Lean  $LEAN_TAG$
GridSearchOptimizationStrategy.cs
1 /*
2  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
3  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4  *
5  * Licensed under the Apache License, Version 2.0 (the "License");
6  * you may not use this file except in compliance with the License.
7  * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
8  *
9  * Unless required by applicable law or agreed to in writing, software
10  * distributed under the License is distributed on an "AS IS" BASIS,
11  * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12  * See the License for the specific language governing permissions and
13  * limitations under the License.
14 */
15 
16 using System;
17 
19 {
20  /// <summary>
21  /// Find the best solution in first generation
22  /// </summary>
24  {
25  private object _locker = new object();
26 
27  /// <summary>
28  /// Checks whether new lean compute job better than previous and run new iteration if necessary.
29  /// </summary>
30  /// <param name="result">Lean compute job result and corresponding parameter set</param>
31  public override void PushNewResults(OptimizationResult result)
32  {
33  if (!Initialized)
34  {
35  throw new InvalidOperationException($"GridSearchOptimizationStrategy.PushNewResults: strategy has not been initialized yet.");
36  }
37 
38  lock (_locker)
39  {
40  if (!ReferenceEquals(result, OptimizationResult.Initial) && string.IsNullOrEmpty(result?.JsonBacktestResult))
41  {
42  // one of the requested backtests failed
43  return;
44  }
45 
46  // check if the incoming result is not the initial seed
47  if (result.Id > 0)
48  {
49  ProcessNewResult(result);
50  return;
51  }
52 
53  foreach (var parameterSet in Step(OptimizationParameters))
54  {
55  OnNewParameterSet(parameterSet);
56  }
57  }
58  }
59  }
60 }