chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,158 @@
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/*
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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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using QuantConnect.Util;
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using System;
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using System.Collections.Concurrent;
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using System.Diagnostics;
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using System.IO;
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using System.Linq;
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using QuantConnect.Optimizer.Parameters;
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using Log = QuantConnect.Logging.Log;
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namespace QuantConnect.Optimizer.Launcher
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{
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/// <summary>
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/// Optimizer implementation that launches Lean as a local process
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/// </summary>
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public class ConsoleLeanOptimizer : LeanOptimizer
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{
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private readonly string _leanLocation;
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private readonly string _rootResultDirectory;
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private readonly string _extraLeanArguments;
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private readonly ConcurrentDictionary<string, Process> _processByBacktestId;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="nodePacket">The optimization node packet to handle</param>
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public ConsoleLeanOptimizer(OptimizationNodePacket nodePacket) : base(nodePacket)
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{
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_processByBacktestId = new ConcurrentDictionary<string, Process>();
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_rootResultDirectory = Configuration.Config.Get("results-destination-folder",
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Path.Combine(Directory.GetCurrentDirectory(), $"opt-{nodePacket.OptimizationId}"));
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Directory.CreateDirectory(_rootResultDirectory);
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_leanLocation = Configuration.Config.Get("lean-binaries-location",
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Path.Combine(Directory.GetCurrentDirectory(), "../../../Launcher/bin/Debug/QuantConnect.Lean.Launcher"));
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var closeLeanAutomatically = Configuration.Config.GetBool("optimizer-close-automatically", true);
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_extraLeanArguments = $"--close-automatically {closeLeanAutomatically}";
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var algorithmTypeName = Configuration.Config.Get("algorithm-type-name");
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if (!string.IsNullOrEmpty(algorithmTypeName))
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{
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_extraLeanArguments += $" --algorithm-type-name \"{algorithmTypeName}\"";
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}
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var algorithmLanguage = Configuration.Config.Get("algorithm-language");
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if (!string.IsNullOrEmpty(algorithmLanguage))
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{
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_extraLeanArguments += $" --algorithm-language \"{algorithmLanguage}\"";
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}
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var algorithmLocation = Configuration.Config.Get("algorithm-location");
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if (!string.IsNullOrEmpty(algorithmLocation))
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{
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_extraLeanArguments += $" --algorithm-location \"{algorithmLocation}\"";
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}
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}
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/// <summary>
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/// Handles starting Lean for a given parameter set
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/// </summary>
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/// <param name="parameterSet">The parameter set for the backtest to run</param>
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/// <param name="backtestName">The backtest name to use</param>
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/// <returns>The new unique backtest id</returns>
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protected override string RunLean(ParameterSet parameterSet, string backtestName)
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{
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var backtestId = Guid.NewGuid().ToString();
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var optimizationId = NodePacket.OptimizationId;
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// start each lean instance in its own directory so they store their logs & results, else they fight for the log.txt file
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var resultDirectory = Path.Combine(_rootResultDirectory, backtestId);
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Directory.CreateDirectory(resultDirectory);
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// Use ProcessStartInfo class
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var startInfo = new ProcessStartInfo
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{
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FileName = _leanLocation,
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WorkingDirectory = Directory.GetParent(_leanLocation).FullName,
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Arguments = $"--results-destination-folder \"{resultDirectory}\" --algorithm-id \"{backtestId}\" --optimization-id \"{optimizationId}\" --parameters {parameterSet} --backtest-name \"{backtestName}\" {_extraLeanArguments}",
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WindowStyle = ProcessWindowStyle.Minimized
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};
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var process = new Process
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{
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StartInfo = startInfo,
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EnableRaisingEvents = true
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};
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_processByBacktestId[backtestId] = process;
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process.Exited += (sender, args) =>
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{
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if (Disposed)
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{
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// handle abort
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return;
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}
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_processByBacktestId.TryRemove(backtestId, out process);
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var backtestResult = $"{backtestId}.json";
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var resultJson = Path.Combine(_rootResultDirectory, backtestId, backtestResult);
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NewResult(File.Exists(resultJson) ? File.ReadAllText(resultJson) : null, backtestId);
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process.DisposeSafely();
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};
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process.Start();
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return backtestId;
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}
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/// <summary>
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/// Stops lean process
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/// </summary>
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/// <param name="backtestId">Specified backtest id</param>
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protected override void AbortLean(string backtestId)
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{
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Process process;
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if (_processByBacktestId.TryRemove(backtestId, out process))
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{
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process.Kill();
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process.DisposeSafely();
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}
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}
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/// <summary>
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/// Sends an update of the current optimization status to the user
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/// </summary>
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protected override void SendUpdate()
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{
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// end handler will already log a nice message on end
