public Dictionary <string, decimal> Run(Dictionary <string, object> items, IOptimizerConfiguration config)
{
_config = config;
var id = (items.ContainsKey("Id") ? items["Id"] : Guid.NewGuid().ToString("N")).ToString();
if (_config.StartDate.HasValue && _config.EndDate.HasValue)
{
if (!items.ContainsKey("startDate"))
{
items.Add("startDate", _config.StartDate);
}
if (!items.ContainsKey("endDate"))
{
items.Add("endDate", _config.EndDate);
}
}
string jsonKey = JsonConvert.SerializeObject(items.Where(i => i.Key != "Id"));
if (!_config.EnableRunningDuplicateParameters && GetResults().ContainsKey(jsonKey))
{
return(GetResults()[jsonKey]);
}
var filteredConfig = new Dictionary <string, object>();
//just ignore id gene
foreach (var pair in items.Where(i => i.Key != "Id"))
{
if (pair.Value is DateTime?)
{
var cast = ((DateTime?)pair.Value);
if (cast.HasValue)
{
filteredConfig.Add(pair.Key, cast.Value.ToString("O"));
}
}
else
{
filteredConfig.Add(pair.Key, pair.Value.ToString());
}
}
//store uniquely keyed config in app domain for each algorithm instance
//todo: cleanup
SingleAppDomainManager.SetData(AppDomain.CurrentDomain, id, filteredConfig);
LaunchLean(id);
AddToResults(config, jsonKey);
return(_resultsHandler.FullResults);
}
public virtual Dictionary <string, decimal> RunAlgorithm(Dictionary <string, object> list, IOptimizerConfiguration config)
{
if (config.UseSharedAppDomain)
{
return(SingleAppDomainManager.RunAlgorithm(list, config));
}
else
{
return(OptimizerAppDomainManager.RunAlgorithm(list, config));
}
}
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('/')))
{
_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);
}
}
if (_config.UseSharedAppDomain)
{
SingleAppDomainManager.Initialize();
}
else
{
OptimizerAppDomainManager.Initialize();
}
OptimizerFitness fitness = (OptimizerFitness)Assembly.GetExecutingAssembly().CreateInstance(_config.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) }.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();
}
}
_manager.Initialize(_config, fitness);
_manager.Start();
}
public virtual double Evaluate(IChromosome chromosome)
{
Name = "Sharpe";
try
{
string output = "";
var list = ((Chromosome)chromosome).ToDictionary();
list.Add("Id", ((Chromosome)chromosome).Id);
foreach (var item in list)
{
output += item.Key + ": " + item.Value.ToString() + ", ";
}
if (Config.StartDate.HasValue && Config.EndDate.HasValue)
{
output += string.Format("Start: {0}, End: {1}, ", Config.StartDate, Config.EndDate);
}
Dictionary <string, decimal> result = null;
if (Config.UseSharedAppDomain)
{
result = SingleAppDomainManager.RunAlgorithm(list, Config);
}
else
{
result = OptimizerAppDomainManager.RunAlgorithm(list, Config);
}
if (result == null)
{
return(0);
}
var fitness = CalculateFitness(result);
output += string.Format("{0}: {1}", Name, fitness.Value);
Program.Logger.Info(output);
return(fitness.Fitness);
}
catch (Exception ex)
{
Program.Logger.Error(ex);
return(0);
}
}
public new static Dictionary <string, Dictionary <string, decimal> > GetResults()
{
return(SingleAppDomainManager.GetData <Dictionary <string, Dictionary <string, decimal> > >(_ad, "Results"));
}
private Dictionary<string, Dictionary<string, decimal>> GetResults()
{
return SingleAppDomainManager.GetData<Dictionary<string, Dictionary<string, decimal>>>(AppDomain.CurrentDomain, "Results");
}
