Problem statement: We want to be able to get optimal values for a strategy given a market, an engine and an objective function
TODO: define how the objective function would look like.
Try to do it as generic as possible
Design comments
- Put parameters in the context as in context.parameters, make it a dotdict, and iterate over the variables after initialization to pick types
- Have a way to pass constraints to individiual variables by name
- At first it should be able to use Real number as parameters
As an expansion on a later ticket add more data types like arrays, string enums etc.
Problem statement: We want to be able to get optimal values for a strategy given a market, an engine and an objective function
TODO: define how the objective function would look like.
Try to do it as generic as possible
Design comments
As an expansion on a later ticket add more data types like arrays, string enums etc.