wehub-resource-sync
116 lines
4.4 KiB
C#
116 lines
4.4 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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using Newtonsoft.Json;
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using System;
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namespace QuantConnect.Optimizer.Parameters
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{
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/// <summary>
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/// Defines the step based optimization parameter
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/// </summary>
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public class OptimizationStepParameter : OptimizationParameter
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{
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/// <summary>
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/// Minimum value of optimization parameter, applicable for boundary conditions
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/// </summary>
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[JsonProperty("min")]
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public decimal MinValue { get; }
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/// <summary>
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/// Maximum value of optimization parameter, applicable for boundary conditions
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/// </summary>
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[JsonProperty("max")]
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public decimal MaxValue { get; }
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/// <summary>
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/// Movement, should be positive
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/// </summary>
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[JsonProperty("step")]
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public decimal? Step { get; set; }
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#pragma warning disable CS1574
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/// <summary>
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/// Minimal possible movement for current parameter, should be positive
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/// </summary>
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/// <remarks>Used by <see cref="Strategies.EulerSearchOptimizationStrategy"/> to determine when this parameter can no longer be optimized</remarks>
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[JsonProperty("minStep")]
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#pragma warning restore CS1574
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public decimal? MinStep { get; set; }
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/// <summary>
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/// Create an instance of <see cref="OptimizationParameter"/> based on configuration
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/// </summary>
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/// <param name="name">parameter name</param>
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/// <param name="min">minimal value</param>
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/// <param name="max">maximal value</param>
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public OptimizationStepParameter(string name, decimal min, decimal max)
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: base(name)
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{
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if (min > max)
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{
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throw new ArgumentException(Messages.OptimizationStepParameter.InvalidStepRange(min, max));
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}
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MinValue = min;
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MaxValue = max;
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}
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/// <summary>
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/// Create an instance of <see cref="OptimizationParameter"/> based on configuration
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/// </summary>
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/// <param name="name">parameter name</param>
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/// <param name="min">minimal value</param>
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/// <param name="max">maximal value</param>
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/// <param name="step">movement</param>
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public OptimizationStepParameter(string name, decimal min, decimal max, decimal step)
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: this(name, min, max, step, step)
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{
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}
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/// <summary>
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/// Create an instance of <see cref="OptimizationParameter"/> based on configuration
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/// </summary>
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/// <param name="name">parameter name</param>
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/// <param name="min">minimal value</param>
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/// <param name="max">maximal value</param>
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/// <param name="step">movement</param>
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/// <param name="minStep">minimal possible movement</param>
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public OptimizationStepParameter(string name, decimal min, decimal max, decimal step, decimal minStep) : this(name, min, max)
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{
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// with zero step algorithm can go to infinite loop, use default step value
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if (step <= 0)
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{
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throw new ArgumentException(Messages.OptimizationStepParameter.NonPositiveStepValue(nameof(step), step));
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}
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// EulerSearch algorithm can go to infinite range division if Min step is not provided, use Step as default
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if (minStep <= 0)
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{
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throw new ArgumentException(Messages.OptimizationStepParameter.NonPositiveStepValue(nameof(minStep), minStep));
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}
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if (step < minStep)
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{
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throw new ArgumentException(Messages.OptimizationStepParameter.StepLessThanMinStep);
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}
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Step = step;
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MinStep = minStep;
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}
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}
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}
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