2022-07-29 08:22:36 +00:00
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package cmd
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import (
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"context"
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"encoding/json"
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"fmt"
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"github.com/c9s/bbgo/pkg/data/tsv"
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"github.com/c9s/bbgo/pkg/optimizer"
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"github.com/fatih/color"
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"github.com/spf13/cobra"
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"gopkg.in/yaml.v3"
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"io"
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"io/ioutil"
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"os"
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"time"
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)
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func init() {
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optimizeExCmd.Flags().String("optimizer-config", "optimizer.yaml", "config file")
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optimizeExCmd.Flags().String("name", "", "assign a name to the study")
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optimizeExCmd.Flags().Bool("json-keep-all", false, "keep all results of trials")
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optimizeExCmd.Flags().String("output", "output", "backtest report output directory")
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optimizeExCmd.Flags().Bool("json", false, "print optimizer metrics in json format")
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optimizeExCmd.Flags().Bool("tsv", false, "print optimizer metrics in csv format")
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RootCmd.AddCommand(optimizeExCmd)
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}
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var optimizeExCmd = &cobra.Command{
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Use: "optimizeex",
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Short: "run hyperparameter optimizer (experimental)",
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// SilenceUsage is an option to silence usage when an error occurs.
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SilenceUsage: true,
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RunE: func(cmd *cobra.Command, args []string) error {
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optimizerConfigFilename, err := cmd.Flags().GetString("optimizer-config")
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if err != nil {
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return err
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}
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configFile, err := cmd.Flags().GetString("config")
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if err != nil {
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return err
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}
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studyName, err := cmd.Flags().GetString("name")
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if err != nil {
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return err
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}
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jsonKeepAll, err := cmd.Flags().GetBool("json-keep-all")
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if err != nil {
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return err
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}
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outputDirectory, err := cmd.Flags().GetString("output")
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if err != nil {
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return err
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}
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printJsonFormat, err := cmd.Flags().GetBool("json")
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if err != nil {
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return err
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}
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printTsvFormat, err := cmd.Flags().GetBool("tsv")
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if err != nil {
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return err
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}
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yamlBody, err := ioutil.ReadFile(configFile)
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if err != nil {
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return err
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}
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var obj map[string]interface{}
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if err := yaml.Unmarshal(yamlBody, &obj); err != nil {
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return err
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}
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delete(obj, "notifications")
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delete(obj, "sync")
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optConfig, err := optimizer.LoadConfig(optimizerConfigFilename)
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if err != nil {
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return err
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}
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// the config json template used for patch
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configJson, err := json.MarshalIndent(obj, "", " ")
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if err != nil {
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return err
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}
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ctx, cancel := context.WithCancel(context.Background())
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defer cancel()
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_ = ctx
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if len(studyName) == 0 {
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studyName = fmt.Sprintf("bbgo-hpopt-%v", time.Now().UnixMilli())
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}
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tempDirNameFormat := fmt.Sprintf("%s-config-*", studyName)
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configDir, err := os.MkdirTemp("", tempDirNameFormat)
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if err != nil {
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return err
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}
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executor := &optimizer.LocalProcessExecutor{
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Config: optConfig.Executor.LocalExecutorConfig,
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Bin: os.Args[0],
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WorkDir: ".",
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ConfigDir: configDir,
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OutputDir: outputDirectory,
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}
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optz := &optimizer.HyperparameterOptimizer{
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StudyName: studyName,
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Config: optConfig,
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}
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if err := executor.Prepare(configJson); err != nil {
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return err
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}
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report, err := optz.Run(executor, configJson)
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if err != nil {
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return err
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}
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if printJsonFormat {
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if !jsonKeepAll {
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report.Trials = nil
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}
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out, err := json.MarshalIndent(report, "", " ")
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if err != nil {
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return err
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}
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// print report JSON to stdout
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fmt.Println(string(out))
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} else if printTsvFormat {
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if err := formatResultsTsv(os.Stdout, report.Parameters, report.Trials); err != nil {
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return err
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}
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} else {
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color.Green("OPTIMIZER REPORT")
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color.Green("===============================================\n")
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color.Green("STUDY NAME: %s\n", report.Name)
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color.Green("OPTIMIZE OBJECTIVE: %s\n", report.Objective)
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color.Green("BEST OBJECTIVE VALUE: %s\n", report.Best.Value)
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color.Green("OPTIMAL PARAMETERS:")
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2022-07-30 15:43:40 +00:00
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for _, selectorConfig := range optConfig.Matrix {
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label := selectorConfig.Label
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if val, exist := report.Best.Parameters[label]; exist {
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color.Green(" - %s: %v", label, val)
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} else {
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color.Red(" - %s: (invalid parameter definition)", label)
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}
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2022-07-29 08:22:36 +00:00
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}
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}
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return nil
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},
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}
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func formatResultsTsv(writer io.WriteCloser, labelPaths map[string]string, results []*optimizer.HyperparameterOptimizeTrialResult) error {
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headerLen := len(labelPaths)
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headers := make([]string, 0, headerLen)
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for label := range labelPaths {
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headers = append(headers, label)
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}
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rows := make([][]interface{}, len(labelPaths))
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for ri, result := range results {
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row := make([]interface{}, headerLen)
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for ci, columnKey := range headers {
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var ok bool
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if row[ci], ok = result.Parameters[columnKey]; !ok {
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return fmt.Errorf(`missing parameter "%s" from trial result (%v)`, columnKey, result.Parameters)
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}
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}
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rows[ri] = row
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}
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w := tsv.NewWriter(writer)
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if err := w.Write(headers); err != nil {
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return err
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}
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for _, row := range rows {
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var cells []string
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for _, o := range row {
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cell, err := castCellValue(o)
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if err != nil {
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return err
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}
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cells = append(cells, cell)
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}
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if err := w.Write(cells); err != nil {
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return err
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}
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}
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return w.Close()
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}
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