Andreas Sundebo
e2de241c2b
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>
471 lines
24 KiB
C#
471 lines
24 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 System;
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using System.Collections.Generic;
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using System.ComponentModel.Composition;
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using QuantConnect.Api;
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using QuantConnect.Optimizer.Objectives;
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using QuantConnect.Optimizer.Parameters;
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using QuantConnect.Statistics;
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namespace QuantConnect.Interfaces
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{
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/// <summary>
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/// API for QuantConnect.com
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/// </summary>
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[InheritedExport(typeof(IApi))]
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public interface IApi : IDisposable
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{
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/// <summary>
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/// Initialize the control system
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/// </summary>
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void Initialize(int userId, string token, string dataFolder);
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/// <summary>
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/// Create a project with the specified name and language via QuantConnect.com API
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/// </summary>
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/// <param name="name">Project name</param>
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/// <param name="language">Programming language to use</param>
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/// <param name="organizationId">Organization to create this project under</param>
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/// <returns><see cref="ProjectResponse"/> that includes information about the newly created project</returns>
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ProjectResponse CreateProject(string name, Language language, string organizationId = null);
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/// <summary>
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/// Read in a project from the QuantConnect.com API.
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/// </summary>
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/// <param name="projectId">Project id you own</param>
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/// <returns><see cref="ProjectResponse"/> about a specific project</returns>
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ProjectResponse ReadProject(int projectId);
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/// <summary>
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/// Add a file to a project
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/// </summary>
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/// <param name="projectId">The project to which the file should be added</param>
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/// <param name="name">The name of the new file</param>
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/// <param name="content">The content of the new file</param>
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/// <returns><see cref="ProjectFilesResponse"/> that includes information about the newly created file</returns>
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ProjectFilesResponse AddProjectFile(int projectId, string name, string content);
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/// <summary>
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/// Update the name of a file
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/// </summary>
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/// <param name="projectId">Project id to which the file belongs</param>
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/// <param name="oldFileName">The current name of the file</param>
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/// <param name="newFileName">The new name for the file</param>
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/// <returns><see cref="RestResponse"/> indicating success</returns>
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RestResponse UpdateProjectFileName(int projectId, string oldFileName, string newFileName);
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/// <summary>
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/// Update the contents of a file
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/// </summary>
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/// <param name="projectId">Project id to which the file belongs</param>
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/// <param name="fileName">The name of the file that should be updated</param>
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/// <param name="newFileContents">The new contents of the file</param>
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/// <returns><see cref="RestResponse"/> indicating success</returns>
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RestResponse UpdateProjectFileContent(int projectId, string fileName, string newFileContents);
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/// <summary>
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/// Read a file in a project
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/// </summary>
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/// <param name="projectId">Project id to which the file belongs</param>
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/// <param name="fileName">The name of the file</param>
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/// <returns><see cref="ProjectFilesResponse"/> that includes the file information</returns>
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ProjectFilesResponse ReadProjectFile(int projectId, string fileName);
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/// <summary>
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/// Read all files in a project
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/// </summary>
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/// <param name="projectId">Project id to which the file belongs</param>
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/// <returns><see cref="ProjectFilesResponse"/> that includes the information about all files in the project</returns>
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ProjectFilesResponse ReadProjectFiles(int projectId);
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/// <summary>
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/// Delete a file in a project
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/// </summary>
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/// <param name="projectId">Project id to which the file belongs</param>
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/// <param name="name">The name of the file that should be deleted</param>
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/// <returns><see cref="ProjectFilesResponse"/> that includes the information about all files in the project</returns>
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RestResponse DeleteProjectFile(int projectId, string name);
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/// <summary>
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/// Delete a specific project owned by the user from QuantConnect.com
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/// </summary>
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/// <param name="projectId">Project id we own and wish to delete</param>
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/// <returns>RestResponse indicating success</returns>
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RestResponse DeleteProject(int projectId);
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/// <summary>
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/// Read back a list of all projects on the account for a user.
