public void ThrowOnReinitialization()
{
int nextId = 1;
Strategy.NewParameterSet += (s, parameterSet) =>
{
Assert.AreEqual(nextId++, parameterSet.Id);
};
var set1 = new HashSet <OptimizationParameter>()
{
new OptimizationStepParameter("ema-fast", 10, 100, 1)
};
Strategy.Initialize(new Target("Profit", new Maximization(), null), new List <Constraint>(), set1, CreateSettings());
Strategy.PushNewResults(OptimizationResult.Initial);
Assert.Greater(nextId, 1);
var set2 = new HashSet <OptimizationParameter>()
{
new OptimizationStepParameter("ema-fast", 10, 100, 1),
new OptimizationStepParameter("ema-slow", 10, 100, 2)
};
Assert.Throws <InvalidOperationException>(() =>
{
Strategy.Initialize(new Target("Profit", new Minimization(), null), null, set2, CreateSettings());
});
}
/// <summary>
/// Creates a new instance
/// </summary>
/// <param name="nodePacket">The optimization node packet to handle</param>
protected LeanOptimizer(OptimizationNodePacket nodePacket)
{
if (nodePacket.OptimizationParameters.IsNullOrEmpty())
{
throw new ArgumentException("Cannot start an optimization job with no parameter to optimize");
}
if (string.IsNullOrEmpty(nodePacket.Criterion?.Target))
{
throw new ArgumentException("Cannot start an optimization job with no target to optimize");
}
NodePacket = nodePacket;
OptimizationTarget = NodePacket.Criterion;
OptimizationTarget.Reached += (s, e) =>
{
// we've reached the optimization target
TriggerOnEndEvent();
};
Strategy = (IOptimizationStrategy)Activator.CreateInstance(Type.GetType(NodePacket.OptimizationStrategy));
RunningParameterSetForBacktest = new ConcurrentDictionary <string, ParameterSet>();
PendingParameterSet = new ConcurrentQueue <ParameterSet>();
Strategy.Initialize(OptimizationTarget, nodePacket.Constraints, NodePacket.OptimizationParameters, NodePacket.OptimizationStrategySettings);
Strategy.NewParameterSet += (s, parameterSet) =>
{
if (parameterSet == null)
{
// shouldn't happen
Log.Error($"Strategy.NewParameterSet({GetLogDetails()}): generated a null {nameof(ParameterSet)} instance");
return;
}
LaunchLeanForParameterSet(parameterSet);
};
}