/// <summary>
/// Executes single iteration of the given strategy instance
/// </summary>
public double ExecuteStrategy(double alpha, double beta, double gemma, double epsilon)
{
//SetStrategyParameters(alpha, beta, gemma, epsilon);
_manualReset = new ManualResetEvent(false);
// Update Strategy Parameters
_tradeHubStrategy.SetParameters(new object[] { alpha, beta, gemma, epsilon });
// Reset Statistics for current iteration
_statistics.ResetAllValues();
// Start Strategy Execution
_tradeHubStrategy.Run();
// Wait for the strategy to execute
_manualReset.WaitOne();
////Dispose Object
//_tradeHubStrategy.Dispose();
//// Force garbage collector to free memory
//GC.Collect();
//GC.WaitForPendingFinalizers();
//ExecuteStrategy(alpha, beta, gemma, epsilon);
// return current iterations PnL
return((double)_statistics.GetRisk());
}
/// <summary>
/// Execute Strategy iteration to calculate Fitness
/// </summary>
/// <returns>Return Strategy's Fitness for current execution</returns>
public double ExecuteStrategy(double[] values)
{
try
{
_manualReset = new ManualResetEvent(false);
//convert all parameters to object.
object[] array = new object[values.Length];
for (int i = 0; i < values.Length; i++)
{
array[i] = values[i];
}
// Update Strategy Parameters
_tradeHubStrategy.SetParameters(array);
// Reset Statistics for current iteration
_statistics.ResetAllValues();
_orderExecutor.Clear();
// Start Strategy Execution
_tradeHubStrategy.Run();
// Wait for the strategy to execute
_manualReset.WaitOne();
// Clear subscription maps
_dataHandler.ClearMaps();
_tradeHubStrategy.ClearOrderMap();
// return current iterations risk
return(-1 * (double)_tradeHubStrategy.GetObjectiveFunctionValue());
}
catch (Exception exception)
{
_logger.Error(exception, _type.FullName, "ExecuteStrategy");
return(default(double));
}
}
