OptimizationBacktestJsonConverter.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/
 
using System;
using System.Collections.Generic;
using System.Globalization;
using System.Linq;
using Newtonsoft.Json;
using Newtonsoft.Json.Linq;
using QuantConnect.Optimizer.Parameters;
using QuantConnect.Statistics;
using QuantConnect.Util;
 
namespace QuantConnect.Api
{
    /// <summary>
    /// Json converter for <see cref="OptimizationBacktest"/> which creates a light weight easy to consume serialized version
    /// </summary>
    public class OptimizationBacktestJsonConverter : JsonConverter
    {
        /// <summary>
        /// Determines whether this instance can convert the specified object type.
        /// </summary>
        /// <param name="objectType">Type of the object.</param>
        /// <returns>
        /// <c>true</c> if this instance can convert the specified object type; otherwise, <c>false</c>.
        /// </returns>
        public override bool CanConvert(Type objectType)
        {
            return objectType == typeof(OptimizationBacktest);
        }
 
        /// <summary>
        /// Writes the JSON representation of the object.
        /// </summary>
        /// <param name="writer">The <see cref="T:Newtonsoft.Json.JsonWriter"/> to write to.</param>
        /// <param name="value">The value.</param>
        /// <param name="serializer">The calling serializer.</param>
        public override void WriteJson(JsonWriter writer, object value, JsonSerializer serializer)
        {
            var optimizationBacktest = value as OptimizationBacktest;
            if (ReferenceEquals(optimizationBacktest, null)) return;
 
            writer.WriteStartObject();
 
            if (!string.IsNullOrEmpty(optimizationBacktest.Name))
            {
                writer.WritePropertyName("name");
                writer.WriteValue(optimizationBacktest.Name);
            }
 
            if (!string.IsNullOrEmpty(optimizationBacktest.BacktestId))
            {
                writer.WritePropertyName("id");
                writer.WriteValue(optimizationBacktest.BacktestId);
 
                writer.WritePropertyName("progress");
                writer.WriteValue(optimizationBacktest.Progress);
 
                writer.WritePropertyName("exitCode");
                writer.WriteValue(optimizationBacktest.ExitCode);
            }
 
            if (optimizationBacktest.StartDate != default)
            {
                writer.WritePropertyName("startDate");
                writer.WriteValue(optimizationBacktest.StartDate.ToStringInvariant(DateFormat.UI));
            }
 
            if (optimizationBacktest.EndDate != default)
            {
                writer.WritePropertyName("endDate");
                writer.WriteValue(optimizationBacktest.EndDate.ToStringInvariant(DateFormat.UI));
            }
 
            if (optimizationBacktest.OutOfSampleMaxEndDate != null)
            {
                writer.WritePropertyName("outOfSampleMaxEndDate");
                writer.WriteValue(optimizationBacktest.OutOfSampleMaxEndDate.ToStringInvariant(DateFormat.UI));
 
                writer.WritePropertyName("outOfSampleDays");
                writer.WriteValue(optimizationBacktest.OutOfSampleDays);
            }
 
            if (!optimizationBacktest.Statistics.IsNullOrEmpty())
            {
                writer.WritePropertyName("statistics");
                writer.WriteStartArray();
                foreach (var keyValuePair in optimizationBacktest.Statistics.OrderBy(pair => pair.Key))
                {
                    switch (keyValuePair.Key)
                    {
                        case PerformanceMetrics.PortfolioTurnover:
                        case PerformanceMetrics.SortinoRatio:
                        case PerformanceMetrics.StartEquity:
                        case PerformanceMetrics.EndEquity:
                            continue;
                    }
                    var statistic = keyValuePair.Value.Replace("%", string.Empty);
                    if (Currencies.TryParse(statistic, out var result))
                    {
                        writer.WriteValue(result);
                    }
                }
                writer.WriteEndArray();
            }
 
            if (optimizationBacktest.ParameterSet != null)
            {
                writer.WritePropertyName("parameterSet");
                serializer.Serialize(writer, optimizationBacktest.ParameterSet.Value);
            }
 
            if (optimizationBacktest.Equity != null)
            {
                writer.WritePropertyName("equity");
 
                var equity = JsonConvert.SerializeObject(optimizationBacktest.Equity.Values);
                writer.WriteRawValue(equity);
            }
 