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/// </summary>
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/// <returns>Container for list of projects</returns>
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ProjectResponse ListProjects();
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/// <summary>
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/// Create a new compile job request for this project id.
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/// </summary>
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/// <param name="projectId">Project id we wish to compile.</param>
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/// <returns>Compile object result</returns>
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Compile CreateCompile(int projectId);
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/// <summary>
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/// Read a compile packet job result.
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/// </summary>
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/// <param name="projectId">Project id we sent for compile</param>
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/// <param name="compileId">Compile id return from the creation request</param>
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/// <returns>Compile object result</returns>
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Compile ReadCompile(int projectId, string compileId);
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/// <summary>
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/// Create a new backtest from a specified projectId and compileId
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/// </summary>
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/// <param name="projectId"></param>
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/// <param name="compileId"></param>
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/// <param name="backtestName"></param>
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/// <returns></returns>
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Backtest CreateBacktest(int projectId, string compileId, string backtestName);
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/// <summary>
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/// Read out the full result of a specific backtest
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/// </summary>
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/// <param name="projectId">Project id for the backtest we'd like to read</param>
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/// <param name="backtestId">Backtest id for the backtest we'd like to read</param>
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/// <param name="getCharts">True will return backtest charts</param>
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/// <returns>Backtest result object</returns>
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Backtest ReadBacktest(int projectId, string backtestId, bool getCharts = true);
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/// <summary>
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/// Update the backtest name
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/// </summary>
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/// <param name="projectId">Project id to update</param>
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/// <param name="backtestId">Backtest id to update</param>
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/// <param name="backtestName">New backtest name to set</param>
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/// <param name="backtestNote">Note attached to the backtest</param>
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/// <returns>Rest response on success</returns>
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RestResponse UpdateBacktest(int projectId, string backtestId, string backtestName = "", string backtestNote = "");
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/// <summary>
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/// Delete a backtest from the specified project and backtestId.
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/// </summary>
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/// <param name="projectId">Project for the backtest we want to delete</param>
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/// <param name="backtestId">Backtest id we want to delete</param>
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/// <returns>RestResponse on success</returns>
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RestResponse DeleteBacktest(int projectId, string backtestId);
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/// <summary>
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/// Get a list of backtests for a specific project id
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/// </summary>
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/// <param name="projectId">Project id to search</param>
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/// <returns>BacktestList container for list of backtests</returns>
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BacktestList ListBacktests(int projectId);
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/// <summary>
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/// Estimate optimization with the specified parameters via QuantConnect.com API
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/// </summary>
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/// <param name="projectId">Project ID of the project the optimization belongs to</param>
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/// <param name="name">Name of the optimization</param>
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/// <param name="target">Target of the optimization, see examples in <see cref="PortfolioStatistics"/></param>
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/// <param name="targetTo">Target extremum of the optimization, for example "max" or "min"</param>
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/// <param name="targetValue">Optimization target value</param>
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/// <param name="strategy">Optimization strategy, <see cref="GridSearchOptimizationStrategy"/></param>
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/// <param name="compileId">Optimization compile ID</param>
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/// <param name="parameters">Optimization parameters</param>
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/// <param name="constraints">Optimization constraints</param>
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/// <returns>Estimate object from the API.</returns>
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public Estimate EstimateOptimization(
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int projectId,
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string name,
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string target,
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string targetTo,
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decimal? targetValue,
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string strategy,
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string compileId,
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HashSet<OptimizationParameter> parameters,
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IReadOnlyList<Constraint> constraints);
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/// <summary>
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/// Create an optimization with the specified parameters via QuantConnect.com API
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/// </summary>
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/// <param name="projectId">Project ID of the project the optimization belongs to</param>
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/// <param name="name">Name of the optimization</param>
