chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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 QuantConnect.Logging;
+using QuantConnect.Optimizer.Parameters;
+using QuantConnect.Packets;
+using QuantConnect.Statistics;
+using System.Collections.Generic;
+using System.Globalization;
+using System.Linq;
+
+namespace QuantConnect.Optimizer
+{
+    /// <summary>
+    /// Lightweight per-backtest record extracted at <see cref="LeanOptimizer"/> time to avoid retaining the full backtest JSON.
+    /// </summary>
+    public class OptimizationBacktestMetrics : BacktestSummary
+    {
+        /// <summary>
+        /// The backtest's total performance (wraps <see cref="QuantConnect.Statistics.TradeStatistics"/>,
+        /// <see cref="QuantConnect.Statistics.PortfolioStatistics"/>, and <see cref="QuantConnect.Statistics.Trade"/> list); null when absent from the backtest result.
+        /// </summary>
+        public AlgorithmPerformance TotalPerformance { get; set; }
+
+        /// <summary>
+        /// Number of orders the backtest produced.
+        /// </summary>
+        public int TotalOrders { get; set; }
+
+        /// <summary>
+        /// Names of the diagnostic <see cref="QuantConnect.Analysis"/> entries the backtest attached.
+        /// </summary>
+        public IReadOnlyList<string> AnalysisNames { get; set; }
+
+        /// <summary>
+        /// Extracts the fields the analyzer needs from a backtest result JSON; returns null when the parameter set is invalid.
+        /// </summary>
+        /// <param name="backtestId">The backtest id.</param>
+        /// <param name="parameterSet">The parameter set the backtest was run with.</param>
+        /// <param name="jsonBacktestResult">The serialized backtest result JSON.</param>
+        public static OptimizationBacktestMetrics ExtractFrom(string backtestId, ParameterSet parameterSet, string jsonBacktestResult)
+        {
+            if (parameterSet == null)
+            {
+                return null;
+            }
+
+            var parameters = ParseParameterSet(parameterSet);
+            if (parameters.Count == 0)
+            {
+                return null;
+            }
+
+            BacktestResult parsed = null;
+            if (!string.IsNullOrEmpty(jsonBacktestResult))
+            {
+                try
+                {
+                    // DeserializeJson uses the LEAN-wide JsonSerializer (CamelCaseNamingStrategy + OrderJsonConverter),
+                    // so polymorphic Orders and camelCase JSON both work without extra configuration.
+                    parsed = jsonBacktestResult.DeserializeJson<BacktestResult>();
+                }
+                catch (JsonException ex)
+                {
+                    Log.Error(ex, $"OptimizationBacktestMetrics.ExtractFrom(): failed to parse backtest result for '{backtestId}'");
+                }
+            }
+
+            var analysisNames = parsed?.Analysis == null
+                ? (IReadOnlyList<string>)System.Array.Empty<string>()
+                : parsed.Analysis
+                    .Where(a => !string.IsNullOrEmpty(a?.Name))
+                    .Select(a => a.Name)
+                    .ToList();
+
+            return new OptimizationBacktestMetrics
+            {
+                BacktestId = backtestId,
+                Parameters = parameters,
+                SharpeRatio = parsed?.TotalPerformance?.PortfolioStatistics?.SharpeRatio ?? 0m,
+                TotalPerformance = parsed?.TotalPerformance,
+                TotalOrders = parsed?.Orders?.Count ?? 0,
+                AnalysisNames = analysisNames
+            };
+        }
+
+        private static Dictionary<string, decimal> ParseParameterSet(ParameterSet parameterSet)
+        {
+            var result = new Dictionary<string, decimal>();
+            if (parameterSet?.Value == null) return result;
+            foreach (var kv in parameterSet.Value)
+            {
+                if (decimal.TryParse(kv.Value, NumberStyles.Any, CultureInfo.InvariantCulture, out var d))
+                {
+                    result[kv.Key] = d;
+                }
+            }
+            return result;
+        }
+    }
+}