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optimizer: rename optimizeex to hoptimize

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This commit is contained in:
Raphanus Lo 2022-08-02 12:44:42 +08:00
parent bad0aa31b7
commit 68af2d0ff8
5 changed files with 165 additions and 162 deletions
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2
config/optimizer-hyperparam-search.yaml
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@ -1,6 +1,6 @@
# usage:
#
# go run ./cmd/bbgo optimizeex --config bollmaker_ethusdt.yaml --optimizer-config optimizer-hyperparam-search.yaml
# go run ./cmd/bbgo hoptimize --config bollmaker_ethusdt.yaml --optimizer-config optimizer-hyperparam-search.yaml
#
---
# The search algorithm. Supports the following algorithms:

77
pkg/cmd/optimizeex.go → pkg/cmd/hoptimize.go
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@ -4,29 +4,27 @@ 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)
hoptimizeCmd.Flags().String("optimizer-config", "optimizer.yaml", "config file")
hoptimizeCmd.Flags().String("name", "", "assign an optimization session name")
hoptimizeCmd.Flags().Bool("json-keep-all", false, "keep all results of trials")
hoptimizeCmd.Flags().String("output", "output", "backtest report output directory")
hoptimizeCmd.Flags().Bool("json", false, "print optimizer metrics in json format")
hoptimizeCmd.Flags().Bool("tsv", false, "print optimizer metrics in csv format")
RootCmd.AddCommand(hoptimizeCmd)
}
var optimizeExCmd = &cobra.Command{
Use: "optimizeex",
var hoptimizeCmd = &cobra.Command{
Use: "hoptimize",
Short: "run hyperparameter optimizer (experimental)",
// SilenceUsage is an option to silence usage when an error occurs.
@ -43,7 +41,7 @@ var optimizeExCmd = &cobra.Command{
return err
}
studyName, err := cmd.Flags().GetString("name")
optSessionName, err := cmd.Flags().GetString("name")
if err != nil {
return err
}
@ -94,10 +92,10 @@ var optimizeExCmd = &cobra.Command{
defer cancel()
_ = ctx
if len(studyName) == 0 {
studyName = fmt.Sprintf("bbgo-hpopt-%v", time.Now().UnixMilli())
if len(optSessionName) == 0 {
optSessionName = fmt.Sprintf("bbgo-hpopt-%v", time.Now().UnixMilli())
}
tempDirNameFormat := fmt.Sprintf("%s-config-*", studyName)
tempDirNameFormat := fmt.Sprintf("%s-config-*", optSessionName)
configDir, err := os.MkdirTemp("", tempDirNameFormat)
if err != nil {
return err
@ -112,8 +110,8 @@ var optimizeExCmd = &cobra.Command{
}
optz := &optimizer.HyperparameterOptimizer{
StudyName: studyName,
Config: optConfig,
SessionName: optSessionName,
Config: optConfig,
}
if err := executor.Prepare(configJson); err != nil {
@ -137,13 +135,13 @@ var optimizeExCmd = &cobra.Command{
// print report JSON to stdout
fmt.Println(string(out))
} else if printTsvFormat {
if err := formatResultsTsv(os.Stdout, report.Parameters, report.Trials); err != nil {
if err := optimizer.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("SESSION 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:")
@ -160,44 +158,3 @@ var optimizeExCmd = &cobra.Command{
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()
}

98
pkg/cmd/optimize.go
View File

@ -4,16 +4,12 @@ import (
"context"
"encoding/json"
"fmt"
"io"
"io/ioutil"
"os"
"strconv"
"github.com/spf13/cobra"
"gopkg.in/yaml.v3"
"github.com/c9s/bbgo/pkg/data/tsv"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/optimizer"
)
@ -119,7 +115,7 @@ var optimizeCmd = &cobra.Command{
// print metrics JSON to stdout
fmt.Println(string(out))
} else if printTsvFormat {
if err := formatMetricsTsv(metrics, os.Stdout); err != nil {
if err := optimizer.FormatMetricsTsv(os.Stdout, metrics); err != nil {
return err
}
} else {
@ -138,95 +134,3 @@ var optimizeCmd = &cobra.Command{
return nil
},
}
func transformMetricsToRows(metrics map[string][]optimizer.Metric) (headers []string, rows [][]interface{}) {
var metricsKeys []string
for k := range metrics {
metricsKeys = append(metricsKeys, k)
}
var numEntries int
var paramLabels []string
for _, ms := range metrics {
for _, m := range ms {
paramLabels = m.Labels
break
}
numEntries = len(ms)
break
}
headers = append(paramLabels, metricsKeys...)
rows = make([][]interface{}, numEntries)
var metricsRows = make([][]interface{}, numEntries)
// build params into the rows
for i, m := range metrics[metricsKeys[0]] {
rows[i] = m.Params
}
for _, metricKey := range metricsKeys {
for i, ms := range metrics[metricKey] {
if len(metricsRows[i]) == 0 {
metricsRows[i] = make([]interface{}, 0, len(metricsKeys))
}
metricsRows[i] = append(metricsRows[i], ms.Value)
}
}
// merge rows
for i := range rows {
rows[i] = append(rows[i], metricsRows[i]...)
}
return headers, rows
}
func formatMetricsTsv(metrics map[string][]optimizer.Metric, writer io.WriteCloser) error {
headers, rows := transformMetricsToRows(metrics)
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()
}
func castCellValue(a interface{}) (string, error) {
switch tv := a.(type) {
case fixedpoint.Value:
return tv.String(), nil
case float64:
return strconv.FormatFloat(tv, 'f', -1, 64), nil
case int64:
return strconv.FormatInt(tv, 10), nil
case int32:
return strconv.FormatInt(int64(tv), 10), nil
case int:
return strconv.Itoa(tv), nil
case bool:
return strconv.FormatBool(tv), nil
case string:
return tv, nil
case []byte:
return string(tv), nil
default:
return "", fmt.Errorf("unsupported object type: %T value: %v", tv, tv)
}
}