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/// <param name="target">Target of the optimization, see examples in <see cref="PortfolioStatistics"/></param>
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/// <param name="targetTo">Target extremum of the optimization, for example "max" or "min"</param>
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/// <param name="targetValue">Optimization target value</param>
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/// <param name="strategy">Optimization strategy, <see cref="GridSearchOptimizationStrategy"/></param>
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/// <param name="compileId">Optimization compile ID</param>
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/// <param name="parameters">Optimization parameters</param>
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/// <param name="constraints">Optimization constraints</param>
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/// <param name="estimatedCost">Estimated cost for optimization</param>
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/// <param name="nodeType">Optimization node type</param>
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/// <param name="parallelNodes">Number of parallel nodes for optimization</param>
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/// <returns>BaseOptimization object from the API.</returns>
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public BaseOptimization CreateOptimization(
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int projectId,
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string name,
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string target,
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string targetTo,
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decimal? targetValue,
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string strategy,
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string compileId,
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HashSet<OptimizationParameter> parameters,
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IReadOnlyList<Constraint> constraints,
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decimal estimatedCost,
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string nodeType,
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int parallelNodes);
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/// <summary>
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/// List all the optimizations for a project
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/// </summary>
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/// <param name="projectId">Project id we'd like to get a list of optimizations for</param>
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/// <returns>A list of BaseOptimization objects, <see cref="BaseOptimization"/></returns>
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public List<BaseOptimization> ListOptimizations(int projectId);
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/// <summary>
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/// Read an optimization
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/// </summary>
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/// <param name="optimizationId">Optimization id for the optimization we want to read</param>
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/// <returns><see cref="Optimization"/></returns>
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public Optimization ReadOptimization(string optimizationId);
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/// <summary>
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/// Abort an optimization
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/// </summary>
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/// <param name="optimizationId">Optimization id for the optimization we want to abort</param>
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/// <returns><see cref="RestResponse"/></returns>
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public RestResponse AbortOptimization(string optimizationId);
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/// <summary>
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/// Update an optimization
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/// </summary>
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/// <param name="optimizationId">Optimization id we want to update</param>
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/// <param name="name">Name we'd like to assign to the optimization</param>
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/// <returns><see cref="RestResponse"/></returns>
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public RestResponse UpdateOptimization(string optimizationId, string name = null);
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/// <summary>
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/// Delete an optimization
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/// </summary>
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/// <param name="optimizationId">Optimization id for the optimization we want to delete</param>
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/// <returns><see cref="RestResponse"/></returns>
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public RestResponse DeleteOptimization(string optimizationId);
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/// <summary>
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/// Gets the logs of a specific live algorithm
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/// </summary>
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/// <param name="projectId">Project Id of the live running algorithm</param>
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/// <param name="algorithmId">Algorithm Id of the live running algorithm</param>
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/// <param name="startTime">No logs will be returned before this time. Should be in UTC</param>
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/// <param name="endTime">No logs will be returned after this time. Should be in UTC</param>
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/// <returns>List of strings that represent the logs of the algorithm</returns>
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LiveLog ReadLiveLogs(int projectId, string algorithmId, DateTime? startTime = null, DateTime? endTime = null);
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/// <summary>
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/// Gets the link to the downloadable data.
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/// </summary>
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/// <param name="filePath">File path representing the data requested</param>
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/// <param name="organizationId">Organization to purchase this data with</param>
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/// <returns>Link to the downloadable data.</returns>
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DataLink ReadDataLink(string filePath, string organizationId);
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/// <summary>
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/// Get valid data entries for a given filepath from data/list
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/// </summary>
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/// <returns></returns>
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DataList ReadDataDirectory(string filePath);
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/// <summary>
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/// Gets data prices from data/prices
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/// </summary>
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public DataPricesList ReadDataPrices(string organizationId);
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/// <summary>
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/// Read out the report of a backtest in the project id specified.
