From 67f8b1c32cfe1118782c9785fc37d55350d01c52 Mon Sep 17 00:00:00 2001 From: Raphanus Lo Date: Fri, 29 Jul 2022 16:22:36 +0800 Subject: [PATCH] optimizeex: hyperparameter optimization tool Currently support the following search algorithms: - Tree-structured Parzen Estimators (tpe, default) - Covariance Matrix Adaptation Evolution Strategy (cmaes) - Quasi-monte carlo sampling based on Sobol sequence (sobol) - random search (random) And the following objective function: - profit - volume - equity --- config/optimizer-hyperparam-search.yaml | 45 +++++ go.mod | 4 +- go.sum | 170 ++++++++++++++++ pkg/cmd/optimizeex.go | 198 ++++++++++++++++++ pkg/optimizer/config.go | 33 ++- pkg/optimizer/hpoptimizer.go | 257 ++++++++++++++++++++++++ pkg/optimizer/hyperparam.go | 73 +++++++ pkg/optimizer/local.go | 26 ++- 8 files changed, 793 insertions(+), 13 deletions(-) create mode 100644 config/optimizer-hyperparam-search.yaml create mode 100644 pkg/cmd/optimizeex.go create mode 100644 pkg/optimizer/hpoptimizer.go create mode 100644 pkg/optimizer/hyperparam.go diff --git a/config/optimizer-hyperparam-search.yaml b/config/optimizer-hyperparam-search.yaml new file mode 100644 index 000000000..62d277e41 --- /dev/null +++ b/config/optimizer-hyperparam-search.yaml @@ -0,0 +1,45 @@ +# usage: +# +# go run ./cmd/bbgo optimizeex --config bollmaker_ethusdt.yaml --optimizer-config optimizer-hyperparam-search.yaml +# +--- +# The search algorithm. Supports the following algorithms: +# - tpe: (default) Tree-structured Parzen Estimators +# - cmaes: Covariance Matrix Adaptation Evolution Strategy +# - sobol: Quasi-monte carlo sampling based on Sobol sequence +# - random: random search +# Reference: https://c-bata.medium.com/practical-bayesian-optimization-in-go-using-goptuna-edf97195fcb5 +algorithm: tpe + +# The objective function to be maximized. Possible options are: +# - profit: by trading profit +# - volume: by trading volume +# - equity: by equity difference +objectiveBy: equity + +# Maximum number of search evaluations. +maxEvaluation: 1000 + +executor: + type: local + local: + maxNumberOfProcesses: 10 + +matrix: +- type: string # alias: iterate + path: '/exchangeStrategies/0/bollmaker/interval' + values: ["1m", "5m"] + +- type: rangeInt + label: window + path: '/exchangeStrategies/0/bollmaker/defaultBollinger/window' + min: 12 + max: 240 + +- type: rangeFloat # alias: range + path: '/exchangeStrategies/0/bollmaker/spread' + min: 0.001 + max: 0.002 + +- type: bool + path: '/exchangeStrategies/0/bollmaker/buyBelowNeutralSMA' \ No newline at end of file diff --git a/go.mod b/go.mod index 777a3464d..f47f5b63b 100644 --- a/go.mod +++ b/go.mod @@ -8,6 +8,7 @@ require ( github.com/DATA-DOG/go-sqlmock v1.5.0 github.com/Masterminds/squirrel v1.5.3 github.com/adshao/go-binance/v2 v2.3.5 + github.com/c-bata/goptuna v0.8.1 github.com/c9s/requestgen v1.3.0 github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b github.com/cheggaaa/pb/v3 v3.0.8 @@ -48,8 +49,9 @@ require ( github.com/x-cray/logrus-prefixed-formatter v0.5.2 github.com/zserge/lorca v0.1.9 go.uber.org/multierr v1.7.0 + golang.org/x/sync v0.0.0-20210220032951-036812b2e83c golang.org/x/time v0.0.0-20201208040808-7e3f01d25324 - gonum.org/v1/gonum v0.8.1 + gonum.org/v1/gonum v0.8.2 google.golang.org/grpc v1.45.0 google.golang.org/protobuf v1.28.0 gopkg.in/tucnak/telebot.v2 v2.5.0 diff --git a/go.sum b/go.sum index 01b2cdcaa..4effe7aca 100644 --- a/go.sum +++ b/go.sum @@ -43,6 +43,7 @@ github.com/DATA-DOG/go-sqlmock v1.5.0/go.mod h1:f/Ixk793poVmq4qj/V1dPUg2JEAKC73Q github.com/Masterminds/squirrel v1.5.3 h1:YPpoceAcxuzIljlr5iWpNKaql7hLeG1KLSrhvdHpkZc= github.com/Masterminds/squirrel v1.5.3/go.mod h1:NNaOrjSoIDfDA40n7sr2tPNZRfjzjA400rg+riTZj10= github.com/OneOfOne/xxhash v1.2.2/go.mod h1:HSdplMjZKSmBqAxg5vPj2TmRDmfkzw+cTzAElWljhcU= +github.com/PuerkitoBio/goquery v1.5.1/go.mod h1:GsLWisAFVj4WgDibEWF4pvYnkVQBpKBKeU+7zCJoLcc= github.com/VividCortex/ewma v1.1.1 h1:MnEK4VOv6n0RSY4vtRe3h11qjxL3+t0B8yOL8iMXdcM= github.com/VividCortex/ewma v1.1.1/go.mod h1:2Tkkvm3sRDVXaiyucHiACn4cqf7DpdyLvmxzcbUokwA= github.com/adshao/go-binance/v2 v2.3.5 h1:WVYZecm0w8l14YoWlnKZj6xxZT2AKMTHpMQSqIX1xxA= @@ -53,10 +54,14 @@ github.com/alecthomas/template v0.0.0-20190718012654-fb15b899a751/go.mod h1:LOuy github.com/alecthomas/units v0.0.0-20151022065526-2efee857e7cf/go.mod h1:ybxpYRFXyAe+OPACYpWeL0wqObRcbAqCMya13uyzqw0= github.com/alecthomas/units v0.0.0-20190717042225-c3de453c63f4/go.mod h1:ybxpYRFXyAe+OPACYpWeL0wqObRcbAqCMya13uyzqw0= github.com/alecthomas/units v0.0.0-20190924025748-f65c72e2690d/go.mod h1:rBZYJk541a8SKzHPHnH3zbiI+7dagKZ0cgpgrD7Fyho= +github.com/andybalholm/cascadia v1.1.0/go.mod h1:GsXiBklL0woXo1j/WYWtSYYC4ouU9PqHO0sqidkEA4Y= github.com/antihax/optional v1.0.0/go.mod h1:uupD/76wgC+ih3iEmQUL+0Ugr19nfwCT1kdvxnR2qWY= +github.com/apache/arrow/go/arrow v0.0.0-20201229220542-30ce2eb5d4dc/go.mod h1:c9sxoIT3YgLxH4UhLOCKaBlEojuMhVYpk4Ntv3opUTQ= github.com/armon/circbuf v0.0.0-20150827004946-bbbad097214e/go.mod h1:3U/XgcO3hCbHZ8TKRvWD2dDTCfh9M9ya+I9JpbB7O8o= github.com/armon/go-metrics v0.0.0-20180917152333-f0300d1749da/go.mod h1:Q73ZrmVTwzkszR9V5SSuryQ31EELlFMUz1kKyl939pY= github.com/armon/go-radix v0.0.0-20180808171621-7fddfc383310/go.mod h1:ufUuZ+zHj4x4TnLV4JWEpy2hxWSpsRywHrMgIH9cCH8= +github.com/awalterschulze/gographviz v0.0.0-20190221210632-1e9ccb565bca/go.mod h1:GEV5wmg4YquNw7v1kkyoX9etIk8yVmXj+AkDHuuETHs= +github.com/awalterschulze/gographviz v2.0.3+incompatible/go.mod h1:GEV5wmg4YquNw7v1kkyoX9etIk8yVmXj+AkDHuuETHs= github.com/beorn7/perks v0.0.0-20180321164747-3a771d992973/go.mod h1:Dwedo/Wpr24TaqPxmxbtue+5NUziq4I4S80YR8gNf3Q= github.com/beorn7/perks v1.0.0/go.mod h1:KWe93zE9D1o94FZ5RNwFwVgaQK1VOXiVxmqh+CedLV8= github.com/beorn7/perks v1.0.1 h1:VlbKKnNfV8bJzeqoa4cOKqO6bYr3WgKZxO8Z16+hsOM= @@ -69,6 +74,8 @@ github.com/bmizerany/assert v0.0.0-20160611221934-b7ed37b82869 h1:DDGfHa7BWjL4Yn github.com/bmizerany/assert v0.0.0-20160611221934-b7ed37b82869/go.mod h1:Ekp36dRnpXw/yCqJaO+ZrUyxD+3VXMFFr56k5XYrpB4= github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc h1:biVzkmvwrH8WK8raXaxBx6fRVTlJILwEwQGL1I/ByEI= github.com/boombuler/barcode v1.0.1-0.20190219062509-6c824513bacc/go.mod h1:paBWMcWSl3LHKBqUq+rly7CNSldXjb2rDl3JlRe0mD8= +github.com/c-bata/goptuna v0.8.1 h1:25+n1MLv0yvCsD56xv4nqIus3oLHL9GuPAZDLIqmX1U= +github.com/c-bata/goptuna v0.8.1/go.mod h1:knmS8+Iyq5PPy1YUeIEq0pMFR4Y6x7z/CySc9HlZTCY= github.com/c9s/requestgen v1.3.0 h1:3cTHvWIlrc37nGEdJLIO07XaVidDeOwcew06csBz++U= github.com/c9s/requestgen v1.3.0/go.mod h1:5n9FU3hr5307IiXAmbMiZbHYaPiys1u9jCWYexZr9qA= github.com/c9s/rockhopper v1.2.2-0.20220617053729-ffdc87df194b h1:wT8c03PHLv7+nZUIGqxAzRvIfYHNxMCNVWwvdGkOXTs= @@ -81,10 +88,14 @@ github.com/cespare/xxhash/v2 v2.1.2 h1:YRXhKfTDauu4ajMg1TPgFO5jnlC2HCbmLXMcTG5cb github.com/cespare/xxhash/v2 v2.1.2/go.mod h1:VGX0DQ3Q6kWi7AoAeZDth3/j3BFtOZR5XLFGgcrjCOs= github.com/cheggaaa/pb/v3 v3.0.8 h1:bC8oemdChbke2FHIIGy9mn4DPJ2caZYQnfbRqwmdCoA= github.com/cheggaaa/pb/v3 v3.0.8/go.mod h1:UICbiLec/XO6Hw6k+BHEtHeQFzzBH4i2/qk/ow1EJTA= +github.com/chewxy/hm v1.0.0/go.mod h1:qg9YI4q6Fkj/whwHR1D+bOGeF7SniIP40VweVepLjg0= +github.com/chewxy/math32 v1.0.0/go.mod h1:Miac6hA1ohdDUTagnvJy/q+aNnEk16qWUdb8ZVhvCN0= +github.com/chewxy/math32 v1.0.6/go.mod h1:dOB2rcuFrCn6UHrze36WSLVPKtzPMRAQvBvUwkSsLqs= github.com/chzyer/logex v1.1.10/go.mod h1:+Ywpsq7O8HXn0nuIou7OrIPyXbp3wmkHB+jjWRnGsAI= github.com/chzyer/readline v0.0.0-20180603132655-2972be24d48e/go.mod h1:nSuG5e5PlCu98SY8svDHJxuZscDgtXS6KTTbou5AhLI= github.com/chzyer/test v0.0.0-20180213035817-a1ea475d72b1/go.mod h1:Q3SI9o4m/ZMnBNeIyt5eFwwo7qiLfzFZmjNmxjkiQlU= github.com/client9/misspell v0.3.4/go.mod h1:qj6jICC3Q7zFZvVWo7KLAzC3yx5G7kyvSDkc90ppPyw= +github.com/cloudflare/cfssl v0.0.0-20190808011637-b1ec8c586c2a/go.mod h1:yMWuSON2oQp+43nFtAV/uvKQIFpSPerB57DCt9t8sSA= github.com/cncf/udpa/go v0.0.0-20191209042840-269d4d468f6f/go.mod h1:M8M6+tZqaGXZJjfX53e64911xZQV5JYwmTeXPW+k8Sc= github.com/cncf/udpa/go v0.0.0-20201120205902-5459f2c99403/go.mod h1:WmhPx2Nbnhtbo57+VJT5O0JRkEi1Wbu0z5j0R8u5Hbk= github.com/cncf/udpa/go v0.0.0-20210930031921-04548b0d99d4/go.mod h1:6pvJx4me5XPnfI9Z40ddWsdw2W/uZgQLFXToKeRcDiI= @@ -99,12 +110,20 @@ github.com/coreos/bbolt v1.3.2/go.mod h1:iRUV2dpdMOn7Bo10OQBFzIJO9kkE559Wcmn+qkE github.com/coreos/etcd v3.3.13+incompatible/go.mod h1:uF7uidLiAD3TWHmW31ZFd/JWoc32PjwdhPthX9715RE= github.com/coreos/go-semver v0.3.0/go.mod h1:nnelYz7RCh+5ahJtPPxZlU+153eP4D4r3EedlOD2RNk= github.com/coreos/go-systemd v0.0.0-20190321100706-95778dfbb74e/go.mod h1:F5haX7vjVVG0kc13fIWeqUViNPyEJxv/OmvnBo0Yme4= +github.com/coreos/go-systemd v0.0.0-20190719114852-fd7a80b32e1f/go.mod h1:F5haX7vjVVG0kc13fIWeqUViNPyEJxv/OmvnBo0Yme4= github.com/coreos/pkg v0.0.0-20180928190104-399ea9e2e55f/go.mod h1:E3G3o1h8I7cfcXa63jLwjI0eiQQMgzzUDFVpN/nH/eA= github.com/cpuguy83/go-md2man/v2 v2.0.0 h1:EoUDS0afbrsXAZ9YQ9jdu/mZ2sXgT1/2yyNng4PGlyM= github.com/cpuguy83/go-md2man/v2 v2.0.0/go.mod h1:maD7wRr/U5Z6m/iR4s+kqSMx2CaBsrgA7czyZG/E6dU= +github.com/creack/pty v1.1.7/go.mod h1:lj5s0c3V2DBrqTV7llrYr5NG6My20zk30Fl46Y7DoTY= +github.com/cznic/cc v0.0.0-20181122101902-d673e9b70d4d/go.mod h1:m3fD/V+XTB35Kh9zw6dzjMY+We0Q7PMf6LLIC4vuG9k= +github.com/cznic/golex v0.0.0-20181122101858-9c343928389c/go.mod h1:+bmmJDNmKlhWNG+gwWCkaBoTy39Fs+bzRxVBzoTQbIc= +github.com/cznic/mathutil v0.0.0-20181122101859-297441e03548/go.mod h1:e6NPNENfs9mPDVNRekM7lKScauxd5kXTr1Mfyig6TDM= +github.com/cznic/strutil v0.0.0-20181122101858-275e90344537/go.mod h1:AHHPPPXTw0h6pVabbcbyGRK1DckRn7r/STdZEeIDzZc= +github.com/cznic/xc v0.0.0-20181122101856-45b06973881e/go.mod h1:3oFoiOvCDBYH+swwf5+k/woVmWy7h1Fcyu8Qig/jjX0= github.com/davecgh/go-spew v1.1.0/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38= github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c= github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38= +github.com/denisenkom/go-mssqldb v0.0.0-20191124224453-732737034ffd/go.mod h1:xbL0rPBG9cCiLr28tMa8zpbdarY27NDyej4t/EjAShU= github.com/denisenkom/go-mssqldb v0.9.0/go.mod h1:xbL0rPBG9cCiLr28tMa8zpbdarY27NDyej4t/EjAShU= github.com/denisenkom/go-mssqldb v0.12.2 h1:1OcPn5GBIobjWNd+8yjfHNIaFX14B1pWI3F9HZy5KXw= github.com/denisenkom/go-mssqldb v0.12.2/go.mod h1:lnIw1mZukFRZDJYQ0Pb833QS2IaC3l5HkEfra2LJ+sk= @@ -119,6 +138,7 @@ github.com/envoyproxy/go-control-plane v0.9.4/go.mod h1:6rpuAdCZL397s3pYoYcLgu1m github.com/envoyproxy/go-control-plane v0.9.9-0.20201210154907-fd9021fe5dad/go.mod h1:cXg6YxExXjJnVBQHBLXeUAgxn2UodCpnH306RInaBQk= github.com/envoyproxy/go-control-plane v0.9.10-0.20210907150352-cf90f659a021/go.mod h1:AFq3mo9L8Lqqiid3OhADV3RfLJnjiw63cSpi+fDTRC0= github.com/envoyproxy/protoc-gen-validate v0.1.0/go.mod h1:iSmxcyjqTsJpI2R4NaDN7+kN2VEUnK/pcBlmesArF7c= +github.com/erikstmartin/go-testdb v0.0.0-20160219214506-8d10e4a1bae5/go.mod h1:a2zkGnVExMxdzMo3M0Hi/3sEU+cWnZpSni0O6/Yb/P0= github.com/evanphx/json-patch/v5 v5.6.0 h1:b91NhWfaz02IuVxO9faSllyAtNXHMPkC5J8sJCLunww= github.com/evanphx/json-patch/v5 v5.6.0/go.mod h1:G79N1coSVB93tBe7j6PhzjmR3/2VvlbKOFpnXhI9Bw4= github.com/fastly/go-utils v0.0.0-20180712184237-d95a45783239 h1:Ghm4eQYC0nEPnSJdVkTrXpu9KtoVCSo1hg7mtI7G9KU= @@ -147,6 +167,7 @@ github.com/gin-gonic/gin v1.7.0/go.mod h1:jD2toBW3GZUr5UMcdrwQA10I7RuaFOl/SGeDjX github.com/go-gl/glfw v0.0.0-20190409004039-e6da0acd62b1/go.mod h1:vR7hzQXu2zJy9AVAgeJqvqgH9Q5CA+iKCZ2gyEVpxRU= github.com/go-gl/glfw/v3.3/glfw v0.0.0-20191125211704-12ad95a8df72/go.mod h1:tQ2UAYgL5IevRw8kRxooKSPJfGvJ9fJQFa0TUsXzTg8= github.com/go-gl/glfw/v3.3/glfw v0.0.0-20200222043503-6f7a984d4dc4/go.mod h1:tQ2UAYgL5IevRw8kRxooKSPJfGvJ9fJQFa0TUsXzTg8= +github.com/go-gota/gota v0.10.1/go.mod h1:NZLQccXn0rABmkXjsaugRY6l+UH2dDZSgIgF8E2ipmA= github.com/go-kit/kit v0.8.0/go.mod h1:xBxKIO96dXMWWy0MnWVtmwkA9/13aqxPnvrjFYMA2as= github.com/go-kit/kit v0.9.0/go.mod h1:xBxKIO96dXMWWy0MnWVtmwkA9/13aqxPnvrjFYMA2as= github.com/go-kit/log v0.1.0/go.mod h1:zbhenjAZHb184qTLMA9ZjW7ThYL0H2mk7Q6pNt4vbaY= @@ -175,8 +196,10 @@ github.com/go-test/deep v1.0.6 h1:UHSEyLZUwX9Qoi99vVwvewiMC8mM2bf7XEM2nqvzEn8= github.com/go-test/deep v1.0.6/go.mod h1:QV8Hv/iy04NyLBxAdO9njL0iVPN1S4d/A3NVv1V36o8= github.com/gofrs/flock v0.8.1 h1:+gYjHKf32LDeiEEFhQaotPbLuUXjY5ZqxKgXy7n59aw= github.com/gofrs/flock v0.8.1/go.mod h1:F1TvTiK9OcQqauNUHlbJvyl9Qa1QvF/gOUDKA14jxHU= +github.com/gofrs/uuid v3.2.0+incompatible/go.mod h1:b2aQJv3Z4Fp6yNu3cdSllBxTCLRxnplIgP/c0N/04lM= github.com/gogo/protobuf v1.1.1/go.mod h1:r8qH/GZQm5c6nD/R0oafs1akxWv10x8SbQlK7atdtwQ= github.com/gogo/protobuf v1.2.1/go.mod h1:hp+jE20tsWTFYpLwKvXlhS1hjn+gTNwPg2I6zVXpSg4= +github.com/gogo/protobuf v1.3.1/go.mod h1:SlYgWuQ5SjCEi6WLHjHCa1yvBfUnHcTbrrZtXPKa29o= github.com/golang-sql/civil v0.0.0-20190719163853-cb61b32ac6fe/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0= github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9 h1:au07oEsX2xN0ktxqI+Sida1w446QrXBRJ0nee3SNZlA= github.com/golang-sql/civil v0.0.0-20220223132316-b832511892a9/go.mod h1:8vg3r2VgvsThLBIFL93Qb5yWzgyZWhEmBwUJWevAkK0= @@ -200,6 +223,7 @@ github.com/golang/mock v1.4.4/go.mod h1:l3mdAwkq5BuhzHwde/uurv3sEJeZMXNpwsxVWU71 github.com/golang/mock v1.6.0 h1:ErTB+efbowRARo13NNdxyJji2egdxLGQhRaY+DUumQc= github.com/golang/mock v1.6.0/go.mod h1:p6yTPP+5HYm5mzsMV8JkE6ZKdX+/wYM6Hr+LicevLPs= github.com/golang/protobuf v1.2.0/go.mod h1:6lQm79b+lXiMfvg/cZm0SGofjICqVBUtrP5yJMmIC1U= +github.com/golang/protobuf v1.3.0/go.mod