/* * 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 System; namespace QuantConnect.Optimizer.Strategies { /// /// Find the best solution in first generation /// public class GridSearchOptimizationStrategy : StepBaseOptimizationStrategy { private object _locker = new object(); /// /// Checks whether new lean compute job better than previous and run new iteration if necessary. /// /// Lean compute job result and corresponding parameter set public override void PushNewResults(OptimizationResult result) { if (!Initialized) { throw new InvalidOperationException($"GridSearchOptimizationStrategy.PushNewResults: strategy has not been initialized yet."); } lock (_locker) { if (!ReferenceEquals(result, OptimizationResult.Initial) && string.IsNullOrEmpty(result?.JsonBacktestResult)) { // one of the requested backtests failed return; } // check if the incoming result is not the initial seed if (result.Id > 0) { ProcessNewResult(result); return; } foreach (var parameterSet in Step(OptimizationParameters)) { OnNewParameterSet(parameterSet); } } } } }