrokerage",
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"data-queue-handler": "TradierBrokerage",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler"
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},
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// defines the 'live-interactive' environment
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"live-interactive": {
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"live-mode": true,
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// real brokerage implementations require the BrokerageTransactionHandler
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"live-mode-brokerage": "InteractiveBrokersBrokerage",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"data-queue-handler": "QuantConnect.Brokerages.InteractiveBrokers.InteractiveBrokersBrokerage",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
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"history-provider": "BrokerageHistoryProvider"
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},
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// defines the 'live-interactive-iqfeed' environment
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"live-interactive-iqfeed": {
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"live-mode": true,
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// real brokerage implementations require the BrokerageTransactionHandler
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"live-mode-brokerage": "InteractiveBrokersBrokerage",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"data-queue-handler": "QuantConnect.ToolBox.IQFeed.IQFeedDataQueueHandler",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
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"history-provider": "QuantConnect.ToolBox.IQFeed.IQFeedDataQueueHandler"
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},
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// defines the 'live-fxcm' environment
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"live-fxcm": {
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"live-mode": true,
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// real brokerage implementations require the BrokerageTransactionHandler
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"live-mode-brokerage": "FxcmBrokerage",
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"data-queue-handler": "FxcmBrokerage",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
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"history-provider": "BrokerageHistoryProvider"
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},
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// defines the 'live-oanda' environment
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"live-oanda": {
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"live-mode": true,
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// real brokerage implementations require the BrokerageTransactionHandler
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"live-mode-brokerage": "OandaBrokerage",
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"data-queue-handler": "OandaBrokerage",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
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"history-provider": "BrokerageHistoryProvider"
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},
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"live-gdax": {
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"live-mode": true,
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// real brokerage implementations require the BrokerageTransactionHandler
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"live-mode-brokerage": "GDAXBrokerage",
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"data-queue-handler": "GDAXDataQueueHandler",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
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"history-provider": "BrokerageHistoryProvider"
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},
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"live-bitfinex": {
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"live-mode": true,
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// real brokerage implementations require the BrokerageTransactionHandler
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"live-mode-brokerage": "BitfinexBrokerage",
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"data-queue-handler": "BitfinexBrokerage",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
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"history-provider": "BrokerageHistoryProvider"
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},
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"live-binance": {
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"live-mode": true,
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// real brokerage implementations require the BrokerageTransactionHandler
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"live-mode-brokerage": "BinanceBrokerage",
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"data-queue-handler": "BinanceBrokerage",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
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"history-provider": "BrokerageHistoryProvider"
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},
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// defines the 'live-alpaca' environment
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"live-alpaca": {
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"live-mode": true,
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// real brokerage implementations require the BrokerageTransactionHandler
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"live-mode-brokerage": "AlpacaBrokerage",
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"data-queue-handler": "PolygonDataQueueHandler",
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"setup-handler": "QuantConnect.Lean.Engine.Setup.BrokerageSetupHandler",
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"result-handler": "QuantConnect.Lean.Engine.Results.LiveTradingResultHandler",
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"data-feed-handler": "QuantConnect.Lean.Engine.DataFeeds.LiveTradingDataFeed",
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"real-time-handler": "QuantConnect.Lean.Engine.RealTime.LiveTradingRealTimeHandler",
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"transaction-handler": "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler",
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"history-provider": "BrokerageHistoryProvider"
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}
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}
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} |