/*
* 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 Newtonsoft.Json.Linq;
using System;
namespace QuantConnect.Optimizer.Objectives
{
///
/// The optimization statistical target
///
public class Target: Objective
{
///
/// Defines the direction of optimization, i.e. maximization or minimization
///
public Extremum Extremum { get; set; }
///
/// Current value
///
[JsonIgnore]
public decimal? Current { get; private set; }
///
/// Fires when target complies specified value
///
public event EventHandler Reached;
///
/// Creates a new instance
///
public Target(string target, Extremum extremum, decimal? targetValue): base(target, targetValue)
{
Extremum = extremum;
}
///
/// Creates a new instance
///
public Target()
{
}
///
/// Pretty representation of this optimization target
///
public override string ToString()
{
return Messages.Target.ToString(this);
}
///
/// Check backtest result
///
/// Backtest result json
/// true if found a better solution; otherwise false
public bool MoveAhead(string jsonBacktestResult)
{
if (string.IsNullOrEmpty(jsonBacktestResult))
{
throw new ArgumentNullException(nameof(jsonBacktestResult), $"Target.MoveAhead(): {Messages.OptimizerObjectivesCommon.NullOrEmptyBacktestResult}");
}
var token = GetTokenInJsonBacktest(jsonBacktestResult, Target);
if (token == null)
{
return false;
}
var computedValue = token.Value().ToNormalizedDecimal();
if (!Current.HasValue || Extremum.Better(Current.Value, computedValue))
{
Current = computedValue;
return true;
}
return false;
}
///
/// Try comply target value
///
public void CheckCompliance()
{
if (IsComplied())
{
Reached?.Invoke(this, EventArgs.Empty);
}
}
public static JToken GetTokenInJsonBacktest(string jsonBacktestResult, string target)
{
var jObject = JObject.Parse(jsonBacktestResult);
var path = target.Replace("[", string.Empty, StringComparison.InvariantCultureIgnoreCase)
.Replace("]", string.Empty, StringComparison.InvariantCultureIgnoreCase)
.Replace("\'", string.Empty, StringComparison.InvariantCultureIgnoreCase).Split(".");
JToken token = null;
foreach (var key in path)
{
if (jObject.TryGetValue(key, StringComparison.OrdinalIgnoreCase, out token))
{
if (token is not JValue)
{
jObject = token.ToObject();
}
}
else
{
return null;
}
}
return token;
}
private bool IsComplied() => TargetValue.HasValue && Current.HasValue && (TargetValue.Value == Current.Value || Extremum.Better(TargetValue.Value, Current.Value));
}
}