/*
* 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);
}
}
}
}
}