Program.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 Newtonsoft.Json;
using QuantConnect.Configuration;
using QuantConnect.Logging;
using QuantConnect.Optimizer.Objectives;
using QuantConnect.Optimizer.Parameters;
using QuantConnect.Optimizer.Strategies;
using QuantConnect.Util;
using System;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using System.Threading;
 
namespace QuantConnect.Optimizer.Launcher
{
    public class Program
    {
        public static void Main(string[] args)
        {
            // Parse report arguments and merge with config to use in the optimizer
            if (args.Length > 0)
            {
                Config.MergeCommandLineArgumentsWithConfiguration(OptimizerArgumentParser.ParseArguments(args));
            }
 
            using var endedEvent = new ManualResetEvent(false);
 
            try
            {
                Log.DebuggingEnabled = Config.GetBool("debug-mode");
                Log.FilePath = Path.Combine(Config.Get("results-destination-folder"), "log.txt");
                Log.LogHandler = Composer.Instance.GetExportedValueByTypeName<ILogHandler>(Config.Get("log-handler", "CompositeLogHandler"));
 
                var optimizationStrategyName = Config.Get("optimization-strategy",
                    "QuantConnect.Optimizer.GridSearchOptimizationStrategy");
                var channel = Config.Get("data-channel");
                var optimizationId = Config.Get("optimization-id", Guid.NewGuid().ToString());
                var packet = new OptimizationNodePacket
                {
                    OptimizationId = optimizationId,
                    OptimizationStrategy = optimizationStrategyName,
                    OptimizationStrategySettings = (OptimizationStrategySettings)JsonConvert.DeserializeObject(Config.Get(
                        "optimization-strategy-settings",
                        "{\"$type\":\"QuantConnect.Optimizer.Strategies.OptimizationStrategySettings, QuantConnect.Optimizer\"}"), new JsonSerializerSettings(){TypeNameHandling = TypeNameHandling.All}),
                    Criterion = JsonConvert.DeserializeObject<Target>(Config.Get("optimization-criterion", "{\"target\":\"Statistics.TotalProfit\", \"extremum\": \"max\"}")),
                    Constraints = JsonConvert.DeserializeObject<List<Constraint>>(Config.Get("constraints", "[]")).AsReadOnly(),
                    OptimizationParameters = JsonConvert.DeserializeObject<HashSet<OptimizationParameter>>(Config.Get("parameters", "[]")),
                    MaximumConcurrentBacktests = Config.GetInt("maximum-concurrent-backtests", Math.Max(1, Environment.ProcessorCount / 2)),
                    Channel = channel,
                };
 
                var outOfSampleMaxEndDate = Config.Get("out-of-sample-max-end-date");
                if (!string.IsNullOrEmpty(outOfSampleMaxEndDate))
                {
                    packet.OutOfSampleMaxEndDate = Time.ParseDate(outOfSampleMaxEndDate);
                }
                packet.OutOfSampleDays = Config.GetInt("out-of-sample-days");
 
                var optimizerType = Config.Get("optimization-launcher", typeof(ConsoleLeanOptimizer).Name);
                var optimizer = (LeanOptimizer)Activator.CreateInstance(Composer.Instance.GetExportedTypes<LeanOptimizer>().Single(x => x.Name == optimizerType), packet);
 
                if (Config.GetBool("estimate", false))
                {
                    var backtestsCount = optimizer.GetCurrentEstimate();
                    Log.Trace($"Optimization estimate: {backtestsCount}");
 
                    optimizer.DisposeSafely();
                    endedEvent.Set();
                }
                else
                {
                    optimizer.Start();
 
                    optimizer.Ended += (s, e) =>
                    {
                        optimizer.DisposeSafely();
                        endedEvent.Set();
                    };
                }
            }
            catch (Exception e)
            {
                Log.Error(e);
            }
 
            // Wait until the optimizer has stopped running before exiting
            endedEvent.WaitOne();
        }
    }
}