h1:Qd/q+1AKNOZr9uGQzbzCmRO6sUih6GTPZv6a1/R87v0= github.com/golang/protobuf v1.3.1/go.mod h1:6lQm79b+lXiMfvg/cZm0SGofjICqVBUtrP5yJMmIC1U= github.com/golang/protobuf v1.3.2/go.mod 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github.com/prometheus/procfs v0.6.0/go.mod h1:cz+aTbrPOrUb4q7XlbU9ygM+/jj0fzG6c1 github.com/prometheus/procfs v0.7.3 h1:4jVXhlkAyzOScmCkXBTOLRLTz8EeU+eyjrwB/EPq0VU= github.com/prometheus/procfs v0.7.3/go.mod h1:cz+aTbrPOrUb4q7XlbU9ygM+/jj0fzG6c1xBZuNvfVA= github.com/prometheus/tsdb v0.7.1/go.mod h1:qhTCs0VvXwvX/y3TZrWD7rabWM+ijKTux40TwIPHuXU= +github.com/rakyll/statik v0.1.7/go.mod h1:AlZONWzMtEnMs7W4e/1LURLiI49pIMmp6V9Unghqrcc= +github.com/remyoudompheng/bigfft v0.0.0-20190728182440-6a916e37a237/go.mod h1:qqbHyh8v60DhA7CoWK5oRCqLrMHRGoxYCSS9EjAz6Eo= github.com/rifflock/lfshook v0.0.0-20180920164130-b9218ef580f5 h1:mZHayPoR0lNmnHyvtYjDeq0zlVHn9K/ZXoy17ylucdo= github.com/rifflock/lfshook v0.0.0-20180920164130-b9218ef580f5/go.mod h1:GEXHk5HgEKCvEIIrSpFI3ozzG5xOKA2DVlEX/gGnewM= github.com/rivo/uniseg v0.1.0/go.mod h1:J6wj4VEh+S6ZtnVlnTBMWIodfgj8LQOQFoIToxlJtxc= @@ -452,18 +547,24 @@ github.com/robfig/cron/v3 v3.0.0/go.mod h1:eQICP3HwyT7UooqI/z+Ov+PtYAWygg1TEWWzG 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github.com/yuin/goldmark v1.2.1/go.mod h1:3hX8gzYuyVAZsxl0MRgGTJEmQBFcNTphYh9decYSb74= github.com/yuin/goldmark v1.3.5/go.mod h1:mwnBkeHKe2W/ZEtQ+71ViKU8L12m81fl3OWwC1Zlc8k= github.com/yuin/goldmark v1.4.1/go.mod h1:mwnBkeHKe2W/ZEtQ+71ViKU8L12m81fl3OWwC1Zlc8k= +github.com/zenazn/goji v0.9.0/go.mod h1:7S9M489iMyHBNxwZnk9/EHS098H4/F6TATF2mIxtB1Q= github.com/ziutek/mymysql v1.5.4 h1:GB0qdRGsTwQSBVYuVShFBKaXSnSnYYC2d9knnE1LHFs= github.com/ziutek/mymysql v1.5.4/go.mod h1:LMSpPZ6DbqWFxNCHW77HeMg9I646SAhApZ/wKdgO/C0= github.com/zserge/lorca v0.1.9 h1:vbDdkqdp2/rmeg8GlyCewY2X8Z+b0s7BqWyIQL/gakc= @@ -549,22 +655,32 @@ go.opentelemetry.io/otel/oteltest v0.19.0/go.mod h1:tI4yxwh8U21v7JD6R3BcA/2+RBoT go.opentelemetry.io/otel/trace v0.19.0 h1:1ucYlenXIDA1OlHVLDZKX0ObXV5RLaq06DtUKz5e5zc= go.opentelemetry.io/otel/trace v0.19.0/go.mod h1:4IXiNextNOpPnRlI4ryK69mn5iC84bjBWZQA5DXz/qg= go.opentelemetry.io/proto/otlp v0.7.0/go.mod h1:PqfVotwruBrMGOCsRd/89rSnXhoiJIqeYNgFYFoEGnI= +go.uber.org/atomic v1.3.2/go.mod h1:gD2HeocX3+yG+ygLZcrzQJaqmWj9AIm7n08wl/qW/PE= go.uber.org/atomic v1.4.0/go.mod h1:gD2HeocX3+yG+ygLZcrzQJaqmWj9AIm7n08wl/qW/PE= +go.uber.org/atomic v1.6.0/go.mod h1:sABNBOSYdrvTF6hTgEIbc7YasKWGhgEQZyfxyTvoXHQ= go.uber.org/atomic v1.7.0/go.mod h1:fEN4uk6kAWBTFdckzkM89CLk9XfWZrxpCo0nPH17wJc= go.uber.org/atomic v1.9.0 h1:ECmE8Bn/WFTYwEW/bpKD3M8VtR/zQVbavAoalC1PYyE= go.uber.org/atomic v1.9.0/go.mod h1:fEN4uk6kAWBTFdckzkM89CLk9XfWZrxpCo0nPH17wJc= go.uber.org/multierr v1.1.0/go.mod h1:wR5kodmAFQ0UK8QlbwjlSNy0Z68gJhDJUG5sjR94q/0= +go.uber.org/multierr v1.5.0/go.mod h1:FeouvMocqHpRaaGuG9EjoKcStLC43Zu/fmqdUMPcKYU= go.uber.org/multierr v1.7.0 h1:zaiO/rmgFjbmCXdSYJWQcdvOCsthmdaHfr3Gm2Kx4Ec= go.uber.org/multierr v1.7.0/go.mod h1:7EAYxJLBy9rStEaz58O2t4Uvip6FSURkq8/ppBp95ak= +go.uber.org/tools v0.0.0-20190618225709-2cfd321de3ee/go.mod h1:vJERXedbb3MVM5f9Ejo0C68/HhF8uaILCdgjnY+goOA= +go.uber.org/zap v1.9.1/go.mod h1:vwi/ZaCAaUcBkycHslxD9B2zi4UTXhF60s6SWpuDF0Q= go.uber.org/zap v1.10.0/go.mod h1:vwi/ZaCAaUcBkycHslxD9B2zi4UTXhF60s6SWpuDF0Q= +go4.org/unsafe/assume-no-moving-gc v0.0.0-20201222180813-1025295fd063/go.mod h1:FftLjUGFEDu5k8lt0ddY+HcrH/qU/0qk+H8j9/nTl3E= golang.org/x/crypto v0.0.0-20180904163835-0709b304e793/go.mod h1:6SG95UA2DQfeDnfUPMdvaQW0Q7yPrPDi9nlGo2tz2b4= golang.org/x/crypto v0.0.0-20181029021203-45a5f77698d3/go.mod h1:6SG95UA2DQfeDnfUPMdvaQW0Q7yPrPDi9nlGo2tz2b4= golang.org/x/crypto v0.0.0-20190308221718-c2843e01d9a2/go.mod h1:djNgcEr1/C05ACkg1iLfiJU5Ep61QUkGW8qpdssI0+w= golang.org/x/crypto v0.0.0-20190325154230-a5d413f7728c/go.mod h1:djNgcEr1/C05ACkg1iLfiJU5Ep61QUkGW8qpdssI0+w= +golang.org/x/crypto v0.0.0-20190411191339-88737f569e3a/go.mod h1:WFFai1msRO1wXaEeE5yQxYXgSfI8pQAWXbQop6sCtWE= golang.org/x/crypto v0.0.0-20190510104115-cbcb75029529/go.mod h1:yigFU9vqHzYiE8UmvKecakEJjdnWj3jj499lnFckfCI= golang.org/x/crypto v0.0.0-20190605123033-f99c8df09eb5/go.mod h1:yigFU9vqHzYiE8UmvKecakEJjdnWj3jj499lnFckfCI= golang.org/x/crypto v0.0.0-20190820162420-60c769a6c586/go.mod h1:yigFU9vqHzYiE8UmvKecakEJjdnWj3jj499lnFckfCI= +golang.org/x/crypto v0.0.0-20190911031432-227b76d455e7/go.mod h1:yigFU9vqHzYiE8UmvKecakEJjdnWj3jj499lnFckfCI= golang.org/x/crypto v0.0.0-20191011191535-87dc89f01550/go.mod h1:yigFU9vqHzYiE8UmvKecakEJjdnWj3jj499lnFckfCI= +golang.org/x/crypto v0.0.0-20191205180655-e7c4368fe9dd/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto= +golang.org/x/crypto v0.0.0-20200323165209-0ec3e9974c59/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto= golang.org/x/crypto v0.0.0-20200622213623-75b288015ac9/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto= golang.org/x/crypto v0.0.0-20201016220609-9e8e0b390897/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto= golang.org/x/crypto v0.0.0-20220525230936-793ad666bf5e h1:T8NU3HyQ8ClP4SEE+KbFlg6n0NhuTsN4MyznaarGsZM= @@ -574,6 +690,7 @@ golang.org/x/exp v0.0.0-20180807140117-3d87b88a115f/go.mod h1:CJ0aWSM057203Lf6IL golang.org/x/exp v0.0.0-20190121172915-509febef88a4/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA= golang.org/x/exp v0.0.0-20190125153040-c74c464bbbf2/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA= golang.org/x/exp v0.0.0-20190306152737-a1d7652674e8/go.mod h1:CJ0aWSM057203Lf6IL+f9T1iT9GByDxfZKAQTCR3kQA= +golang.org/x/exp v0.0.0-20190312203227-4b39c73a6495/go.mod h1:ZjyILWgesfNpC6sMxTJOJm9Kp84zZh5NQWvqDGG3Qr8= golang.org/x/exp v0.0.0-20190510132918-efd6b22b2522/go.mod h1:ZjyILWgesfNpC6sMxTJOJm9Kp84zZh5NQWvqDGG3Qr8= golang.org/x/exp v0.0.0-20190829153037-c13cbed26979/go.mod h1:86+5VVa7VpoJ4kLfm080zCjGlMRFzhUhsZKEZO7MGek= golang.org/x/exp v0.0.0-20191030013958-a1ab85dbe136/go.mod h1:JXzH8nQsPlswgeRAPE3MuO9GYsAcnJvJ4vnMwN/5qkY= @@ -609,6 +726,7 @@ golang.org/x/mod v0.3.0/go.mod h1:s0Qsj1ACt9ePp/hMypM3fl4fZqREWJwdYDEqhRiZZUA= golang.org/x/mod v0.4.2/go.mod h1:s0Qsj1ACt9ePp/hMypM3fl4fZqREWJwdYDEqhRiZZUA= golang.org/x/mod v0.5.1 h1:OJxoQ/rynoF0dcCdI7cLPktw/hR2cueqYfjm43oqK38= golang.org/x/mod v0.5.1/go.mod h1:5OXOZSfqPIIbmVBIIKWRFfZjPR0E5r58TLhUjH0a2Ro= +golang.org/x/net v0.0.0-20180218175443-cbe0f9307d01/go.mod h1:mL1N/T3taQHkDXs73rZJwtUhF3w3ftmwwsq0BUmARs4= golang.org/x/net v0.0.0-20180724234803-3673e40ba225/go.mod h1:mL1N/T3taQHkDXs73rZJwtUhF3w3ftmwwsq0BUmARs4= golang.org/x/net v0.0.0-20180826012351-8a410e7b638d/go.mod h1:mL1N/T3taQHkDXs73rZJwtUhF3w3ftmwwsq0BUmARs4= golang.org/x/net v0.0.0-20180906233101-161cd47e91fd/go.mod h1:mL1N/T3taQHkDXs73rZJwtUhF3w3ftmwwsq0BUmARs4= @@ -627,6 +745,7 @@ golang.org/x/net v0.0.0-20190613194153-d28f0bde5980/go.mod h1:z5CRVTTTmAJ677TzLL golang.org/x/net v0.0.0-20190620200207-3b0461eec859/go.mod h1:z5CRVTTTmAJ677TzLLGU+0bjPO0LkuOLi4/5GtJWs/s= golang.org/x/net v0.0.0-20190628185345-da137c7871d7/go.mod h1:z5CRVTTTmAJ677TzLLGU+0bjPO0LkuOLi4/5GtJWs/s= golang.org/x/net v0.0.0-20190724013045-ca1201d0de80/go.mod h1:z5CRVTTTmAJ677TzLLGU+0bjPO0LkuOLi4/5GtJWs/s= +golang.org/x/net v0.0.0-20190813141303-74dc4d7220e7/go.mod h1:z5CRVTTTmAJ677TzLLGU+0bjPO0LkuOLi4/5GtJWs/s= golang.org/x/net v0.0.0-20191209160850-c0dbc17a3553/go.mod h1:z5CRVTTTmAJ677TzLLGU+0bjPO0LkuOLi4/5GtJWs/s= golang.org/x/net v0.0.0-20200114155413-6afb5195e5aa/go.mod h1:z5CRVTTTmAJ677TzLLGU+0bjPO0LkuOLi4/5GtJWs/s= golang.org/x/net v0.0.0-20200202094626-16171245cfb2/go.mod h1:z5CRVTTTmAJ677TzLLGU+0bjPO0LkuOLi4/5GtJWs/s= @@ -642,6 +761,7 @@ golang.org/x/net v0.0.0-20200520182314-0ba52f642ac2/go.mod h1:qpuaurCH72eLCgpAm/ golang.org/x/net v0.0.0-20200625001655-4c5254603344/go.mod h1:/O7V0waA8r7cgGh81Ro3o1hOxt32SMVPicZroKQ2sZA= golang.org/x/net v0.0.0-20200707034311-ab3426394381/go.mod h1:/O7V0waA8r7cgGh81Ro3o1hOxt32SMVPicZroKQ2sZA= golang.org/x/net v0.0.0-20200822124328-c89045814202/go.mod h1:/O7V0waA8r7cgGh81Ro3o1hOxt32SMVPicZroKQ2sZA= +golang.org/x/net v0.0.0-20200904194848-62affa334b73/go.mod h1:/O7V0waA8r7cgGh81Ro3o1hOxt32SMVPicZroKQ2sZA= golang.org/x/net v0.0.0-20201021035429-f5854403a974/go.mod h1:sp8m0HH+o8qH0wwXwYZr8TS3Oi6o0r6Gce1SSxlDquU= golang.org/x/net v0.0.0-20201202161906-c7110b5ffcbb/go.mod h1:sp8m0HH+o8qH0wwXwYZr8TS3Oi6o0r6Gce1SSxlDquU= golang.org/x/net v0.0.0-20210405180319-a5a99cb37ef4/go.mod h1:p54w0d4576C0XHj96bSt6lcn1PtDYWL6XObtHCRCNQM= @@ -669,6 +789,7 @@ golang.org/x/sync v0.0.0-20200317015054-43a5402ce75a/go.mod h1:RxMgew5VJxzue5/jJ golang.org/x/sync v0.0.0-20200625203802-6e8e738ad208/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM= golang.org/x/sync v0.0.0-20201020160332-67f06af15bc9/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM= golang.org/x/sync v0.0.0-20201207232520-09787c993a3a/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM= +golang.org/x/sync v0.0.0-20210220032951-036812b2e83c h1:5KslGYwFpkhGh+Q16bwMP3cOontH8FOep7tGV86Y7SQ= golang.org/x/sync v0.0.0-20210220032951-036812b2e83c/go.mod h1:RxMgew5VJxzue5/jJTE5uejpjVlOe/izrB70Jof72aM= golang.org/x/sys v0.0.0-20180823144017-11551d06cbcc/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY= golang.org/x/sys v0.0.0-20180830151530-49385e6e1522/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY= @@ -678,7 +799,10 @@ golang.org/x/sys v0.0.0-20181026203630-95b1ffbd15a5/go.mod h1:STP8DvDyc/dI5b8T5h golang.org/x/sys v0.0.0-20181107165924-66b7b1311ac8/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY= golang.org/x/sys v0.0.0-20181116152217-5ac8a444bdc5/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY= golang.org/x/sys v0.0.0-20190215142949-d0b11bdaac8a/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY= +golang.org/x/sys v0.0.0-20190222072716-a9d3bda3a223/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY= +golang.org/x/sys v0.0.0-20190226215855-775f8194d0f9/go.mod h1:STP8DvDyc/dI5b8T5hshtkjS+E42TnysNCUPdjciGhY= golang.org/x/sys v0.0.0-20190312061237-fead79001313/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= +golang.org/x/sys v0.0.0-20190403152447-81d4e9dc473e/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20190412213103-97732733099d/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20190422165155-953cdadca894/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20190502145724-3ef323f4f1fd/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= @@ -687,6 +811,7 @@ golang.org/x/sys v0.0.0-20190606165138-5da285871e9c/go.mod h1:h1NjWce9XRLGQEsW7w golang.org/x/sys v0.0.0-20190624142023-c5567b49c5d0/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20190726091711-fc99dfbffb4e/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20190813064441-fde4db37ae7a/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= +golang.org/x/sys v0.0.0-20190826190057-c7b8b68b1456/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20190904154756-749cb33beabd/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20191001151750-bb3f8db39f24/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20191005200804-aed5e4c7ecf9/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= @@ -711,6 +836,7 @@ golang.org/x/sys v0.0.0-20200523222454-059865788121/go.mod h1:h1NjWce9XRLGQEsW7w golang.org/x/sys v0.0.0-20200615200032-f1bc736245b1/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20200625212154-ddb9806d33ae/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20200803210538-64077c9b5642/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= +golang.org/x/sys v0.0.0-20200909081042-eff7692f9009/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20200930185726-fdedc70b468f/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20201119102817-f84b799fce68/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= golang.org/x/sys v0.0.0-20210112080510-489259a85091/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs= @@ -746,6 +872,7 @@ golang.org/x/time v0.0.0-20201208040808-7e3f01d25324/go.mod h1:tRJNPiyCQ0inRvYxb golang.org/x/tools v0.0.0-20180221164845-07fd8470d635/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ= golang.org/x/tools v0.0.0-20180525024113-a5b4c53f6e8b/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ= golang.org/x/tools v0.0.0-20180917221912-90fa682c2a6e/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ= +golang.org/x/tools v0.0.0-20181030221726-6c7e314b6563/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ= golang.org/x/tools v0.0.0-20190114222345-bf090417da8b/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ= golang.org/x/tools v0.0.0-20190206041539-40960b6deb8e/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ= golang.org/x/tools v0.0.0-20190226205152-f727befe758c/go.mod h1:9Yl7xja0Znq3iFh3HoIrodX9oNMXvdceNzlUR8zjMvY= @@ -754,14 +881,18 @@ golang.org/x/tools v0.0.0-20190312151545-0bb0c0a6e846/go.mod h1:LCzVGOaR6xXOjkQ3 golang.org/x/tools v0.0.0-20190312170243-e65039ee4138/go.mod h1:LCzVGOaR6xXOjkQ3onu1FJEFr0SW1gC7cKk1uF8kGRs= golang.org/x/tools v0.0.0-20190328211700-ab21143f2384/go.mod h1:LCzVGOaR6xXOjkQ3onu1FJEFr0SW1gC7cKk1uF8kGRs= golang.org/x/tools v0.0.0-20190425150028-36563e24a262/go.mod h1:RgjU9mgBXZiqYHBnxXauZ1Gv1EHHAz9KjViQ78xBX0Q= +golang.org/x/tools v0.0.0-20190425163242-31fd60d6bfdc/go.mod h1:RgjU9mgBXZiqYHBnxXauZ1Gv1EHHAz9KjViQ78xBX0Q= golang.org/x/tools v0.0.0-20190506145303-2d16b83fe98c/go.mod h1:RgjU9mgBXZiqYHBnxXauZ1Gv1EHHAz9KjViQ78xBX0Q= golang.org/x/tools v0.0.0-20190524140312-2c0ae7006135/go.mod h1:RgjU9mgBXZiqYHBnxXauZ1Gv1EHHAz9KjViQ78xBX0Q= golang.org/x/tools