bbgo_origin/pkg/optimizer/grid.go

253 lines
5.9 KiB
Go
Raw Normal View History

package optimizer
import (
"context"
2022-05-19 17:53:51 +00:00
"encoding/json"
"fmt"
2022-06-29 08:17:43 +00:00
"github.com/cheggaaa/pb/v3"
2022-05-19 12:36:56 +00:00
"sort"
"github.com/evanphx/json-patch/v5"
2022-05-19 12:31:25 +00:00
"github.com/c9s/bbgo/pkg/backtest"
"github.com/c9s/bbgo/pkg/fixedpoint"
)
2022-05-19 12:31:25 +00:00
type MetricValueFunc func(summaryReport *backtest.SummaryReport) fixedpoint.Value
var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
return summaryReport.TotalProfit
}
type Metric struct {
2022-05-19 17:53:51 +00:00
Labels []string `json:"labels,omitempty"`
2022-05-19 12:36:56 +00:00
Params []interface{} `json:"params,omitempty"`
Value fixedpoint.Value `json:"value,omitempty"`
2022-05-19 12:31:25 +00:00
}
func copyParams(params []interface{}) []interface{} {
var c = make([]interface{}, len(params))
copy(c, params)
return c
}
func copyLabels(labels []string) []string {
var c = make([]string, len(labels))
copy(c, labels)
return c
}
type GridOptimizer struct {
Config *Config
2022-05-19 12:31:25 +00:00
2022-05-19 17:53:51 +00:00
ParamLabels []string
2022-05-19 12:31:25 +00:00
CurrentParams []interface{}
}
func (o *GridOptimizer) buildOps() []OpFunc {
var ops []OpFunc
2022-05-19 12:31:25 +00:00
o.CurrentParams = make([]interface{}, len(o.Config.Matrix))
2022-05-19 17:53:51 +00:00
o.ParamLabels = make([]string, len(o.Config.Matrix))
2022-05-19 12:31:25 +00:00
for i, selector := range o.Config.Matrix {
var path = selector.Path
2022-05-19 12:31:25 +00:00
var ii = i // copy variable because we need to use them in the closure
2022-05-19 17:53:51 +00:00
if selector.Label != "" {
o.ParamLabels[ii] = selector.Label
} else {
o.ParamLabels[ii] = selector.Path
}
switch selector.Type {
case "range":
min := selector.Min
max := selector.Max
step := selector.Step
if step.IsZero() {
step = fixedpoint.One
}
2022-05-19 12:31:25 +00:00
var values []fixedpoint.Value
for val := min; val.Compare(max) <= 0; val = val.Add(step) {
values = append(values, val)
}
2022-05-19 12:31:25 +00:00
f := func(configJson []byte, next func(configJson []byte) error) error {
for _, val := range values {
2022-05-19 17:53:51 +00:00
jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": %v }]`, path, val)))
patch, err := jsonpatch.DecodePatch(jsonOp)
if err != nil {
return err
}
log.Debugf("json op: %s", jsonOp)
2022-05-19 12:31:25 +00:00
patchedJson, err := patch.ApplyIndent(configJson, " ")
if err != nil {
return err
}
2022-05-19 12:31:25 +00:00
valCopy := val
o.CurrentParams[ii] = valCopy
if err := next(patchedJson); err != nil {
return err
}
}
return nil
}
ops = append(ops, f)
case "iterate":
values := selector.Values
f := func(configJson []byte, next func(configJson []byte) error) error {
for _, val := range values {
2022-05-19 12:31:25 +00:00
log.Debugf("%d %s: %v of %v", ii, path, val, values)
2022-05-19 17:53:51 +00:00
jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": "%s"}]`, path, val)))
patch, err := jsonpatch.DecodePatch(jsonOp)
if err != nil {
return err
}
log.Debugf("json op: %s", jsonOp)
2022-05-19 12:31:25 +00:00
patchedJson, err := patch.ApplyIndent(configJson, " ")
if err != nil {
