public void Optimize()
{
_config = JsonConvert.DeserializeObject <DynastyConfiguration>(_file.File.ReadAllText("dynasty.json"));
var segmenter = new DynastySegmenter(_config);
var settings = new JsonSerializerSettings {
ContractResolver = new CamelCasePropertyNamesContractResolver()
};
for (var i = _config.StartDate; i <= _config.EndDate; i = segmenter.GetNext(i))
{
if (_current == null)
{
_current = JsonConvert.DeserializeObject <OptimizerConfiguration>(_file.File.ReadAllText(_configFilename));
}
_current.StartDate = i;
var endDate = segmenter.PeekNext(i);
_current.EndDate = AdjustEndDate(endDate);
string json = JsonConvert.SerializeObject(_current, settings);
_file.File.WriteAllText(_configFilename, json);
_logWrapper.Result($"For period: {_current.StartDate} {_current.EndDate}");
var initializer = new OptimizerInitializer(_file, _managerFactory.Create());
initializer.Initialize(new[] { _configFilename });
}
}
public void MergeInto(OptimizerConfiguration result)
{
if (EliminateStructCopies.HasValue)
{
result.EliminateStructCopies = EliminateStructCopies;
}
if (EliminateTemporaries.HasValue)
{
result.EliminateTemporaries = EliminateTemporaries;
}
if (SimplifyLoops.HasValue)
{
result.SimplifyLoops = SimplifyLoops;
}
if (SimplifyOperators.HasValue)
{
result.SimplifyOperators = SimplifyOperators;
}
if (EliminateRedundantControlFlow.HasValue)
{
result.EliminateRedundantControlFlow = EliminateRedundantControlFlow;
}
if (CacheMethodSignatures.HasValue)
{
result.CacheMethodSignatures = CacheMethodSignatures;
}
}
public RouteStopService(IDistanceService distanceService, OptimizerConfiguration configuration, IRouteStopDelayService routeStopDelayService, IJobNodeService jobNodeService)
{
_distanceService = distanceService;
_configuration = configuration;
_routeStopDelayService = routeStopDelayService;
_jobNodeService = jobNodeService;
}
/// <summary>
/// Initializes a new instance of the <see cref="NodeService"/> class.
/// </summary>
/// <param name="nodeConnectionFactory">
/// The node connection factory.
/// </param>
/// <param name="configuration">
/// The configuration.
/// </param>
public NodeService(INodeConnectionFactory nodeConnectionFactory, OptimizerConfiguration configuration)
{
_configuration = configuration;
_nodeConnectionFactory = nodeConnectionFactory;
_nodeConnectionCache = new Dictionary <Tuple <INode, INode>, NodeConnection>();
_rwLock = new ReaderWriterLockSlim();
}
public Dynasty(IFileSystem file, ILogWrapper logWrapper, IGeneManagerFactory managerFactory)
{
_file = file;
_logWrapper = logWrapper;
_managerFactory = managerFactory;
_queue = new FixedSizeQueue <string>(2);
_current = null;
_instance = this;
}
public void SetUp()
{
_config = new OptimizerConfiguration
{
StartDate = new DateTime(2001, 1, 2),
EndDate = new DateTime(2001, 1, 3)
};
_unit = new Wrapper(_config, Mock.Of <IFitnessFilter>());
}
public void MergeInto(OptimizerConfiguration result)
{
if (EliminateStructCopies.HasValue)
result.EliminateStructCopies = EliminateStructCopies;
if (EliminateTemporaries.HasValue)
result.EliminateTemporaries = EliminateTemporaries;
if (SimplifyLoops.HasValue)
result.SimplifyLoops = SimplifyLoops;
if (SimplifyOperators.HasValue)
result.SimplifyOperators = SimplifyOperators;
}
public NodeRouteService(IObjectiveFunction objectiveFunction,
IRouteStopService routeStopService, IRouteExitFunction routeExitFunction, ILogger logger,
OptimizerConfiguration configuration)
{
_objectiveFunction = objectiveFunction;
_routeStopService = routeStopService;
_routeExitFunction = routeExitFunction;
_configuration = configuration;
_logger = logger;
_nodeConnectionCache = new Dictionary <Tuple <INode, INode>, NodeConnection>();
}
public void Initialize(string[] args)