v0.0.0-20190606124116-d0a3d012864b/go.mod h1:/rFqwRUd4F7ZHNgwSSTFct+R/Kf4OFW1sUzUTQQTgfc= golang.org/x/tools v0.0.0-20190621195816-6e04913cbbac/go.mod 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v0.8.2/go.mod h1:oe/vMfY3deqTw+1EZJhuvEW2iwGF1bW9wwu7XCu0+v0= +gonum.org/v1/netlib v0.0.0-20190221094214-0632e2ebbd2d/go.mod h1:wa6Ws7BG/ESfp6dHfk7C6KdzKA7wR7u/rKwOGE66zvw= gonum.org/v1/netlib v0.0.0-20190313105609-8cb42192e0e0 h1:OE9mWmgKkjJyEmDAAtGMPjXu+YNeGvK9VTSHY6+Qihc= gonum.org/v1/netlib v0.0.0-20190313105609-8cb42192e0e0/go.mod h1:wa6Ws7BG/ESfp6dHfk7C6KdzKA7wR7u/rKwOGE66zvw= +gonum.org/v1/netlib v0.0.0-20201012070519-2390d26c3658/go.mod h1:zQa7n16lh3Z6FbSTYgjG+KNhz1bA/b9t3plFEaGMp+A= gonum.org/v1/plot v0.0.0-20190515093506-e2840ee46a6b/go.mod h1:Wt8AAjI+ypCyYX3nZBvf6cAIx93T+c/OS2HFAYskSZc= google.golang.org/api v0.4.0/go.mod h1:8k5glujaEP+g9n7WNsDg8QP6cUVNI86fCNMcbazEtwE= google.golang.org/api v0.7.0/go.mod h1:WtwebWUNSVBH/HAw79HIFXZNqEvBhG+Ra+ax0hx3E3M= @@ -827,6 +967,7 @@ google.golang.org/appengine v1.6.1/go.mod h1:i06prIuMbXzDqacNJfV5OdTW448YApPu5ww google.golang.org/appengine v1.6.5/go.mod h1:8WjMMxjGQR8xUklV/ARdw2HLXBOI7O7uCIDZVag1xfc= google.golang.org/appengine v1.6.6/go.mod h1:8WjMMxjGQR8xUklV/ARdw2HLXBOI7O7uCIDZVag1xfc= google.golang.org/genproto v0.0.0-20180817151627-c66870c02cf8/go.mod h1:JiN7NxoALGmiZfu7CAH4rXhgtRTLTxftemlI0sWmxmc= +google.golang.org/genproto v0.0.0-20180831171423-11092d34479b/go.mod h1:JiN7NxoALGmiZfu7CAH4rXhgtRTLTxftemlI0sWmxmc= google.golang.org/genproto v0.0.0-20190307195333-5fe7a883aa19/go.mod h1:VzzqZJRnGkLBvHegQrXjBqPurQTc5/KpmUdxsrq26oE= google.golang.org/genproto v0.0.0-20190418145605-e7d98fc518a7/go.mod h1:VzzqZJRnGkLBvHegQrXjBqPurQTc5/KpmUdxsrq26oE= google.golang.org/genproto v0.0.0-20190425155659-357c62f0e4bb/go.mod h1:VzzqZJRnGkLBvHegQrXjBqPurQTc5/KpmUdxsrq26oE= @@ -856,6 +997,7 @@ google.golang.org/genproto v0.0.0-20200618031413-b414f8b61790/go.mod h1:jDfRM7Fc google.golang.org/genproto v0.0.0-20200729003335-053ba62fc06f/go.mod h1:FWY/as6DDZQgahTzZj3fqbO1CbirC29ZNUFHwi0/+no= google.golang.org/genproto v0.0.0-20200804131852-c06518451d9c/go.mod h1:FWY/as6DDZQgahTzZj3fqbO1CbirC29ZNUFHwi0/+no= google.golang.org/genproto v0.0.0-20200825200019-8632dd797987/go.mod h1:FWY/as6DDZQgahTzZj3fqbO1CbirC29ZNUFHwi0/+no= +google.golang.org/genproto v0.0.0-20200911024640-645f7a48b24f/go.mod h1:FWY/as6DDZQgahTzZj3fqbO1CbirC29ZNUFHwi0/+no= google.golang.org/genproto v0.0.0-20220405205423-9d709892a2bf h1:JTjwKJX9erVpsw17w+OIPP7iAgEkN/r8urhWSunEDTs= google.golang.org/genproto v0.0.0-20220405205423-9d709892a2bf/go.mod h1:8w6bsBMX6yCPbAVTeqQHvzxW0EIFigd5lZyahWgyfDo= google.golang.org/grpc v1.19.0/go.mod h1:mqu4LbDTu4XGKhr4mRzUsmM4RtVoemTSY81AxZiDr8c= @@ -870,10 +1012,12 @@ google.golang.org/grpc v1.28.0/go.mod h1:rpkK4SK4GF4Ach/+MFLZUBavHOvF2JJB5uozKKa google.golang.org/grpc v1.29.1/go.mod h1:itym6AZVZYACWQqET3MqgPpjcuV5QH3BxFS3IjizoKk= google.golang.org/grpc v1.30.0/go.mod h1:N36X2cJ7JwdamYAgDz+s+rVMFjt3numwzf/HckM8pak= google.golang.org/grpc v1.31.0/go.mod h1:N36X2cJ7JwdamYAgDz+s+rVMFjt3numwzf/HckM8pak= +google.golang.org/grpc v1.32.0/go.mod h1:N36X2cJ7JwdamYAgDz+s+rVMFjt3numwzf/HckM8pak= google.golang.org/grpc v1.33.1/go.mod h1:fr5YgcSWrqhRRxogOsw7RzIpsmvOZ6IcH4kBYTpR3n0= google.golang.org/grpc v1.36.0/go.mod h1:qjiiYl8FncCW8feJPdyg3v6XW24KsRHe+dy9BAGRRjU= google.golang.org/grpc v1.45.0 h1:NEpgUqV3Z+ZjkqMsxMg11IaDrXY4RY6CQukSGK0uI1M= google.golang.org/grpc v1.45.0/go.mod h1:lN7owxKUQEqMfSyQikvvk5tf/6zMPsrK+ONuO11+0rQ= +google.golang.org/grpc/cmd/protoc-gen-go-grpc v0.0.0-20200910201057-6591123024b3/go.mod h1:6Kw0yEErY5E/yWrBtf03jp27GLLJujG4z/JK95pnjjw= google.golang.org/protobuf v0.0.0-20200109180630-ec00e32a8dfd/go.mod h1:DFci5gLYBciE7Vtevhsrf46CRTquxDuWsQurQQe4oz8= google.golang.org/protobuf v0.0.0-20200221191635-4d8936d0db64/go.mod h1:kwYJMbMJ01Woi6D6+Kah6886xMZcty6N08ah7+eCXa0= google.golang.org/protobuf v0.0.0-20200228230310-ab0ca4ff8a60/go.mod h1:cfTl7dwQJ+fmap5saPgwCLgHXTUD7jkjRqWcaiX5VyM= @@ -893,10 +1037,12 @@ gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405/go.mod h1:Co6ibVJAznAaIkqp8 gopkg.in/check.v1 v1.0.0-20180628173108-788fd7840127/go.mod 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v1.62.0/go.mod h1:pNLf8WUiyNEtQjuu5G5vTm06TEv9tsIgeAvK8hOrP4k= @@ -919,6 +1065,25 @@ gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C gopkg.in/yaml.v3 v3.0.0-20210107192922-496545a6307b/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM= gopkg.in/yaml.v3 v3.0.1 h1:fxVm/GzAzEWqLHuvctI91KS9hhNmmWOoWu0XTYJS7CA= gopkg.in/yaml.v3 v3.0.1/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM= +gorgonia.org/cu v0.9.0-beta/go.mod h1:RPEPIfaxxqUmeRe7T1T8a0NER+KxBI2McoLEXhP1Vd8= +gorgonia.org/cu v0.9.3/go.mod h1:LgyAYDkN7HWhh8orGnCY2R8pP9PYbO44ivEbLMatkVU= +gorgonia.org/dawson v1.1.0/go.mod h1:Px1mcziba8YUBIDsbzGwbKJ11uIblv/zkln4jNrZ9Ws= +gorgonia.org/dawson v1.2.0/go.mod h1:Px1mcziba8YUBIDsbzGwbKJ11uIblv/zkln4jNrZ9Ws= +gorgonia.org/gorgonia v0.9.2/go.mod h1:ZtOb9f/wM2OMta1ISGspQ4roGDgz9d9dKOaPNvGR+ec= +gorgonia.org/gorgonia v0.9.16/go.mod h1:EnZtUbxgbqMx8eCTGPq8C0RfBlr/WllVtMyAFUYG+b4= +gorgonia.org/tensor v0.9.0-beta/go.mod 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h1:0HFTzE/SqkGTzK6TlDPPQbAYCluiVvhzoA1+aVyzenw= honnef.co/go/tools v0.0.0-20190102054323-c2f93a96b099/go.mod h1:rf3lG4BRIbNafJWhAfAdb/ePZxsR/4RtNHQocxwk9r4= honnef.co/go/tools v0.0.0-20190106161140-3f1c8253044a/go.mod h1:rf3lG4BRIbNafJWhAfAdb/ePZxsR/4RtNHQocxwk9r4= honnef.co/go/tools v0.0.0-20190418001031-e561f6794a2a/go.mod h1:rf3lG4BRIbNafJWhAfAdb/ePZxsR/4RtNHQocxwk9r4= @@ -926,6 +1091,11 @@ honnef.co/go/tools v0.0.0-20190523083050-ea95bdfd59fc/go.mod h1:rf3lG4BRIbNafJWh honnef.co/go/tools v0.0.1-2019.2.3/go.mod h1:a3bituU0lyd329TUQxRnasdCoJDkEUEAqEt0JzvZhAg= honnef.co/go/tools v0.0.1-2020.1.3/go.mod h1:X/FiERA/W4tHapMX5mGpAtMSVEeEUOyHaw9vFzvIQ3k= honnef.co/go/tools v0.0.1-2020.1.4/go.mod h1:X/FiERA/W4tHapMX5mGpAtMSVEeEUOyHaw9vFzvIQ3k= +modernc.org/cc v1.0.0/go.mod h1:1Sk4//wdnYJiUIxnW8ddKpaOJCF37yAdqYnkxUpaYxw= +modernc.org/golex v1.0.0/go.mod h1:b/QX9oBD/LhixY6NDh+IdGv17hgB+51fET1i2kPSmvk= +modernc.org/mathutil v1.0.0/go.mod h1:wU0vUrJsVWBZ4P6e7xtFJEhFSNsfRLJ8H458uRjg03k= +modernc.org/strutil v1.1.0/go.mod h1:lstksw84oURvj9y3tn8lGvRxyRC1S2+g5uuIzNfIOBs= +modernc.org/xc v1.0.0/go.mod h1:mRNCo0bvLjGhHO9WsyuKVU4q0ceiDDDoEeWDJHrNx8I= rsc.io/binaryregexp v0.2.0/go.mod h1:qTv7/COck+e2FymRvadv62gMdZztPaShugOCi3I+8D8= rsc.io/pdf v0.1.1/go.mod h1:n8OzWcQ6Sp37PL01nO98y4iUCRdTGarVfzxY20ICaU4= rsc.io/quote/v3 v3.1.0/go.mod h1:yEA65RcK8LyAZtP9Kv3t0HmxON59tX3rD+tICJqUlj0= diff --git a/pkg/cmd/optimizeex.go b/pkg/cmd/optimizeex.go new file mode 100644 index 