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https://github.com/c9s/bbgo.git
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implement json patch for optimizer
This commit is contained in:
c9s
parent
75dd07d818
commit
32ce36fda7
1
go.mod
1
go.mod
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@ -57,6 +57,7 @@ require (
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github.com/davecgh/go-spew v1.1.1 // indirect
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github.com/denisenkom/go-mssqldb v0.12.0 // indirect
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github.com/dgryski/go-rendezvous v0.0.0-20200823014737-9f7001d12a5f // indirect
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github.com/evanphx/json-patch/v5 v5.6.0 // indirect
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github.com/fastly/go-utils v0.0.0-20180712184237-d95a45783239 // indirect
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github.com/fsnotify/fsnotify v1.4.9 // indirect
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github.com/gin-contrib/sse v0.1.0 // indirect
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3
go.sum
3
go.sum
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@ -112,6 +112,8 @@ github.com/envoyproxy/go-control-plane v0.9.4/go.mod h1:6rpuAdCZL397s3pYoYcLgu1m
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github.com/envoyproxy/go-control-plane v0.9.9-0.20201210154907-fd9021fe5dad/go.mod h1:cXg6YxExXjJnVBQHBLXeUAgxn2UodCpnH306RInaBQk=
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github.com/envoyproxy/go-control-plane v0.9.10-0.20210907150352-cf90f659a021/go.mod h1:AFq3mo9L8Lqqiid3OhADV3RfLJnjiw63cSpi+fDTRC0=
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github.com/envoyproxy/protoc-gen-validate v0.1.0/go.mod h1:iSmxcyjqTsJpI2R4NaDN7+kN2VEUnK/pcBlmesArF7c=
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github.com/evanphx/json-patch/v5 v5.6.0 h1:b91NhWfaz02IuVxO9faSllyAtNXHMPkC5J8sJCLunww=
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github.com/evanphx/json-patch/v5 v5.6.0/go.mod h1:G79N1coSVB93tBe7j6PhzjmR3/2VvlbKOFpnXhI9Bw4=
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github.com/fastly/go-utils v0.0.0-20180712184237-d95a45783239 h1:Ghm4eQYC0nEPnSJdVkTrXpu9KtoVCSo1hg7mtI7G9KU=
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github.com/fastly/go-utils v0.0.0-20180712184237-d95a45783239/go.mod h1:Gdwt2ce0yfBxPvZrHkprdPPTTS3N5rwmLE8T22KBXlw=
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github.com/fatih/camelcase v1.0.0/go.mod h1:yN2Sb0lFhZJUdVvtELVWefmrXpuZESvPmqwoZc+/fpc=
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@ -265,6 +267,7 @@ github.com/inconshreveable/mousetrap v1.0.0 h1:Z8tu5sraLXCXIcARxBp/8cbvlwVa7Z1NH
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github.com/inconshreveable/mousetrap v1.0.0/go.mod h1:PxqpIevigyE2G7u3NXJIT2ANytuPF1OarO4DADm73n8=
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github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 h1:IPJ3dvxmJ4uczJe5YQdrYB16oTJlGSC/OyZDqUk9xX4=
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github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869/go.mod h1:cJ6Cj7dQo+O6GJNiMx+Pa94qKj+TG8ONdKHgMNIyyag=
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github.com/jessevdk/go-flags v1.4.0/go.mod h1:4FA24M0QyGHXBuZZK/XkWh8h0e1EYbRYJSGM75WSRxI=
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github.com/jmoiron/sqlx v1.3.4 h1:wv+0IJZfL5z0uZoUjlpKgHkgaFSYD+r9CfrXjEXsO7w=
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github.com/jmoiron/sqlx v1.3.4/go.mod h1:2BljVx/86SuTyjE+aPYlHCTNvZrnJXghYGpNiXLBMCQ=
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github.com/joho/godotenv v1.3.0 h1:Zjp+RcGpHhGlrMbJzXTrZZPrWj+1vfm90La1wgB6Bhc=
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171
pkg/cmd/optimize.go
Normal file
171
pkg/cmd/optimize.go
Normal file
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@ -0,0 +1,171 @@
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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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"io/ioutil"
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"os"
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jsonpatch "github.com/evanphx/json-patch/v5"
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log "github.com/sirupsen/logrus"
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"github.com/spf13/cobra"
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"gopkg.in/yaml.v3"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/optimizer"
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)
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func init() {
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optimizeCmd.Flags().String("optimizer-config", "optimizer.yaml", "config file")
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RootCmd.AddCommand(optimizeCmd)
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}
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var optimizeCmd = &cobra.Command{
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Use: "optimize",
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Short: "run optimizer",
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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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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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log.Info(string(configJson))
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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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log.Info(os.Args)
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binary := os.Args[0]
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_ = binary
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type OpFunc func(configJson []byte, next func(configJson []byte) error) error
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var ops []OpFunc
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for _, selector := range optConfig.Matrix {
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path := selector.Path
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switch selector.Type {
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case "range":
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min := selector.Min
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max := selector.Max
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step := selector.Step
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if step.IsZero() {
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step = fixedpoint.One
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}
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f := func(configJson []byte, next func(configJson []byte) error) error {
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var values []fixedpoint.Value
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for val := min; val.Compare(max) < 0; val = val.Add(step) {
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values = append(values, val)
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}
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log.Infof("ranged values: %v", values)
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for _, val := range values {
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jsonOp := []byte(fmt.Sprintf(`[ {"op": "replace", "path": "%s", "value": %v } ]`, path, val))
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patch, err := jsonpatch.DecodePatch(jsonOp)
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if err != nil {
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return err
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}
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log.Debugf("json op: %s", jsonOp)
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configJson, err := patch.ApplyIndent(configJson, " ")
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if err != nil {
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return err
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}
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if err := next(configJson); err != nil {
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return err
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}
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}
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return nil
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}
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ops = append(ops, f)
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case "iterate":
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values := selector.Values
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f := func(configJson []byte, next func(configJson []byte) error) error {
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log.Infof("iterate values: %v", values)
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for _, val := range values {
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jsonOp := []byte(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": "%s"}]`, path, val))
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patch, err := jsonpatch.DecodePatch(jsonOp)
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if err != nil {
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return err
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}
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log.Debugf("json op: %s", jsonOp)
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configJson, err := patch.ApplyIndent(configJson, " ")
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if err != nil {
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return err
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}
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if err := next(configJson); err != nil {
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return err
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}
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}
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return nil
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}
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ops = append(ops, f)
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}
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}
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var last = func(configJson []byte, next func(configJson []byte) error) error {
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log.Info("configJson", string(configJson))
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return nil
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}
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ops = append(ops, last)
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log.Infof("%d ops: %v", len(ops), ops)
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var wrapper = func(configJson []byte) error { return nil }
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for i := len(ops) - 1; i > 0; i-- {
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next := ops[i]
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cur := ops[i-1]
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inner := wrapper
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a := i
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wrapper = func(configJson []byte) error {
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log.Infof("wrapper fn #%d", a)
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return cur(configJson, func(configJson []byte) error {
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return next(configJson, inner)
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})
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}
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}
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return wrapper(configJson)
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},
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}
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36
pkg/optimizer/config.go
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36
pkg/optimizer/config.go
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@ -0,0 +1,36 @@
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package optimizer
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import (
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"io/ioutil"
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"gopkg.in/yaml.v3"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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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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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 Config struct {
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Matrix []SelectorConfig `yaml:"matrix"`
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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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return &optConfig, nil
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}
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