142
pkg/optimizer/format.go Normal file
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@ -0,0 +1,142 @@
package optimizer
import (
"fmt"
"github.com/c9s/bbgo/pkg/data/tsv"
"github.com/c9s/bbgo/pkg/fixedpoint"
"io"
"strconv"
)
func FormatResultsTsv(writer io.WriteCloser, labelPaths map[string]string, results []*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()
}
func FormatMetricsTsv(writer io.WriteCloser, metrics map[string][]Metric) error {
headers, rows := transformMetricsToRows(metrics)
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()
}
func transformMetricsToRows(metrics map[string][]Metric) (headers []string, rows [][]interface{}) {
var metricsKeys []string
for k := range metrics {
metricsKeys = append(metricsKeys, k)
}
var numEntries int
var paramLabels []string
for _, ms := range metrics {
for _, m := range ms {
paramLabels = m.Labels
break
}
numEntries = len(ms)
break
}
headers = append(paramLabels, metricsKeys...)
rows = make([][]interface{}, numEntries)
var metricsRows = make([][]interface{}, numEntries)
// build params into the rows
for i, m := range metrics[metricsKeys[0]] {
rows[i] = m.Params
}
for _, metricKey := range metricsKeys {
for i, ms := range metrics[metricKey] {
if len(metricsRows[i]) == 0 {
metricsRows[i] = make([]interface{}, 0, len(metricsKeys))
}
metricsRows[i] = append(metricsRows[i], ms.Value)
}
}
// merge rows
for i := range rows {
rows[i] = append(rows[i], metricsRows[i]...)
}
return headers, rows
}
func castCellValue(a interface{}) (string, error) {
switch tv := a.(type) {
case fixedpoint.Value:
return tv.String(), nil
case float64:
return strconv.FormatFloat(tv, 'f', -1, 64), nil
case int64:
return strconv.FormatInt(tv, 10), nil
case int32:
return strconv.FormatInt(int64(tv), 10), nil
case int:
return strconv.Itoa(tv), nil
case bool:
return strconv.FormatBool(tv), nil
case string:
return tv, nil
case []byte:
return string(tv), nil
default:
return "", fmt.Errorf("unsupported object type: %T value: %v", tv, tv)
}
}

8
pkg/optimizer/hpoptimizer.go
View File

@ -75,8 +75,8 @@ func buildHyperparameterOptimizeTrialResults(study *goptuna.Study) []*Hyperparam
}
type HyperparameterOptimizer struct {
StudyName string
Config *Config
SessionName string
Config *Config
// Workaround for goptuna/tpe parameter suggestion. Remove this after fixed.
// ref: https://github.com/c-bata/goptuna/issues/236
@ -112,7 +112,7 @@ func (o *HyperparameterOptimizer) buildStudy(trialFinishChan chan goptuna.Frozen
studyOpts = append(studyOpts, goptuna.StudyOptionRelativeSampler(relativeSampler))
}
return goptuna.CreateStudy(o.StudyName, studyOpts...)
return goptuna.CreateStudy(o.SessionName, studyOpts...)
}
func (o *HyperparameterOptimizer) buildParamDomains() (map[string]string, []paramDomain) {
@ -288,7 +288,7 @@ func (o *HyperparameterOptimizer) Run(executor Executor, configJson []byte) (*Hy
bar.Finish()
return &HyperparameterOptimizeReport{
Name: o.StudyName,
Name: o.SessionName,
Objective: o.Config.Objective,
Parameters: labelPaths,
Best: buildBestHyperparameterOptimizeResult(study),