{
_config = LoadConfig(args);
_file.File.Copy(_config.ConfigPath, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, "config.json"), true);
string path = _config.AlgorithmLocation;
if (!string.IsNullOrEmpty(path) && (path.Contains('\\') || path.Contains('/')) && !path.EndsWith("py"))
{
_file.File.Copy(path, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, System.IO.Path.GetFileName(path)), true);
string pdb = path.Replace(System.IO.Path.GetExtension(path), ".pdb");
//due to locking issues, need to manually clean to update pdb
if (!_file.File.Exists(pdb))
{
_file.File.Copy(pdb, System.IO.Path.Combine(AppDomain.CurrentDomain.BaseDirectory, System.IO.Path.GetFileName(pdb)), true);
}
}
var fitnessTypeName = _config.FitnessTypeName.Contains(".") ? _config.FitnessTypeName : "Jtc.Optimization.LeanOptimizer." + _config.FitnessTypeName;
OptimizerFitness fitness = (OptimizerFitness)Assembly.GetExecutingAssembly().CreateInstance(fitnessTypeName, false, BindingFlags.Default, null,
new object[] { _config, new FitnessFilter() }, null, null);
if (_manager == null)
{
if (new[] { typeof(SharpeMaximizer), typeof(NFoldCrossReturnMaximizer), typeof(NestedCrossSharpeMaximizer), typeof(NFoldCrossSharpeMaximizer), typeof(WalkForwardSharpeMaximizer),
typeof(WalkForwardWeightedMetricSharpeMaximizer) }.Contains(fitness.GetType()))
{
_manager = new MaximizerManager();
if (fitness.GetType() == typeof(OptimizerFitness))
{
LogProvider.ErrorLogger.Info("Fitness for shared app domain was switched to the default: SharpeMaximizer.");
fitness = new SharpeMaximizer(_config, new FitnessFilter());
}
}
else
{
_manager = new GeneManager();
}
}
//todo: some constraints for running python
if (_config.AlgorithmLanguage == "Python")
{
_config.UseSharedAppDomain = true;
_config.MaxThreads = 1;
}
_manager.Initialize(_config, fitness);
_manager.Start();
}
public OptimizerOptions()
{
NoConditionalRedefinition = true;
DeadCodeElimination = true;
AssemblyReferences = new List <string> ();
_enabled_features = new Dictionary <MonoLinkerFeature, bool> {
[MonoLinkerFeature.Unknown] = false,
[MonoLinkerFeature.Martin] = false
};
OptimizerConfiguration = new OptimizerConfiguration();
OptimizerReport = new OptimizerReport(this);
}
public void Setup()
{
_config = new OptimizerConfiguration {
Genes = new[] { new GeneConfiguration {
Key = "p1", Min = 1, Max = 2
}, new GeneConfiguration {
Key = "p2", Min = 1, Max = 2
} }
};
_list = new Dictionary <string, object> {
{ "p1", 1.0 }, { "p2", 0.1 }, { "Id", "abc123" }
};
IFitnessFilter filter = null;
_unit = new WalkForwardWeightedMetricSharpeMaximizer(_config, filter);
_unit.WalkForwardSharpeMaximizerFactory = new Factory();
}
public async Task Given_function_code_And_configured_to_run_in_ui_thread_When_Minimizing_And_task_is_cancelled_Then_should_throw()
{
Setup();
var config = new OptimizerConfiguration
{
Genes = new GeneConfiguration[0],
Fitness = new FitnessConfiguration {
OptimizerTypeName = Enums.OptimizerTypeOptions.Bayesian.ToString()
}
};
var source = new CancellationTokenSource();
source.Cancel();
await Assert.ThrowsAsync <TaskCanceledException>(() => _unit.Start(config, source.Token));
}
public void EvaluateTest(DateTime startDate, DateTime endDate, int folds, string[] expectedDates, double[] expectedValues)
{
var config = new OptimizerConfiguration
{
StartDate = startDate,
EndDate = endDate,
FitnessTypeName = "Optimization.OptimizerFitness",
EnableFitnessFilter = true,
Genes = SetupGenes(),
Fitness = new FitnessConfiguration {
Folds = folds
}
};
var unit = new Wrapper(config);
GeneFactory.Initialize(config.Genes);
var actual = unit.Evaluate(new Chromosome(true, config.Genes));
Assert.AreEqual(1, actual);
var actualDates = new List <DateTime>();