000000000..305bb47b1 --- /dev/null +++ b/pkg/cmd/optimizeex.go @@ -0,0 +1,198 @@ +package cmd + +import ( + "context" + "encoding/json" + "fmt" + "github.com/c9s/bbgo/pkg/data/tsv" + "github.com/c9s/bbgo/pkg/optimizer" + "github.com/fatih/color" + "github.com/spf13/cobra" + "gopkg.in/yaml.v3" + "io" + "io/ioutil" + "os" + "time" +) + +func init() { + optimizeExCmd.Flags().String("optimizer-config", "optimizer.yaml", "config file") + optimizeExCmd.Flags().String("name", "", "assign a name to the study") + optimizeExCmd.Flags().Bool("json-keep-all", false, "keep all results of trials") + optimizeExCmd.Flags().String("output", "output", "backtest report output directory") + optimizeExCmd.Flags().Bool("json", false, "print optimizer metrics in json format") + optimizeExCmd.Flags().Bool("tsv", false, "print optimizer metrics in csv format") + RootCmd.AddCommand(optimizeExCmd) +} + +var optimizeExCmd = &cobra.Command{ + Use: "optimizeex", + Short: "run hyperparameter optimizer (experimental)", + + // SilenceUsage is an option to silence usage when an error occurs. + SilenceUsage: true, + + RunE: func(cmd *cobra.Command, args []string) error { + optimizerConfigFilename, err := cmd.Flags().GetString("optimizer-config") + if err != nil { + return err + } + + configFile, err := cmd.Flags().GetString("config") + if err != nil { + return err + } + + studyName, err := cmd.Flags().GetString("name") + if err != nil { + return err + } + + jsonKeepAll, err := cmd.Flags().GetBool("json-keep-all") + if err != nil { + return err + } + + outputDirectory, err := cmd.Flags().GetString("output") + if err != nil { + return err + } + + printJsonFormat, err := cmd.Flags().GetBool("json") + if err != nil { + return err + } + + printTsvFormat, err := cmd.Flags().GetBool("tsv") + if err != nil { + return err + } + + yamlBody, err := ioutil.ReadFile(configFile) + if err != nil { + return err + } + var obj map[string]interface{} + if err := yaml.Unmarshal(yamlBody, &obj); err != nil { + return err + } + delete(obj, "notifications") + delete(obj, "sync") + + optConfig, err := optimizer.LoadConfig(optimizerConfigFilename) + if err != nil { + return err + } + + // the config json template used for patch + configJson, err := json.MarshalIndent(obj, "", " ") + if err != nil { + return err + } + + ctx, cancel := context.WithCancel(context.Background()) + defer cancel() + _ = ctx + + if len(studyName) == 0 { + studyName = fmt.Sprintf("bbgo-hpopt-%v", time.Now().UnixMilli()) + } + tempDirNameFormat := fmt.Sprintf("%s-config-*", studyName) + configDir, err := os.MkdirTemp("", tempDirNameFormat) + if err != nil { + return err + } + + executor := &optimizer.LocalProcessExecutor{ + Config: optConfig.Executor.LocalExecutorConfig, + Bin: os.Args[0], + WorkDir: ".", + ConfigDir: configDir, + OutputDir: outputDirectory, + } + + optz := &optimizer.HyperparameterOptimizer{ + StudyName: studyName, + Config: optConfig, + } + + if err := executor.Prepare(configJson); err != nil { + return err + } + + report, err := optz.Run(executor, configJson) + if err != nil { + return err + } + + if printJsonFormat { + if !jsonKeepAll { + report.Trials = nil + } + out, err := json.MarshalIndent(report, "", " ") + if err != nil { + return err + } + + // print report JSON to stdout + fmt.Println(string(out)) + } else if printTsvFormat { + if err := formatResultsTsv(os.Stdout, report.Parameters, report.Trials); err != nil { + return err + } + } else { + color.Green("OPTIMIZER REPORT") + color.Green("===============================================\n") + color.Green("STUDY NAME: %s\n", report.Name) + color.Green("OPTIMIZE OBJECTIVE: %s\n", report.Objective) + color.Green("BEST OBJECTIVE VALUE: %s\n", report.Best.Value) + color.Green("OPTIMAL PARAMETERS:") + for param, val := range report.Best.Parameters { + color.Green(" - %s: %v", param, val) + } + } + + return nil + }, +} + +func formatResultsTsv(writer io.WriteCloser, labelPaths map[string]string, results []*optimizer.HyperparameterOptimizeTrialResult) error { + headerLen := len(labelPaths) + headers := make([]string, 0, headerLen) + for label := range labelPaths { + headers = append(headers, label) + } + + rows := make([][]interface{}, len(labelPaths)) + for ri, result := range results { + row := make([]interface{}, headerLen) + for ci, columnKey := range headers { + var ok bool + if row[ci], ok = result.Parameters[columnKey]; !ok { + return fmt.Errorf(`missing parameter "%s" from trial result (%v)`, columnKey, result.Parameters) + } + } + rows[ri] = row + } + + w := tsv.NewWriter(writer) + if err := w.Write(headers); err != nil { + return err + } + + for _, row := range rows { + var cells []string + for _, o := range row { + cell, err := castCellValue(o) + if err != nil { + return err + } + cells = append(cells, cell) + } + + if err := w.Write(cells); err != nil { + return err + } + } + return w.Close() +} diff --git a/pkg/optimizer/config.go b/pkg/optimizer/config.go index ceedfed5a..922ca4765 100644 --- a/pkg/optimizer/config.go +++ b/pkg/optimizer/config.go @@ -1,7 +1,9 @@ package optimizer import ( + "fmt" "io/ioutil" + "strings" "gopkg.in/yaml.v3" @@ -28,9 +30,12 @@ type ExecutorConfig struct { } type Config struct { - Executor *ExecutorConfig `json:"executor" yaml:"executor"` - MaxThread int `yaml:"maxThread,omitempty"` - Matrix []SelectorConfig `yaml:"matrix"` + Executor *ExecutorConfig `json:"executor" yaml:"executor"` + MaxThread int `yaml:"maxThread,omitempty"` + Matrix []SelectorConfig `yaml:"matrix"` + Algorithm string `yaml:"algorithm,omitempty"` + Objective string `yaml:"objectiveBy,omitempty"` + MaxEvaluation int `yaml:"maxEvaluation"` } var defaultExecutorConfig = &ExecutorConfig{ @@ -53,6 +58,28 @@ func LoadConfig(yamlConfigFileName string) (*Config, error) { return nil, err } + switch alg := strings.ToLower(optConfig.Algorithm); alg { + case "", "default": + optConfig.Algorithm = HpOptimizerAlgorithmTPE + case HpOptimizerAlgorithmTPE, HpOptimizerAlgorithmCMAES, HpOptimizerAlgorithmSOBOL, HpOptimizerAlgorithmRandom: + optConfig.Algorithm = alg + default: + return nil, fmt.Errorf(`unknown algorithm "%s"`, optConfig.Algorithm) + } + + switch objective := strings.ToLower(optConfig.Objective); objective { + case "", "default": + optConfig.Objective = HpOptimizerObjectiveEquity + case HpOptimizerObjectiveEquity, HpOptimizerObjectiveProfit, HpOptimizerObjectiveVolume: + optConfig.Objective = objective + default: + return nil, fmt.Errorf(`unknown objective "%s"`, optConfig.Objective) + } + + if optConfig.MaxEvaluation <= 0 { + optConfig.MaxEvaluation = 100 + } + if optConfig.Executor == nil { optConfig.Executor = defaultExecutorConfig } diff --git a/pkg/optimizer/hpoptimizer.go b/pkg/optimizer/hpoptimizer.go