            writer.WriteEndObject();
        }
 
        /// <summary>
        /// Reads the JSON representation of the object.
        /// </summary>
        /// <param name="reader">The <see cref="T:Newtonsoft.Json.JsonReader"/> to read from.</param>
        /// <param name="objectType">Type of the object.</param>
        /// <param name="existingValue">The existing value of object being read.</param>
        /// <param name="serializer">The calling serializer.</param>
        /// <returns>
        /// The object value.
        /// </returns>
        public override object ReadJson(JsonReader reader, Type objectType, object existingValue, JsonSerializer serializer)
        {
            var jObject = JObject.Load(reader);
 
            var name = jObject["name"].Value<string>();
            var hostName = jObject["hostName"]?.Value<string>();
            var backtestId = jObject["id"].Value<string>();
            var progress = jObject["progress"].Value<decimal>();
            var exitCode = jObject["exitCode"].Value<int>();
 
            var outOfSampleDays = jObject["outOfSampleDays"]?.Value<int>() ?? default;
            var startDate = jObject["startDate"]?.Value<DateTime?>() ?? default;
            var endDate = jObject["endDate"]?.Value<DateTime?>() ?? default;
            var outOfSampleMaxEndDate = jObject["outOfSampleMaxEndDate"]?.Value<DateTime>();
 
            var jStatistics = jObject["statistics"];
            Dictionary<string, string> statistics = default;
            if (jStatistics != null)
            {
                statistics = new Dictionary<string, string>
                {
                    { PerformanceMetrics.Alpha, jStatistics[0].Value<string>() },
                    { PerformanceMetrics.AnnualStandardDeviation, jStatistics[1].Value<string>() },
                    { PerformanceMetrics.AnnualVariance, jStatistics[2].Value<string>() },
                    { PerformanceMetrics.AverageLoss, jStatistics[3].Value<string>() },
                    { PerformanceMetrics.AverageWin, jStatistics[4].Value<string>() },
                    { PerformanceMetrics.Beta, jStatistics[5].Value<string>() },
                    { PerformanceMetrics.CompoundingAnnualReturn, jStatistics[6].Value<string>() },
                    { PerformanceMetrics.Drawdown, jStatistics[7].Value<string>() },
                    { PerformanceMetrics.EstimatedStrategyCapacity, jStatistics[8].Value<string>() },
                    { PerformanceMetrics.Expectancy, jStatistics[9].Value<string>() },
                    { PerformanceMetrics.InformationRatio, jStatistics[10].Value<string>() },
                    { PerformanceMetrics.LossRate, jStatistics[11].Value<string>() },
                    { PerformanceMetrics.NetProfit, jStatistics[12].Value<string>() },
                    { PerformanceMetrics.ProbabilisticSharpeRatio, jStatistics[13].Value<string>() },
                    { PerformanceMetrics.ProfitLossRatio, jStatistics[14].Value<string>() },
                    { PerformanceMetrics.SharpeRatio, jStatistics[15].Value<string>() },
                    // TODO: Add SortinoRatio
                    // TODO: Add StartingEquity
                    // TODO: Add EndingEquity
                    { PerformanceMetrics.TotalFees, jStatistics[16].Value<string>() },
                    { PerformanceMetrics.TotalOrders, jStatistics[17].Value<string>() },
                    { PerformanceMetrics.TrackingError, jStatistics[18].Value<string>() },
                    { PerformanceMetrics.TreynorRatio, jStatistics[19].Value<string>() },
                    { PerformanceMetrics.WinRate, jStatistics[20].Value<string>() },
                };
            }
 
            var parameterSet = serializer.Deserialize<ParameterSet>(jObject["parameterSet"].CreateReader());
 
            var equity = new CandlestickSeries();
            if (jObject["equity"] != null)
            {
                foreach (var point in JsonConvert.DeserializeObject<List<Candlestick>>(jObject["equity"].ToString()))
                {
                    equity.AddPoint(point);
                }
            }
 
            var optimizationBacktest = new OptimizationBacktest(parameterSet, backtestId, name)
            {
                HostName = hostName,
                Progress = progress,
                ExitCode = exitCode,
                Statistics = statistics,
                Equity = equity,
                EndDate = endDate,
                StartDate = startDate,
                OutOfSampleDays = outOfSampleDays,
                OutOfSampleMaxEndDate = outOfSampleMaxEndDate,
            };
 
            return optimizationBacktest;
        }
    }
}