public OptimizationParameterSet Optimize(Strategy strategy, InstrumentList instruments, OptimizationUniverse universe, int bunch = -1)
{
this.event_count = 0L;
this.watch.Start();
int num;
if (bunch == -1)
{
num = universe.Count;
}
else
{
num = bunch;
}
int num2 = 0;
while (num2 + num < universe.Count)
{
this.Optimize(strategy, instruments, universe, num2, num);
num2 += num;
}
this.Optimize(strategy, instruments, universe, num2, universe.Count - num2);
int index = 0;
for (int i = 1; i < universe.Count; i++)
{
if (universe[i].Objective > universe[index].Objective)
{
index = i;
}
}
Console.WriteLine(string.Concat(new object[]
{
"Best Objective ",
universe[index],
" Objective = ",
universe[index].Objective
}));
Console.WriteLine("Optimization done");
this.watch.Stop();
Console.WriteLine(string.Concat(new object[]
{
"Processed ",
this.event_count,
" events in ",
this.watch.ElapsedMilliseconds,
" msec - ",
(double)this.event_count / (double)this.watch.ElapsedMilliseconds * 1000.0,
" event/sec"
}));
return(universe[index]);
}
private void Optimize(Strategy strategy, InstrumentList instruments, OptimizationUniverse universe, int index, int n)
{
Framework[] array = new Framework[n];
Strategy[] array2 = new Strategy[n];
for (int i = 0; i < n; i++)
{
if (i == 0)
{
array[i] = strategy.framework;
}
else
{
array[i] = new Framework("framework " + i, array[i - 1].EventBus, strategy.framework.InstrumentServer, null);
}
array2[i] = (Strategy)Activator.CreateInstance(strategy.GetType(), new object[]
{
array[i],
"strategy " + i
});
}
for (int j = 0; j < n; j++)
{
OptimizationParameterSet optimizationParameterSet = universe[index + j];
foreach (OptimizationParameter current in optimizationParameterSet)
{
if (current.Name == "Bar")
{
using (IEnumerator <Instrument> enumerator2 = instruments.GetEnumerator())
{
while (enumerator2.MoveNext())
{
Instrument current2 = enumerator2.Current;
array[j].EventManager.BarFactory.Add(current2, BarType.Time, (long)current.Value);
}
continue;
}
}
FieldInfo field = array2[j].GetType().GetField(current.Name, BindingFlags.Instance | BindingFlags.Public | BindingFlags.GetField | BindingFlags.SetField);
if (field != null)
{
if (field.FieldType == typeof(int))
{
field.SetValue(array2[j], (int)current.Value);
}
else
{
field.SetValue(array2[j], current.Value);
}
}
else
{
Console.WriteLine("Optimizer::Optimize Can not set field with name " + current.Name);
}
}
}
for (int k = 0; k < n; k++)
{
foreach (Instrument current3 in instruments)
{
array2[k].AddInstrument(current3);
}
}
for (int l = n - 1; l >= 0; l--)
{
array[l].StrategyManager.StartStrategy(array2[l], StrategyMode.Backtest);
}
bool flag;
do
{
flag = true;
for (int m = 0; m < n; m++)
{
if (array2[m].Status != StrategyStatus.Stopped)
{
flag = false;
}
}
Thread.Sleep(10);
}while (!flag);
for (int num = 0; num < n; num++)
{
universe[num].Objective = array2[num].Objective();
Console.WriteLine(universe[num] + " Objective = " + universe[num].Objective);
}
for (int num2 = 0; num2 < n; num2++)
{
this.event_count += array[num2].eventManager.EventCount;
}
for (int num3 = 0; num3 < n; num3++)
{
array[num3] = null;
array2[num3] = null;
}
strategy.framework.Clear();
}
public OptimizationParameterSet Optimize(Strategy strategy, InstrumentList instruments, OptimizationUniverse universe, int bunch = -1)
{
throw new NotImplementedException();
}