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if (Status != OptimizationStatus.Completed && Status != OptimizationStatus.Aborted)
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{
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var currentEstimate = GetCurrentEstimate();
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var stats = GetRuntimeStatistics();
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var message = $"ConsoleLeanOptimizer.SendUpdate(): {currentEstimate} {string.Join(", ", stats.Select(pair => $"{pair.Key}:{pair.Value}"))}";
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var currentBestBacktest = Strategy.Solution;
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if (currentBestBacktest != null)
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{
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message += $". Best id:'{currentBestBacktest.BacktestId}'. {OptimizationTarget}. Parameters ({currentBestBacktest.ParameterSet})";
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}
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Log.Trace(message);
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}
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}
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}
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}
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@@ -0,0 +1,105 @@
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/*
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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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using Newtonsoft.Json;
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using QuantConnect.Configuration;
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using QuantConnect.Logging;
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using QuantConnect.Optimizer.Objectives;
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using QuantConnect.Optimizer.Parameters;
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using QuantConnect.Optimizer.Strategies;
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using QuantConnect.Util;
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using System;
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using System.Collections.Generic;
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using System.IO;
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using System.Linq;
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using System.Threading;
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namespace QuantConnect.Optimizer.Launcher
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{
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public class Program
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{
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public static void Main(string[] args)
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{
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// Parse report arguments and merge with config to use in the optimizer
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if (args.Length > 0)
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{
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Config.MergeCommandLineArgumentsWithConfiguration(OptimizerArgumentParser.ParseArguments(args));
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}
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using var endedEvent = new ManualResetEvent(false);
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try
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{
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Log.DebuggingEnabled = Config.GetBool("debug-mode");
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Log.FilePath = Path.Combine(Config.Get("results-destination-folder"), "log.txt");
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Log.LogHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
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var optimizationStrategyName = Config.Get("optimization-strategy",
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"QuantConnect.Optimizer.GridSearchOptimizationStrategy");
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var channel = Config.Get("data-channel");
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var optimizationId = Config.Get("optimization-id", Guid.NewGuid().ToString());
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var packet = new OptimizationNodePacket
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{
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OptimizationId = optimizationId,
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OptimizationStrategy = optimizationStrategyName,
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OptimizationStrategySettings = (OptimizationStrategySettings)JsonConvert.DeserializeObject(Config.Get(
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"optimization-strategy-settings",
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"{\"$type\":\"QuantConnect.Optimizer.Strategies.OptimizationStrategySettings, QuantConnect.Optimizer\"}"), new JsonSerializerSettings(){TypeNameHandling = TypeNameHandling.All}),
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Criterion = JsonConvert.DeserializeObject<Target>(Config.Get("optimization-criterion", "{\"target\":\"Statistics.TotalProfit\", \"extremum\": \"max\"}")),
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Constraints = JsonConvert.DeserializeObject<List<Constraint>>(Config.Get("constraints", "[]")).AsReadOnly(),
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OptimizationParameters = JsonConvert.DeserializeObject<HashSet<OptimizationParameter>>(Config.Get("parameters", "[]")),
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MaximumConcurrentBacktests = Config.GetInt("maximum-concurrent-backtests", Math.Max(1, Environment.ProcessorCount / 2)),
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Channel = channel,
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};
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var outOfSampleMaxEndDate = Config.Get("out-of-sample-max-end-date");
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if (!string.IsNullOrEmpty(outOfSampleMaxEndDate))
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{
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packet.OutOfSampleMaxEndDate = Time.ParseDate(outOfSampleMaxEndDate);
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}
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packet.OutOfSampleDays = Config.GetInt("out-of-sample-days");
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var optimizerType = Config.Get("optimization-launcher", typeof(ConsoleLeanOptimizer).Name);
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var optimizer = (LeanOptimizer)Activator.CreateInstance(Composer.Instance.GetExportedTypes<LeanOptimizer>().Single(x => x.Name == optimizerType), packet);
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if (Config.GetBool("estimate", false))
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{
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var backtestsCount = optimizer.GetCurrentEstimate();
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Log.Trace($"Optimization estimate: {backtestsCount}");
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optimizer.DisposeSafely();
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endedEvent.Set();
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}
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else
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{
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optimizer.Start();
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optimizer.Ended += (s, e) =>
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{
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optimizer.DisposeSafely();
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endedEvent.Set();
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};
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}
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}
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catch (Exception e)
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{
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Log.Error(e);
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}
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// Wait until the optimizer has stopped running before exiting
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endedEvent.WaitOne();
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}
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}
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}
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@@ -0,0 +1,17 @@
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using System.Reflection;
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using System.Runtime.InteropServices;
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// General Information about an assembly is controlled through the following
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// set of attributes. Change these attribute values to modify the information
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// associated with an assembly.
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[assembly: AssemblyTitle("QuantConnect.Optimizer.Launcher")]
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[assembly: AssemblyProduct("QuantConnect.Optimizer.Launcher")]
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[assembly: AssemblyCulture("")]
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// Setting ComVisible to false makes the types in this assembly not visible
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// to COM components. If you need to access a type in this assembly from
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// COM, set the ComVisible attribute to true on that type.
