/// <summary>
/// Evaluates the chromosome's fitness.
/// </summary>
public override async Task EvaluateAsync(IChromosome chromosome)
{
try
{
// cast to the base type
var chromosomeBase = (Chromosome)chromosome;
// Convert to dictionary and add "id" key-value pair
var list = chromosomeBase.ToDictionary();
list.Add("chromosome-id", chromosomeBase.Id);
// Set algorithm start and end dates
list.Add("start-date", StartDate.ToString("O"));
list.Add("end-date", EndDate.ToString("O"));
// Additional settings to the list
list.Add("algorithm-type-name", Shared.Config.AlgorithmTypeName);
list.Add("algorithm-location", Shared.Config.AlgorithmLocation);
list.Add("data-folder", Shared.Config.DataFolder);
// Obtain full results
var result = await Task.Run(() => AppDomainRunner.RunAlgorithm(list));
// Calculate fitness and concat the results with an output string
var fitness = StatisticsAdapter.CalculateFitness(result, FitnessScore, FilterEnabled);
// Save full results
chromosomeBase.FitnessResult = new FitnessResult
{
Chromosome = chromosomeBase,
StartDate = this.StartDate,
EndDate = this.EndDate,
FullResults = result
};
// create an output string
var theOutput = chromosomeBase.EvaluationToLogOutput(result, FitnessScore, fitness);
// Display the output
lock (_lock)
{
Shared.Logger.Trace(theOutput + Environment.NewLine);
}
// assign a value to chromosome fitness
chromosome.Fitness = fitness;
}
catch (Exception ex)
{
Shared.Logger.Error("OptimizerFitness.Evaluate: " + ex.Message);
}
}
public void TransformTest()
{
var actual = StatisticsAdapter.Transform(new AlgorithmPerformance {
PortfolioStatistics = new PortfolioStatistics {
Alpha = 1.23m
}, TradeStatistics = new TradeStatistics {
TotalNumberOfTrades = 45
}
});
Assert.AreEqual(1.23m, actual["Alpha"]);
Assert.AreEqual(45m, actual["TotalNumberOfTrades"]);
}
public void TransformTest()
{
var actual = StatisticsAdapter.Transform(new AlgorithmPerformance
{
PortfolioStatistics = new PortfolioStatistics
{
Alpha = 1.23m
},
TradeStatistics = new TradeStatistics
{
TotalNumberOfTrades = 0,
TotalFees = 0
}
},
new Dictionary <string, string> {
{ "Total Trades", "45" }, { "Total Fees", "$1.23" }
});
Assert.AreEqual(1.23m, actual["Alpha"]);
Assert.AreEqual(45m, actual["TotalNumberOfTrades"]);
Assert.AreEqual(1.23m, actual["TotalFees"]);
}
/// <summary>
/// Async evalutation.
/// </summary>
public override async Task EvaluateAsync(IChromosome chromosome)
{
// Cast to base chromosome type
var chromosomeBase = (Chromosome)chromosome;
// Application Package Directory
string appPath =
$"%AZ_BATCH_APP_PACKAGE_{AzureBatchManager.AppPackageId}#{AzureBatchManager.AppPackageVersion}%";
// Chromosome's unique identifier
var id = chromosomeBase.Id;
// -- 1 -- Create an argument string of gene key-values
var runnerInputArguments = chromosomeBase.ToKeyValueString() + " ";
// -- 2 -- Add an algorithm name to that string
runnerInputArguments += $"algorithm-type-name {Shared.Config.AlgorithmTypeName} ";
// -- 3 -- Add algorithm dll and data folder locations
var dllFileName = Path.GetFileName(Shared.Config.AlgorithmLocation);
runnerInputArguments += $"algorithm-location %AZ_BATCH_NODE_STARTUP_DIR%\\wd\\{dllFileName} ";
runnerInputArguments += $"data-folder {AzureBatchManager.DataNetDrive} ";
// -- 4 -- Algorithm start and end dates
runnerInputArguments += $"start-date {StartDate:O} ";
runnerInputArguments += $"end-date {EndDate:O} ";
// -- 5 -- File name where the final result of a backtest will be stored at.
