wehub-resource-sync
106 lines
4.7 KiB
C#
106 lines
4.7 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 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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