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
@@ -0,0 +1,105 @@
+/*
+ * 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.Configuration;
+using QuantConnect.Logging;
+using QuantConnect.Optimizer.Objectives;
+using QuantConnect.Optimizer.Parameters;
+using QuantConnect.Optimizer.Strategies;
+using QuantConnect.Util;
+using System;
+using System.Collections.Generic;
+using System.IO;
+using System.Linq;
+using System.Threading;
+
+namespace QuantConnect.Optimizer.Launcher
+{
+    public class Program
+    {
+        public static void Main(string[] args)
+        {
+            // Parse report arguments and merge with config to use in the optimizer
+            if (args.Length > 0)
+            {
+                Config.MergeCommandLineArgumentsWithConfiguration(OptimizerArgumentParser.ParseArguments(args));
+            }
+
+            using var endedEvent = new ManualResetEvent(false);
+
+            try
+            {
+                Log.DebuggingEnabled = Config.GetBool("debug-mode");
+                Log.FilePath = Path.Combine(Config.Get("results-destination-folder"), "log.txt");
+                Log.LogHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
+
+                var optimizationStrategyName = Config.Get("optimization-strategy",
+                    "QuantConnect.Optimizer.GridSearchOptimizationStrategy");
+                var channel = Config.Get("data-channel");
+                var optimizationId = Config.Get("optimization-id", Guid.NewGuid().ToString());
+                var packet = new OptimizationNodePacket
+                {
+                    OptimizationId = optimizationId,
+                    OptimizationStrategy = optimizationStrategyName,
+                    OptimizationStrategySettings = (OptimizationStrategySettings)JsonConvert.DeserializeObject(Config.Get(
+                        "optimization-strategy-settings",
+                        "{\"$type\":\"QuantConnect.Optimizer.Strategies.OptimizationStrategySettings, QuantConnect.Optimizer\"}"), new JsonSerializerSettings(){TypeNameHandling = TypeNameHandling.All}),
+                    Criterion = JsonConvert.DeserializeObject<Target>(Config.Get("optimization-criterion", "{\"target\":\"Statistics.TotalProfit\", \"extremum\": \"max\"}")),
+                    Constraints = JsonConvert.DeserializeObject<List<Constraint>>(Config.Get("constraints", "[]")).AsReadOnly(),
+                    OptimizationParameters = JsonConvert.DeserializeObject<HashSet<OptimizationParameter>>(Config.Get("parameters", "[]")),
+                    MaximumConcurrentBacktests = Config.GetInt("maximum-concurrent-backtests", Math.Max(1, Environment.ProcessorCount / 2)),
+                    Channel = channel,
+                };
+
+                var outOfSampleMaxEndDate = Config.Get("out-of-sample-max-end-date");
+                if (!string.IsNullOrEmpty(outOfSampleMaxEndDate))
+                {
+                    packet.OutOfSampleMaxEndDate = Time.ParseDate(outOfSampleMaxEndDate);
+                }
+                packet.OutOfSampleDays = Config.GetInt("out-of-sample-days");
+
+                var optimizerType = Config.Get("optimization-launcher", typeof(ConsoleLeanOptimizer).Name);
+                var optimizer = (LeanOptimizer)Activator.CreateInstance(Composer.Instance.GetExportedTypes<LeanOptimizer>().Single(x => x.Name == optimizerType), packet);
+
+                if (Config.GetBool("estimate", false))
+                {
+                    var backtestsCount = optimizer.GetCurrentEstimate();
+                    Log.Trace($"Optimization estimate: {backtestsCount}");
+
+                    optimizer.DisposeSafely();
+                    endedEvent.Set();
+                }
+                else
+                {
+                    optimizer.Start();
+
+                    optimizer.Ended += (s, e) =>
+                    {
+                        optimizer.DisposeSafely();
+                        endedEvent.Set();
+                    };
+                }
+            }
+            catch (Exception e)
+            {
+                Log.Error(e);
+            }
+
+            // Wait until the optimizer has stopped running before exiting
+            endedEvent.WaitOne();
+        }
+    }
+}