/* * 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(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", "{\"$type\":\"QuantConnect.Optimizer.Strategies.OptimizationStrategySettings, QuantConnect.Optimizer\"}"), new JsonSerializerSettings(){TypeNameHandling = TypeNameHandling.All}), Criterion = JsonConvert.DeserializeObject(Config.Get("optimization-criterion", "{\"target\":\"Statistics.TotalProfit\", \"extremum\": \"max\"}")), Constraints = JsonConvert.DeserializeObject>(Config.Get("constraints", "[]")).AsReadOnly(), OptimizationParameters = JsonConvert.DeserializeObject>(Config.Get("parameters", "[]")), MaximumConcurrentBacktests = Config.GetInt("maximum-concurrent-backtests", Math.Max(1, Environment.ProcessorCount / 2)), Channel = channel, }; var outOfSampleMaxEndDate = Config.Get("out-of-sample-max-end-date"); if (!string.IsNullOrEmpty(outOfSampleMaxEndDate)) { packet.OutOfSampleMaxEndDate = Time.ParseDate(outOfSampleMaxEndDate); } packet.OutOfSampleDays = Config.GetInt("out-of-sample-days"); var optimizerType = Config.Get("optimization-launcher", typeof(ConsoleLeanOptimizer).Name); var optimizer = (LeanOptimizer)Activator.CreateInstance(Composer.Instance.GetExportedTypes().Single(x => x.Name == optimizerType), packet); if (Config.GetBool("estimate", false)) { var backtestsCount = optimizer.GetCurrentEstimate(); Log.Trace($"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(); } } }