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[assembly: ComVisible(false)]
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// The following GUID is for the ID of the typelib if this project is exposed to COM
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[assembly: Guid("d46d2a8d-340c-4b40-8ee6-6baa7b1198ab")]
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@@ -0,0 +1,54 @@
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<Project Sdk="Microsoft.NET.Sdk">
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<PropertyGroup>
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<Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
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<Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
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<OutputType>Exe</OutputType>
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<RootNamespace>QuantConnect.Optimizer.Launcher</RootNamespace>
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<AssemblyName>QuantConnect.Optimizer.Launcher</AssemblyName>
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<TargetFramework>net10.0</TargetFramework>
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<GenerateAssemblyInfo>false</GenerateAssemblyInfo>
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<OutputPath>bin\$(Configuration)\</OutputPath>
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<AnalysisMode>AllEnabledByDefault</AnalysisMode>
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<AppendTargetFrameworkToOutputPath>false</AppendTargetFrameworkToOutputPath>
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<Description>QuantConnect LEAN Engine: Optimizer Launcher Project - The Lean optimization engine launcher</Description>
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<NoWarn>CA1062</NoWarn>
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</PropertyGroup>
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<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
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<DebugType>full</DebugType>
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<Optimize>false</Optimize>
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<OutputPath>bin\Debug\</OutputPath>
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<DefineConstants>DEBUG;TRACE</DefineConstants>
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<PlatformTarget>AnyCPU</PlatformTarget>
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</PropertyGroup>
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<PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
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<DebugType>pdbonly</DebugType>
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<Optimize>true</Optimize>
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<DefineConstants>TRACE</DefineConstants>
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<PlatformTarget>AnyCPU</PlatformTarget>
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</PropertyGroup>
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<PropertyGroup>
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<Features>flow-analysis</Features>
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<PackageLicenseFile>LICENSE</PackageLicenseFile>
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</PropertyGroup>
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<ItemGroup>
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<PackageReference Include="Newtonsoft.Json" Version="13.0.2" />
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</ItemGroup>
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<ItemGroup>
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<Compile Include="..\Common\Properties\SharedAssemblyInfo.cs" Link="Properties\SharedAssemblyInfo.cs" />
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</ItemGroup>
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<ItemGroup>
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<None Include="..\LICENSE">
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<Pack>True</Pack>
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<PackagePath></PackagePath>
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</None>
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<None Include="config.example.json">
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<CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
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</None>
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</ItemGroup>
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<ItemGroup>
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<ProjectReference Include="..\Common\QuantConnect.csproj" />
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<ProjectReference Include="..\Configuration\QuantConnect.Configuration.csproj" />
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<ProjectReference Include="..\Logging\QuantConnect.Logging.csproj" />
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<ProjectReference Include="..\Optimizer\QuantConnect.Optimizer.csproj" />
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</ItemGroup>
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</Project>
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@@ -0,0 +1,68 @@
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{
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// optional: algorithm class selector
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"algorithm-type-name": "ParameterizedAlgorithm",
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// optional: Algorithm language selector - options CSharp, Python
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"algorithm-language": "CSharp",
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// optional: Physical DLL location
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"algorithm-location": "QuantConnect.Algorithm.CSharp.dll",
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"optimizer-close-automatically": true,
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// How we manage solutions and make decision to continue or stop
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"optimization-strategy": "QuantConnect.Optimizer.Strategies.EulerSearchOptimizationStrategy",
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// on-demand settings required for different optimization strategies
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"optimization-strategy-settings": {
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"$type": "QuantConnect.Optimizer.Strategies.StepBaseOptimizationStrategySettings, QuantConnect.Optimizer",
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"default-segment-amount": 10
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},
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// optimization problem
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"optimization-criterion": {
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// path in algorithm output json
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"target": "Statistics.Sharpe Ratio",
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// optimization: available options max, min
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"extremum": "max",
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// optional, if defined and backtest complies with the targets then trigger ended event
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"target-value": 3
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},
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// if it doesn't comply just drop the backtest
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"constraints": [
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{
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"target": "Drawdown",
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"operator": "lessOrEqual", // less, greaterOrEqual, greater, notEqual, equals
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"target-value": 0.15
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},
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{
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"target": "Total Trades",
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"operator": "greater",
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"target-value": 2
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}
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],
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// optional: default is process count / 2
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//"maximum-concurrent-backtests": 10,
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// optimization parameters
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"parameters": [
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{
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"name": "ema-slow",
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"min": 10,
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"max": 50
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},
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{
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"name": "ema-fast",
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"min": 50,
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"max": 150,
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"step": 50,
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// optional
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"min-step": 0.0001
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}
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]
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}
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Reference in New Issue
Block a user