//Fitness based on config settings
protected override FitnessResult CalculateFitness(Dictionary <string, decimal> result)
{
var fitness = new FitnessResult();
var raw = StatisticsAdapter.Translate(Config.Fitness.ResultKey, result);
fitness.Value = raw;
fitness.Fitness = (double)raw * Config.Fitness.Scale.Value * Config.Fitness.Modifier.Value;
return(fitness);
}
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings,
CashBook cashbook, StatisticsResults statisticsResults, Dictionary <string, string> banner)
{
_shadow.SendFinalResult(job, orders, profitLoss, holdings, cashbook, statisticsResults, banner);
if (_hasError)
{
FullResults = null;
return;
}
FullResults = StatisticsAdapter.Transform(statisticsResults.TotalPerformance, statisticsResults.Summary);
}
public void SendFinalResult(AlgorithmNodePacket job, Dictionary <int, Order> orders, Dictionary <DateTime, decimal> profitLoss, Dictionary <string, Holding> holdings, StatisticsResults statisticsResults, Dictionary <string, string> banner)
{
_shadow.SendFinalResult(job, orders, profitLoss, holdings, statisticsResults, banner);
FullResults = StatisticsAdapter.Transform(statisticsResults.TotalPerformance);
}
//HACK: calculate and retain full statistics but not store result
public void SendFinalResult()
{
if (_hasError)
{
FullResults = null;
return;
}
try
{
//_processingFinalPacket = true;
_shadowType.GetField("_processingFinalPacket", _flags).SetValue(_shadow, true);
var charts = new Dictionary <string, Chart>(_shadow.Charts);
//var orders = new Dictionary<int, Order>(_shadow.TransactionHandler.Orders);
var transactionHandler = (ITransactionHandler)_shadowType.GetField("TransactionHandler", _flags).GetValue(_shadow);
var orders = new Dictionary <int, Order>(transactionHandler.Orders);
var profitLoss = new SortedDictionary <DateTime, decimal>(Algorithm.Transactions.TransactionRecord);
//var statisticsResults = GenerateStatisticsResults(charts, profitLoss);
var statisticsResults = (StatisticsResults)_shadowType.InvokeMember("GenerateStatisticsResults", _flags | BindingFlags.InvokeMethod, null, _shadow,
new object[] { charts, profitLoss });
//var runtime = GetAlgorithmRuntimeStatistics(statisticsResults.Summary);
var runtime = (Dictionary <string, string>) typeof(BaseResultsHandler).InvokeMember("GetAlgorithmRuntimeStatistics", _flags | BindingFlags.InvokeMethod, Type.DefaultBinder, _shadow,
new object[] { statisticsResults.Summary, null });
FullResults = StatisticsAdapter.Transform(statisticsResults.TotalPerformance, statisticsResults.Summary);
//FinalStatistics = statisticsResults.Summary;
_shadowType.GetProperty("FinalStatistics").SetValue(_shadow, statisticsResults.Summary, _flags, null, null, null);
foreach (var ap in statisticsResults.RollingPerformances.Values)
{
ap.ClosedTrades.Clear();
}
//var result = new BacktestResultPacket(_job,
// new BacktestResult(charts, orders, profitLoss, statisticsResults.Summary, runtime, statisticsResults.RollingPerformances, statisticsResults.TotalPerformance)
// { AlphaRuntimeStatistics = AlphaRuntimeStatistics }, Algorithm.EndDate, Algorithm.StartDate)
//{
// ProcessingTime = (DateTime.UtcNow - StartTime).TotalSeconds,
// DateFinished = DateTime.Now,
// Progress = 1
//};
var job = (BacktestNodePacket)_shadowType.GetField("_job", _flags).GetValue(_shadow);
var startTime = (DateTime)_shadowType.GetProperty("StartTime", _flags).GetValue(_shadow);
var alphaRuntimeStatistics = (AlphaRuntimeStatistics)_shadowType.GetProperty("AlphaRuntimeStatistics", _flags).GetValue(_shadow);
var result = new BacktestResultPacket(job,
new BacktestResult(charts, orders, profitLoss, statisticsResults.Summary, runtime, statisticsResults.RollingPerformances, statisticsResults.TotalPerformance)
{
AlphaRuntimeStatistics = alphaRuntimeStatistics
}, Algorithm.EndDate, Algorithm.StartDate)
{
ProcessingTime = (DateTime.UtcNow - startTime).TotalSeconds,
DateFinished = DateTime.Now,
Progress = 1
};
//StoreResult(result);
//do not store result
//MessagingHandler.Send(result);
var messagingHandler = (IMessagingHandler)_shadowType.GetField("MessagingHandler", _flags).GetValue(_shadow);
messagingHandler.Send(result);
}
catch (Exception ex)
{
LogProvider.ErrorLogger.Error(ex);
}
}