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/// </summary>
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/// <param name="projectId">Project id to read</param>
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/// <param name="backtestId">Specific backtest id to read</param>
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/// <returns><see cref="BacktestReport"/></returns>
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public BacktestReport ReadBacktestReport(int projectId, string backtestId);
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/// <summary>
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/// Method to download and save the data purchased through QuantConnect
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/// </summary>
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/// <param name="filePath">File path representing the data requested</param>
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/// <returns>A bool indicating whether the data was successfully downloaded or not.</returns>
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bool DownloadData(string filePath, string organizationId);
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/// <summary>
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/// Create a new node in the organization, node configuration is defined by the
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/// <see cref="SKU"/>
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/// </summary>
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/// <param name="name">The name of the new node</param>
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/// <param name="organizationId">ID of the organization</param>
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/// <param name="sku"><see cref="SKU"/> Object representing configuration</param>
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/// <returns>Returns <see cref="CreatedNode"/> which contains API response and
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/// <see cref="Node"/></returns>
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public CreatedNode CreateNode(string name, string organizationId, SKU sku);
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/// <summary>
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/// Reads the nodes associated with the organization, creating a
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/// <see cref="NodeList"/> for the response
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/// </summary>
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/// <param name="organizationId">ID of the organization</param>
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/// <returns><see cref="NodeList"/> containing Backtest, Research, and Live Nodes</returns>
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public NodeList ReadNodes(string organizationId);
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/// <summary>
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/// Update an organizations node with a new name
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/// </summary>
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/// <param name="nodeId">The node ID of the node you want to update</param>
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/// <param name="newName">The new name for that node</param>
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/// <param name="organizationId">ID of the organization</param>
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/// <returns><see cref="RestResponse"/> containing success response and errors</returns>
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public RestResponse UpdateNode(string nodeId, string newName, string organizationId);
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/// <summary>
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/// Delete a node from an organization, requires node ID.
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/// </summary>
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/// <param name="nodeId">The node ID of the node you want to delete</param>
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/// <param name="organizationId">ID of the organization</param>
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/// <returns><see cref="RestResponse"/> containing success response and errors</returns>
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public RestResponse DeleteNode(string nodeId, string organizationId);
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/// <summary>
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/// Stop a running node in a organization
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/// </summary>
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/// <param name="nodeId">The node ID of the node you want to stop</param>
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/// <param name="organizationId">ID of the organization</param>
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/// <returns><see cref="RestResponse"/> containing success response and errors</returns>
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public RestResponse StopNode(string nodeId, string organizationId);
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/// <summary>
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/// Will read the organization account status
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/// </summary>
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/// <param name="organizationId">The target organization id, if null will return default organization</param>
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public Account ReadAccount(string organizationId = null);
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/// <summary>
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/// Get a list of organizations tied to this account
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/// </summary>
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/// <returns></returns>
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public List<Organization> ListOrganizations();
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/// <summary>
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/// Fetch organization data from web API
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/// </summary>
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/// <param name="organizationId"></param>
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/// <returns></returns>
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public Organization ReadOrganization(string organizationId = null);
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/// <summary>
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/// Create a new live algorithm for a logged in user.
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/// </summary>
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/// <param name="projectId">Id of the project on QuantConnect</param>
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/// <param name="compileId">Id of the compilation on QuantConnect</param>
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/// <param name="serverType">Type of server instance that will run the algorithm</param>
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/// <param name="baseLiveAlgorithmSettings">Brokerage specific <see cref="BaseLiveAlgorithmSettings">BaseLiveAlgorithmSettings</see>.</param>
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/// <param name="versionId">The version identifier</param>
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/// <returns>Information regarding the new algorithm <see cref="LiveAlgorithm"/></returns>
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LiveAlgorithm CreateLiveAlgorithm(int projectId, string compileId, string serverType, BaseLiveAlgorithmSettings baseLiveAlgorithmSettings, string versionId = "-1");
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/// <summary>
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/// Get a list of live running algorithms for a logged in user.