var actualValues = new List <double>();
for (int i = 0; i < unit.ActualInSampleConfig.Count(); i++)
{
actualDates.Add(unit.ActualInSampleConfig[i].StartDate.Value);
actualDates.Add(unit.ActualInSampleConfig[i].EndDate.Value);
actualDates.Add(unit.ActualOutSampleConfig[i].StartDate.Value);
actualDates.Add(unit.ActualOutSampleConfig[i].EndDate.Value);
actualValues.Add((double)unit.ActualInSampleChromosome[i].ToDictionary()["Key"]);
actualValues.Add((double)unit.ActualInSampleChromosome[i].ToDictionary()["Key2"]);
actualValues.Add((double)unit.ActualOutSampleList[i]["Key"]);
actualValues.Add((double)unit.ActualOutSampleList[i]["Key2"]);
}
expectedDates.Select(s => DateTime.Parse(s)).ShouldDeepEqual(actualDates);
expectedValues.ShouldDeepEqual(actualValues);
}
public void MergeInto(OptimizerConfiguration result)
{
if (EliminateStructCopies.HasValue)
{
result.EliminateStructCopies = EliminateStructCopies;
}
if (EliminateTemporaries.HasValue)
{
result.EliminateTemporaries = EliminateTemporaries;
}
if (SimplifyLoops.HasValue)
{
result.SimplifyLoops = SimplifyLoops;
}
if (SimplifyOperators.HasValue)
{
result.SimplifyOperators = SimplifyOperators;
}
if (EliminateRedundantControlFlow.HasValue)
{
result.EliminateRedundantControlFlow = EliminateRedundantControlFlow;
}
if (CacheMethodSignatures.HasValue)
{
result.CacheMethodSignatures = CacheMethodSignatures;
}
if (EliminatePointlessFinallyBlocks.HasValue)
{
result.EliminatePointlessFinallyBlocks = EliminatePointlessFinallyBlocks;
}
if (CacheTypeExpressions.HasValue)
{
result.CacheTypeExpressions = CacheTypeExpressions;
}
if (PreferAccessorMethods.HasValue)
{
result.PreferAccessorMethods = PreferAccessorMethods;
}
}
public CompareWithReportStep(OptimizerContext context)
: base(context)
{
Configuration = new OptimizerConfiguration();
context.Options.OptimizerReport.SizeComparision = Result = new SizeComparision();
}
public void MinimizeTest()
{
var genes = new[]
{
new GeneConfiguration
{
Key = "1",
Actual = 1.23
},
new GeneConfiguration
{
Key = "2",
Actual = 123,
Min = 1,
Max = 123
},
new GeneConfiguration
{
Key = "3",
Min = 1,
Max = 2
}
};
var config = new OptimizerConfiguration
{
Genes = genes,
FitnessTypeName = "Optimization.OptimizerFitness",
EnableFitnessFilter = true,
};
var unit = new Mock <SharpeMaximizer>(config, new FitnessFilter())
{
CallBase = true
};
unit.Setup(x => x.RunAlgorithm(It.IsAny <Dictionary <string, object> >(), It.IsAny <IOptimizerConfiguration>())).Returns <Dictionary <string, object>, IOptimizerConfiguration>((l, c) =>
{
return(new Dictionary <string, decimal> {
{ "SharpeRatio", 1 }, { "CompoundingAnnualReturn", 1 }, { "TotalNumberOfTrades", 1 },
{ "LossRate", 0.1m }
});
});
GeneFactory.Initialize(config.Genes);
RandomizationProvider.Current = new BasicRandomization();
var chromosome = new Chromosome(true, genes, false);
var actual = unit.Object.Minimize(new[] { 3.21, 321, 456 }, chromosome);
Assert.AreEqual(0.999, actual.Error);
Assert.AreEqual(1.23, actual.ParameterSet[0]);
Assert.AreEqual(123, actual.ParameterSet[1]);
Assert.AreEqual(456, actual.ParameterSet[2]);
var nextActual = unit.Object.Minimize(new[] { 3.21, 321, 789 }, chromosome);
Assert.AreEqual(0.999, nextActual.Error);
Assert.AreEqual(3.21, nextActual.ParameterSet[0]);
Assert.AreEqual(321, nextActual.ParameterSet[1]);
Assert.AreEqual(789, nextActual.ParameterSet[2]);
}
public void MergeInto(OptimizerConfiguration result)
{
if (EliminateStructCopies.HasValue)
result.EliminateStructCopies = EliminateStructCopies;
if (EliminateTemporaries.HasValue)
result.EliminateTemporaries = EliminateTemporaries;
if (SimplifyLoops.HasValue)
result.SimplifyLoops = SimplifyLoops;
if (SimplifyOperators.HasValue)
