106 lines
3.2 KiB
Go
106 lines
3.2 KiB
Go
package optimizer
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import (
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"fmt"
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"io/ioutil"
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"strings"
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"gopkg.in/yaml.v3"
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"git.qtrade.icu/lychiyu/bbgo/pkg/fixedpoint"
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)
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const (
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selectorTypeRange = "range" // deprecated: replaced by selectorTypeRangeFloat
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selectorTypeRangeFloat = "rangeFloat"
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selectorTypeRangeInt = "rangeInt"
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selectorTypeIterate = "iterate" // deprecated: replaced by selectorTypeString
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selectorTypeString = "string"
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selectorTypeBool = "bool"
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)
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type SelectorConfig struct {
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Type string `json:"type" yaml:"type"`
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Label string `json:"label,omitempty" yaml:"label,omitempty"`
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Path string `json:"path" yaml:"path"`
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Values []string `json:"values,omitempty" yaml:"values,omitempty"`
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Min fixedpoint.Value `json:"min,omitempty" yaml:"min,omitempty"`
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Max fixedpoint.Value `json:"max,omitempty" yaml:"max,omitempty"`
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Step fixedpoint.Value `json:"step,omitempty" yaml:"step,omitempty"`
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}
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type LocalExecutorConfig struct {
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MaxNumberOfProcesses int `json:"maxNumberOfProcesses" yaml:"maxNumberOfProcesses"`
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}
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type ExecutorConfig struct {
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Type string `json:"type" yaml:"type"`
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LocalExecutorConfig *LocalExecutorConfig `json:"local" yaml:"local"`
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}
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type Config struct {
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Executor *ExecutorConfig `json:"executor" yaml:"executor"`
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MaxThread int `yaml:"maxThread,omitempty"`
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Matrix []SelectorConfig `yaml:"matrix"`
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Algorithm string `yaml:"algorithm,omitempty"`
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Objective string `yaml:"objectiveBy,omitempty"`
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MaxEvaluation int `yaml:"maxEvaluation"`
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}
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var defaultExecutorConfig = &ExecutorConfig{
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Type: "local",
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LocalExecutorConfig: defaultLocalExecutorConfig,
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}
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var defaultLocalExecutorConfig = &LocalExecutorConfig{
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MaxNumberOfProcesses: 10,
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}
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func LoadConfig(yamlConfigFileName string) (*Config, error) {
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configYaml, err := ioutil.ReadFile(yamlConfigFileName)
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if err != nil {
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return nil, err
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}
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var optConfig Config
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if err := yaml.Unmarshal(configYaml, &optConfig); err != nil {
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return nil, err
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}
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switch alg := strings.ToLower(optConfig.Algorithm); alg {
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case "", "default":
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optConfig.Algorithm = HpOptimizerAlgorithmTPE
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case HpOptimizerAlgorithmTPE, HpOptimizerAlgorithmCMAES, HpOptimizerAlgorithmSOBOL, HpOptimizerAlgorithmRandom:
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optConfig.Algorithm = alg
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default:
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return nil, fmt.Errorf(`unknown algorithm "%s"`, optConfig.Algorithm)
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}
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switch objective := strings.ToLower(optConfig.Objective); objective {
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case "", "default":
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optConfig.Objective = HpOptimizerObjectiveEquity
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case HpOptimizerObjectiveEquity, HpOptimizerObjectiveProfit, HpOptimizerObjectiveVolume, HpOptimizerObjectiveProfitFactor:
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optConfig.Objective = objective
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default:
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return nil, fmt.Errorf(`unknown objective "%s"`, optConfig.Objective)
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}
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if optConfig.MaxEvaluation <= 0 {
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optConfig.MaxEvaluation = 100
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}
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if optConfig.Executor == nil {
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optConfig.Executor = defaultExecutorConfig
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}
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if optConfig.Executor.Type == "" {
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optConfig.Executor.Type = "local"
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}
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if optConfig.Executor.Type == "local" && optConfig.Executor.LocalExecutorConfig == nil {
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optConfig.Executor.LocalExecutorConfig = defaultLocalExecutorConfig
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}
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return &optConfig, nil
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}
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