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/// </summary>
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/// <param name="status">Filter the statuses of the algorithms returned from the api</param>
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/// <param name="startTime">Earliest launched time of the algorithms returned by the Api</param>
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/// <param name="endTime">Latest launched time of the algorithms returned by the Api</param>
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/// <returns>List of live algorithm instances</returns>
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LiveList ListLiveAlgorithms(AlgorithmStatus? status = null, DateTime? startTime = null, DateTime? endTime = null);
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/// <summary>
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/// Read out a live algorithm in the project id specified.
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/// </summary>
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/// <param name="projectId">Project id to read</param>
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/// <param name="deployId">Specific instance id to read</param>
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/// <returns>Live object with the results</returns>
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LiveAlgorithmResults ReadLiveAlgorithm(int projectId, string deployId);
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/// <summary>
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/// Liquidate a live algorithm from the specified project.
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/// </summary>
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/// <param name="projectId">Project for the live instance we want to stop</param>
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/// <returns></returns>
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RestResponse LiquidateLiveAlgorithm(int projectId);
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/// <summary>
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/// Stop a live algorithm from the specified project.
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/// </summary>
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/// <param name="projectId">Project for the live algo we want to delete</param>
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/// <returns></returns>
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RestResponse StopLiveAlgorithm(int projectId);
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//Status StatusRead(int projectId, string algorithmId);
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//RestResponse StatusUpdate(int projectId, string algorithmId, AlgorithmStatus status, string message = "");
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//LogControl LogAllowanceRead();
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//void LogAllowanceUpdate(string backtestId, string url, int length);
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//void StatisticsUpdate(int projectId, string algorithmId, decimal unrealized, decimal fees, decimal netProfit, decimal holdings, decimal equity, decimal netReturn, decimal volume, int trades, double sharpe);
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//void NotifyOwner(int projectId, string algorithmId, string subject, string body);
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//IEnumerable<MarketHoursSegment> MarketHours(int projectId, DateTime time, Symbol symbol);
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/// <summary>
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/// Get the algorithm current status, active or cancelled from the user
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/// </summary>
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/// <param name="algorithmId"></param>
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/// <returns></returns>
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AlgorithmControl GetAlgorithmStatus(string algorithmId);
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/// <summary>
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/// Set the algorithm status from the worker to update the UX e.g. if there was an error.
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/// </summary>
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/// <param name="algorithmId">Algorithm id we're setting.</param>
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/// <param name="status">Status enum of the current worker</param>
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/// <param name="message">Message for the algorithm status event</param>
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void SetAlgorithmStatus(string algorithmId, AlgorithmStatus status, string message = "");
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/// <summary>
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/// Send the statistics to storage for performance tracking.
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/// </summary>
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/// <param name="algorithmId">Identifier for algorithm</param>
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/// <param name="unrealized">Unrealized gainloss</param>
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/// <param name="fees">Total fees</param>
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/// <param name="netProfit">Net profi</param>
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/// <param name="holdings">Algorithm holdings</param>
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/// <param name="equity">Total equity</param>
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/// <param name="netReturn">Algorithm return</param>
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/// <param name="volume">Volume traded</param>
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/// <param name="trades">Total trades since inception</param>
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/// <param name="sharpe">Sharpe ratio since inception</param>
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void SendStatistics(string algorithmId, decimal unrealized, decimal fees, decimal netProfit, decimal holdings, decimal equity, decimal netReturn, decimal volume, int trades, double sharpe);
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/// <summary>
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/// Send an email to the user associated with the specified algorithm id
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|
/// </summary>
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/// <param name="algorithmId">The algorithm id</param>
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/// <param name="subject">The email subject</param>
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/// <param name="body">The email message body</param>
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void SendUserEmail(string algorithmId, string subject, string body);
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/// <summary>
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/// Local implementation for downloading data to algorithms
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/// </summary>
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/// <param name="address">URL to download</param>
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/// <param name="headers">KVP headers</param>
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|
/// <param name="userName">Username for basic authentication</param>
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/// <param name="password">Password for basic authentication</param>
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|
/// <returns></returns>
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string Download(string address, IEnumerable<KeyValuePair<string, string>> headers, string userName, string password);
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}
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}
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