var resultsOutputFile = $"output_{id}.json";
runnerInputArguments += $"results-output {resultsOutputFile} ";
// -- 6 -- File name for Lean logs
var leanLogFile = $"log_{id}.txt";
runnerInputArguments += $"log-file {leanLogFile}";
// Now using all arguments construct the resulting command line string
string fileShareUncPath = $"\\\\{AzureBatchManager.DataFileShare.Uri.Host}\\{AzureBatchManager.DataFileShare.Name}";
string cmdMapNetDrive = $"net use {AzureBatchManager.DataNetDrive} {fileShareUncPath}";
string cmdRunner = $"{appPath}\\Debug\\Optimization.RunnerAppAzure.exe {runnerInputArguments}";
string taskCommandLine = $"cmd /c \"{cmdMapNetDrive} & {cmdRunner}\"";
// Create task id. Create a cloud task.
var taskId = $"task_{id}";
CloudTask cloudTask = new CloudTask(taskId, taskCommandLine)
{
UserIdentity = new UserIdentity(new AutoUserSpecification(
elevationLevel: ElevationLevel.NonAdmin,
scope: AutoUserScope.Pool))
};
// After app package finishes work and exits the Files:
// Task output file and lean log will be automatically uploaded to the output blob container in Azure Storage.
List <OutputFile> outputFileList = new List <OutputFile>();
// #1
OutputFile outputFileA = new OutputFile(resultsOutputFile,
new OutputFileDestination(
new OutputFileBlobContainerDestination(AzureBatchManager.OutputContainerSasUrl,
path: @"results\" + resultsOutputFile)),
new OutputFileUploadOptions(OutputFileUploadCondition.TaskSuccess));
// #2
OutputFile outputFileB = new OutputFile(leanLogFile,
new OutputFileDestination(
new OutputFileBlobContainerDestination(AzureBatchManager.OutputContainerSasUrl,
path: @"logs\" + leanLogFile)),
new OutputFileUploadOptions(OutputFileUploadCondition.TaskSuccess));
// Add Output Files to the list
outputFileList.Add(outputFileA);
outputFileList.Add(outputFileB);
// Assign the list to cloud task's OutputTask property
cloudTask.OutputFiles = outputFileList;
// Create a collection to hold the tasks added to the job and add our task to that colleation.
var cloudTaskCollection = new List <CloudTask>
{
cloudTask
};
// Azure Cloud objects
var batchClient = AzureBatchManager.BatchClient;
var blobClient = AzureBatchManager.BlobClient;
var jobId = AzureBatchManager.JobId;
// Call BatchClient.JobOperations.AddTask() to add the tasks as a collection to a queue
await batchClient.JobOperations.AddTaskAsync(jobId, cloudTaskCollection);
// Monitor for a task to complete. Timeout is set as a class's constant variable.
await MonitorSpecificTaskToCompleteAsync(batchClient, jobId, taskId, TimeOutForTaskToComplete);
// Obtain results dictionary
var result = await ObtainResultFromTheBlob(blobClient, AzureBatchManager.OutputContainerName,
@"results\" + resultsOutputFile);
// Calculate fitness
var fitness = StatisticsAdapter.CalculateFitness(result, FitnessScore, FilterEnabled);
// Save full results
chromosomeBase.FitnessResult = new FitnessResult
{
Chromosome = chromosomeBase,
StartDate = this.StartDate,
EndDate = this.EndDate,
FullResults = result
};
var logOutput = chromosomeBase.EvaluationToLogOutput(result, FitnessScore, fitness);
// Display the output
lock (_lock)
{
Shared.Logger.Trace(logOutput + Environment.NewLine);
}
// Assign fitness value to a chromosome
chromosome.Fitness = fitness;
}