return err
}
2022-05-19 12:31:25 +00:00
valCopy := val
o.CurrentParams[ii] = valCopy
if err := next(patchedJson); err != nil {
return err
}
}
return nil
}
ops = append(ops, f)
2022-06-15 04:16:18 +00:00
case "bool":
values := []bool{true, false}
f := func(configJson []byte, next func(configJson []byte) error) error {
for _, val := range values {
log.Debugf("%d %s: %v of %v", ii, path, val, values)
jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": %v}]`, path, val)))
patch, err := jsonpatch.DecodePatch(jsonOp)
if err != nil {
return err
}
log.Debugf("json op: %s", jsonOp)
patchedJson, err := patch.ApplyIndent(configJson, " ")
if err != nil {
return err
}
valCopy := val
o.CurrentParams[ii] = valCopy
if err := next(patchedJson); err != nil {
return err
}
}
return nil
}
ops = append(ops, f)
}
}
return ops
}
func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]Metric, error) {
2022-05-19 12:31:25 +00:00
o.CurrentParams = make([]interface{}, len(o.Config.Matrix))
var valueFunctions = map[string]MetricValueFunc{
"totalProfit": TotalProfitMetricValueFunc,
}
var metrics = map[string][]Metric{}
2022-05-19 17:42:32 +00:00
var ops = o.buildOps()
2022-05-19 12:31:25 +00:00
2022-06-29 08:17:43 +00:00
var taskC = make(chan BacktestTask, 10000)
2022-05-19 12:31:25 +00:00
var app = func(configJson []byte, next func(configJson []byte) error) error {
var labels = copyLabels(o.ParamLabels)
var params = copyParams(o.CurrentParams)
taskC <- BacktestTask{
ConfigJson: configJson,
Params: params,
Labels: labels,
}
2022-05-19 12:31:25 +00:00
return nil
}
log.Debugf("build %d ops", len(ops))
var wrapper = func(configJson []byte) error {
return app(configJson, nil)
}
2022-05-19 12:31:25 +00:00
for i := len(ops) - 1; i >= 0; i-- {
cur := ops[i]
inner := wrapper
wrapper = func(configJson []byte) error {
2022-05-19 12:31:25 +00:00
return cur(configJson, inner)
}
}
ctx := context.Background()
2022-06-29 08:17:43 +00:00
if err := wrapper(configJson); err != nil {
return nil, err
}
2022-06-29 08:17:43 +00:00
bar := pb.Full.Start(len(taskC))
bar.SetTemplateString(`{{ string . "log" | green}} | {{counters . }} {{bar . }} {{percent . }} {{etime . }} {{rtime . "ETA %s"}}`)
resultsC, err := executor.Run(ctx, taskC, bar)
if err != nil {
return nil, err
}
2022-06-29 08:17:43 +00:00
close(taskC) // this will shut down the executor
for result := range resultsC {
for metricName, metricFunc := range valueFunctions {
var metricValue = metricFunc(result.Report)
2022-06-29 08:17:43 +00:00
bar.Set("log", fmt.Sprintf("params: %+v => %s %+v", result.Params, metricName, metricValue))
bar.Increment()
metrics[metricName] = append(metrics[metricName], Metric{
Params: result.Params,
Labels: result.Labels,
Value: metricValue,
})
}
}
2022-06-29 08:17:43 +00:00
bar.Finish()
2022-05-19 12:36:56 +00:00
for n := range metrics {
sort.Slice(metrics[n], func(i, j int) bool {
a := metrics[n][i].Value
b := metrics[n][j].Value
return a.Compare(b) > 0
})
}
2022-05-19 17:42:32 +00:00
return metrics, err
}
2022-05-19 17:53:51 +00:00
func reformatJson(text string) string {
var a interface{}
var err = json.Unmarshal([]byte(text), &a)
if err != nil {
return "{invalid json}"
}
out, _ := json.MarshalIndent(a, "", " ")
return string(out)
}