new file mode 100644 index 000000000..53f4967e5 --- /dev/null +++ b/pkg/optimizer/hpoptimizer.go @@ -0,0 +1,257 @@ +package optimizer + +import ( + "context" + "fmt" + "github.com/c-bata/goptuna" + goptunaCMAES "github.com/c-bata/goptuna/cmaes" + goptunaSOBOL "github.com/c-bata/goptuna/sobol" + goptunaTPE "github.com/c-bata/goptuna/tpe" + "github.com/c9s/bbgo/pkg/fixedpoint" + "github.com/cheggaaa/pb/v3" + "github.com/sirupsen/logrus" + "golang.org/x/sync/errgroup" + "math" +) + +const ( + // HpOptimizerObjectiveEquity optimize the parameters to maximize equity gain + HpOptimizerObjectiveEquity = "equity" + // HpOptimizerObjectiveProfit optimize the parameters to maximize trading profit + HpOptimizerObjectiveProfit = "profit" + // HpOptimizerObjectiveVolume optimize the parameters to maximize trading volume + HpOptimizerObjectiveVolume = "volume" +) + +const ( + // HpOptimizerAlgorithmTPE is the implementation of Tree-structured Parzen Estimators + HpOptimizerAlgorithmTPE = "tpe" + // HpOptimizerAlgorithmCMAES is the implementation Covariance Matrix Adaptation Evolution Strategy + HpOptimizerAlgorithmCMAES = "cmaes" + // HpOptimizerAlgorithmSOBOL is the implementation Quasi-monte carlo sampling based on Sobol sequence + HpOptimizerAlgorithmSOBOL = "sobol" + // HpOptimizerAlgorithmRandom is the implementation random search + HpOptimizerAlgorithmRandom = "random" +) + +type HyperparameterOptimizeTrialResult struct { + Value fixedpoint.Value `json:"value"` + Parameters map[string]interface{} `json:"parameters"` + ID *int `json:"id,omitempty"` + State string `json:"state,omitempty"` +} + +type HyperparameterOptimizeReport struct { + Name string `json:"studyName"` + Objective string `json:"objective"` + Parameters map[string]string `json:"domains"` + Best *HyperparameterOptimizeTrialResult `json:"best"` + Trials []*HyperparameterOptimizeTrialResult `json:"trials,omitempty"` +} + +func buildBestHyperparameterOptimizeResult(study *goptuna.Study) *HyperparameterOptimizeTrialResult { + val, _ := study.GetBestValue() + params, _ := study.GetBestParams() + return &HyperparameterOptimizeTrialResult{ + Value: fixedpoint.NewFromFloat(val), + Parameters: params, + } +} + +func buildHyperparameterOptimizeTrialResults(study *goptuna.Study) []*HyperparameterOptimizeTrialResult { + trials, _ := study.GetTrials() + results := make([]*HyperparameterOptimizeTrialResult, len(trials)) + for i, trial := range trials { + trialId := trial.ID + trialResult := &HyperparameterOptimizeTrialResult{ + ID: &trialId, + Value: fixedpoint.NewFromFloat(trial.Value), + Parameters: trial.Params, + } + results[i] = trialResult + } + return results +} + +type HyperparameterOptimizer struct { + StudyName string + Config *Config +} + +func (o *HyperparameterOptimizer) buildStudy(trialFinishChan chan goptuna.FrozenTrial) (*goptuna.Study, error) { + var studyOpts = make([]goptuna.StudyOption, 0, 2) + + // maximum the profit, volume, equity gain, ...etc + studyOpts = append(studyOpts, goptuna.StudyOptionDirection(goptuna.StudyDirectionMaximize)) + + // disable search log and collect trial progress + studyOpts = append(studyOpts, goptuna.StudyOptionLogger(nil)) + studyOpts = append(studyOpts, goptuna.StudyOptionTrialNotifyChannel(trialFinishChan)) + + // the search algorithm + var sampler goptuna.Sampler = nil + var relativeSampler goptuna.RelativeSampler = nil + switch o.Config.Algorithm { + case HpOptimizerAlgorithmRandom: + sampler = goptuna.NewRandomSampler() + case HpOptimizerAlgorithmTPE: + sampler = goptunaTPE.NewSampler() + case HpOptimizerAlgorithmCMAES: + relativeSampler = goptunaCMAES.NewSampler(goptunaCMAES.SamplerOptionNStartupTrials(5)) + case HpOptimizerAlgorithmSOBOL: + relativeSampler = goptunaSOBOL.NewSampler() + } + if sampler != nil { + studyOpts = append(studyOpts, goptuna.StudyOptionSampler(sampler)) + } else { + studyOpts = append(studyOpts, goptuna.StudyOptionRelativeSampler(relativeSampler)) + } + + return goptuna.CreateStudy(o.StudyName, studyOpts...) +} + +func (o *HyperparameterOptimizer) buildParamDomains() (map[string]string, []paramDomain) { + labelPaths := make(map[string]string) + domains := make([]paramDomain, 0, len(o.Config.Matrix)) + + for _, selector := range o.Config.Matrix { + var domain paramDomain + switch selector.Type { + case "range", "rangeFloat": + domain = &floatRangeDomain{ + paramDomainBase: paramDomainBase{ + label: selector.Label, + path: selector.Path, + }, + min: selector.Min.Float64(), + max: selector.Max.Float64(), + } + case "rangeInt": + domain = &intRangeDomain{ + paramDomainBase: paramDomainBase{ + label: selector.Label, + path: selector.Path, + }, + min: selector.Min.Int(), + max: selector.Max.Int(), + } + case "iterate", "string": + domain = &stringDomain{ + paramDomainBase: paramDomainBase{ + label: selector.Label, + path: selector.Path, + }, + options: selector.Values, + } + case "bool": + domain = &boolDomain{ + paramDomainBase: paramDomainBase{ + label: selector.Label, + path: selector.Path, + }, + } + } + labelPaths[selector.Label] = selector.Path + domains = append(domains, domain) + } + return labelPaths, domains +} + +func (o *HyperparameterOptimizer) buildObjective(executor Executor, configJson []byte, paramDomains []paramDomain) goptuna.FuncObjective { + var matricValueFunc MetricValueFunc + switch o.Config.Objective { + case HpOptimizerObjectiveProfit: + matricValueFunc = TotalProfitMetricValueFunc + case HpOptimizerObjectiveVolume: + matricValueFunc = TotalVolume + case HpOptimizerObjectiveEquity: + matricValueFunc = TotalEquityDiff + } + + return func(trial goptuna.Trial) (float64, error) { + var trialConfig = configJson + for _, domain := range paramDomains { + if patch, err := domain.buildPatch(&trial); err != nil { + return 0.0, err + } else if patchedConfig, err := patch.ApplyIndent(trialConfig, " "); err != nil { + return 0.0, err + } else { + trialConfig = patchedConfig + } + } + + summary, err := executor.Execute(trialConfig) + if err != nil { + return 0.0, err + } + // By config, the Goptuna optimize the parameters by maximize the objective output. + return matricValueFunc(summary).Float64(), nil + } +} + +func (o *HyperparameterOptimizer) Run(executor Executor, configJson []byte) (*HyperparameterOptimizeReport, error) { + labelPaths, paramDomains := o.buildParamDomains() + objective := o.buildObjective(executor, configJson, paramDomains) + + maxEvaluation := o.Config.MaxEvaluation + numOfProcesses := o.Config.Executor.LocalExecutorConfig.MaxNumberOfProcesses + if numOfProcesses > maxEvaluation { + numOfProcesses = maxEvaluation + } + maxEvaluationPerProcess := maxEvaluation / numOfProcesses + if maxEvaluation%numOfProcesses > 0 { + maxEvaluationPerProcess++ + } + + trialFinishChan := make(chan goptuna.FrozenTrial, 128) + allTrailFinishChan := make(chan struct{}) + bar := pb.Full.Start(maxEvaluation) + bar.SetTemplateString(`{{ string . "log" | green}} | {{counters . }} {{bar . }} {{percent . }} {{etime . }} {{rtime . "ETA %s"}}`) + + go func() { + defer close(allTrailFinishChan) + var bestVal = math.Inf(-1) + for result := range trialFinishChan { + log.WithFields(logrus.Fields{"ID": result.ID, "evaluation": result.Value, "state": result.State}).Debug("trial finished") + if result.State == goptuna.TrialStateFail { + log.WithFields(result.Params).Errorf("failed at trial #%d", result.ID) + } + if result.Value > bestVal { + bestVal = result.Value + } + bar.Set("log", fmt.Sprintf("best value: %v", bestVal)) + bar.Increment() + } + }() + + study, err := o.buildStudy(trialFinishChan) + if err != nil { + return nil, err + } + eg, ctx := errgroup.WithContext(context.Background()) + study.WithContext(ctx) + for i := 0; i < numOfProcesses; i++ { + processEvaluations := maxEvaluationPerProcess + if processEvaluations > maxEvaluation { + processEvaluations = maxEvaluation + } + eg.Go(func() error { + return study.Optimize(objective, processEvaluations) + }) + maxEvaluation -= processEvaluations + } + if err := eg.Wait(); err != nil { + return nil, err + } + close(trialFinishChan) + <-allTrailFinishChan + bar.Finish() + + return &HyperparameterOptimizeReport{ + Name: o.StudyName, + Objective: o.Config.Objective, + Parameters: labelPaths, + Best: buildBestHyperparameterOptimizeResult(study), + Trials: buildHyperparameterOptimizeTrialResults(study), + }, nil +} diff --git a/pkg/optimizer/hyperparam.go b/pkg/optimizer/hyperparam.go new file mode 100644 index 000000000..31b699ea1 --- /dev/null +++ b/pkg/optimizer/hyperparam.go @@ -0,0 +1,73 @@ +package optimizer + +import ( + "fmt" + "github.com/c-bata/goptuna" + jsonpatch "github.com/evanphx/json-patch/v5" +) + +type paramDomain interface { + buildPatch(trail *goptuna.Trial) (jsonpatch.Patch, error) +} + +type paramDomainBase struct { + label string + path string +} + +type intRangeDomain struct { + paramDomainBase + min int + max int +} + +func (d *intRangeDomain) buildPatch(trial *goptuna.Trial) (jsonpatch.Patch, error) { + val, err := trial.SuggestInt(d.label, d.min, d.max) + if err != nil { + return nil, err + } + jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": %v }]`, d.path, val))) + return jsonpatch.DecodePatch(jsonOp) +} + +type floatRangeDomain struct { + paramDomainBase + min float64 + max float64 +} + +func (d *floatRangeDomain) buildPatch(trial *goptuna.Trial) (jsonpatch.Patch, error) { + val, err := trial.SuggestFloat(d.label, d.min, d.max) + if err != nil { + return nil, err + } + jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": %v }]`, d.path, val))) + return jsonpatch.DecodePatch(jsonOp) +} + +type stringDomain struct { + paramDomainBase + options []string +} + +func (d *stringDomain) buildPatch(trial *goptuna.Trial) (jsonpatch.Patch, error) { + val, err := trial.SuggestCategorical(d.label, d.options) + if err != nil { + return nil, err + } + jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": "%v" }]`, d.path, val))) + return jsonpatch.DecodePatch(jsonOp) +} + +type boolDomain struct { + paramDomainBase +} + +func (d *boolDomain) buildPatch(trial *goptuna.Trial) (jsonpatch.Patch, error) { + valStr, err := trial.SuggestCategorical(d.label, []string{"false", "true"}) + if err != nil { + return nil, err + } + jsonOp := []byte(reformatJson(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": %s }]`, d.path, valStr))) + return jsonpatch.DecodePatch(jsonOp) +} diff --git a/pkg/optimizer/local.go b/pkg/optimizer/local.go index 81b65f0a5..4c3a51787 100644 --- a/pkg/optimizer/local.go +++ b/pkg/optimizer/local.go @@ -1,6 +1,8 @@ package optimizer import ( + "bufio" + "bytes" "context" "encoding/json" "fmt" @@ -28,7 +30,7 @@ type BacktestTask struct { } type Executor interface { - // Execute(configJson []byte) (*backtest.SummaryReport, error) + Execute(configJson []byte) (*backtest.SummaryReport, error) Run(ctx context.Context, taskC chan BacktestTask, bar *pb.ProgressBar) (chan BacktestTask, error) } @@ -53,7 +55,7 @@ func (e *LocalProcessExecutor) ExecuteAsync(configJson []byte) *AsyncHandle { go func() { defer close(handle.Done) - report, err := e.execute(configJson) + report, err := e.Execute(configJson) handle.Error = err handle.Report = report }() @@ -61,8 +63,8 @@ func (e *LocalProcessExecutor) ExecuteAsync(configJson []byte) *AsyncHandle { return handle } -func (e *LocalProcessExecutor) readReport(output []byte) (*backtest.SummaryReport, error) { - summaryReportFilepath := strings.TrimSpace(string(output)) +func (e *LocalProcessExecutor) readReport(reportPath string) (*backtest.SummaryReport, error) { + summaryReportFilepath := strings.TrimSpace(reportPath) _, err := os.Stat(summaryReportFilepath) if os.IsNotExist(err) { return nil, err @@ -123,7 +125,7 @@ func (e *LocalProcessExecutor) Run(ctx context.Context, taskC chan BacktestTask, bar.Set("log", fmt.Sprintf("local worker #%d received param task: %v", id, task.Params)) bar.Write() - report, err := e.execute(task.ConfigJson) + report, err := e.Execute(task.ConfigJson) if err != nil { if err2, ok := err.(*exec.ExitError); ok { log.WithError(err).Errorf("execute error: %s", err2.Stderr) @@ -144,9 +146,8 @@ func (e *LocalProcessExecutor) Run(ctx context.Context, taskC chan BacktestTask, return resultsC, nil } -// execute runs the config json and returns the summary report -// this is a blocking operation -func (e *LocalProcessExecutor) execute(configJson []byte) (*backtest.SummaryReport, error) { +// Execute runs the config json and returns the summary report. This is a blocking operation. +func (e *LocalProcessExecutor) Execute(configJson []byte) (*backtest.SummaryReport, error) { tf, err := jsonToYamlConfig(e.ConfigDir, configJson) if err != nil { return nil, err @@ -155,10 +156,17 @@ func (e *LocalProcessExecutor) execute(configJson []byte) (*backtest.SummaryRepo c := exec.Command(e.Bin, "backtest", "--config", tf.Name(), "--output", e.OutputDir, "--subdir") output, err := c.Output() if err != nil { + log.WithError(err).WithField("command", []string{e.Bin, "backtest", "--config", tf.Name(), "--output", e.OutputDir, "--subdir"}).Errorf("failed to execute backtest") return nil, err } - return e.readReport(output) + // the last line is the report path + scanner := bufio.NewScanner(bytes.NewBuffer(output)) + var reportFilePath string + for scanner.Scan() { + reportFilePath = scanner.Text() + } + return e.readReport(reportFilePath) } // jsonToYamlConfig translate json format config into a YAML format config file