result.SimplifyOperators = SimplifyOperators;
if (EliminateRedundantControlFlow.HasValue)
result.EliminateRedundantControlFlow = EliminateRedundantControlFlow;
if (CacheMethodSignatures.HasValue)
result.CacheMethodSignatures = CacheMethodSignatures;
}
public NodeService(IRouteStopService routeStopService, OptimizerConfiguration configuration)
{
_configuration = configuration;
_routeStopService = routeStopService;
}
public void Optimize()
{
var config = JsonConvert.DeserializeObject <DynastyConfiguration>(_file.File.ReadAllText("dynasty.json"));
OptimizerConfiguration current = null;
var settings = new JsonSerializerSettings {
ContractResolver = new CamelCasePropertyNamesContractResolver()
};
for (var i = config.StartDate; i <= config.EndDate; i = i.AddDays(config.DurationDays).AddHours(config.DurationHours))
{
if (current == null)
{
current = JsonConvert.DeserializeObject <OptimizerConfiguration>(_file.File.ReadAllText(_configFilename));
}
current.StartDate = i;
current.EndDate = i.AddDays(config.DurationDays).AddHours(config.DurationHours);
string json = JsonConvert.SerializeObject(current, settings);
_file.File.WriteAllText(_configFilename, json);
var info = new ProcessStartInfo("Optimization.exe", _configFilename)
{
RedirectStandardOutput = true,
UseShellExecute = false
};
_process.Start(info);
string output;
FixedSizeQueue <string> queue = new FixedSizeQueue <string>(2);
while ((output = _process.ReadLine()) != null)
{
queue.Enqueue(output);
//Console.WriteLine(output);
if (queue.First() == GeneManager.Termination)
{
_logWrapper.Info($"For period: {current.StartDate} {current.EndDate}");
_logWrapper.Info(queue.Dequeue());
_logWrapper.Info(queue.Dequeue());
string optimal = queue.Dequeue();
_logWrapper.Info(optimal);
if (config.WalkForward)
{
var split = optimal.Split(',');
for (int ii = 0; ii < split.Length; ii++)
{
string[] pair = split[ii].Split(':');
var gene = current.Genes.SingleOrDefault(g => g.Key == pair[0].Trim());
decimal parsedDecimal;
int parsedInt;
if (int.TryParse(pair[1].Trim(), out parsedInt))
{
gene.ActualInt = parsedInt;
}
else if (decimal.TryParse(pair[1].Trim(), out parsedDecimal))
{
gene.ActualDecimal = parsedDecimal;
}
else
{
throw new Exception($"Unable to parse optimal gene from range {current.StartDate} {current.EndDate}");
}
}
}
_process.Kill();
}
}
}
}
public void MergeInto(OptimizerConfiguration result)
{
if (EliminateStructCopies.HasValue)
result.EliminateStructCopies = EliminateStructCopies;
if (EliminateTemporaries.HasValue)
result.EliminateTemporaries = EliminateTemporaries;
if (SimplifyLoops.HasValue)
result.SimplifyLoops = SimplifyLoops;
if (SimplifyOperators.HasValue)
result.SimplifyOperators = SimplifyOperators;
if (EliminateRedundantControlFlow.HasValue)
result.EliminateRedundantControlFlow = EliminateRedundantControlFlow;
if (CacheMethodSignatures.HasValue)
result.CacheMethodSignatures = CacheMethodSignatures;
if (EliminatePointlessFinallyBlocks.HasValue)
result.EliminatePointlessFinallyBlocks = EliminatePointlessFinallyBlocks;
if (CacheTypeExpressions.HasValue)
result.CacheTypeExpressions = CacheTypeExpressions;
if (PreferAccessorMethods.HasValue)
result.PreferAccessorMethods = PreferAccessorMethods;
}
public RouteStopDelayService(OptimizerConfiguration optimizerConfiguration)
{
_optimizerConfiguration = optimizerConfiguration;
}
public RouteStatisticsService(IRouteStopService routeStopService, INodeService nodeService, OptimizerConfiguration configuration)
{
_routeStopService = routeStopService;
_nodeService = nodeService;
_configuration = configuration;
}
private double CurrentHours(OptimizerConfiguration config)
{
return(config.EndDate.Value.AddDays(1).AddTicks(-1).Subtract(config.StartDate.Value).TotalHours);
}
