implement grid optimizer and local process executor

pkg/cmd/optimize.go

@@ -3,21 +3,18 @@ package cmd
 import (
 	"context"
 	"encoding/json"
-	"fmt"
 	"io/ioutil"
 	"os"
 
-	jsonpatch "github.com/evanphx/json-patch/v5"
-	log "github.com/sirupsen/logrus"
 	"github.com/spf13/cobra"
 	"gopkg.in/yaml.v3"
 
-	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/optimizer"
 )
 
 func init() {
 	optimizeCmd.Flags().String("optimizer-config", "optimizer.yaml", "config file")
+	optimizeCmd.Flags().String("output", "output", "backtest report output directory")
 	RootCmd.AddCommand(optimizeCmd)
 }
 
@@ -39,6 +36,11 @@ var optimizeCmd = &cobra.Command{
 			return err
 		}
 
+		outputDirectory, err := cmd.Flags().GetString("output")
+		if err != nil {
+			return err
+		}
+
 		yamlBody, err := ioutil.ReadFile(configFile)
 		if err != nil {
 			return err
@@ -60,112 +62,27 @@ var optimizeCmd = &cobra.Command{
 		if err != nil {
 			return err
 		}
-		log.Info(string(configJson))
 
 		ctx, cancel := context.WithCancel(context.Background())
 		defer cancel()
 		_ = ctx
 
-		log.Info(os.Args)
-		binary := os.Args[0]
-		_ = binary
-
-		type OpFunc func(configJson []byte, next func(configJson []byte) error) error
-		var ops []OpFunc
-
-		for _, selector := range optConfig.Matrix {
-			path := selector.Path
-
-			switch selector.Type {
-			case "range":
-				min := selector.Min
-				max := selector.Max
-				step := selector.Step
-				if step.IsZero() {
-					step = fixedpoint.One
-				}
-
-				f := func(configJson []byte, next func(configJson []byte) error) error {
-					var values []fixedpoint.Value
-					for val := min; val.Compare(max) < 0; val = val.Add(step) {
-						values = append(values, val)
-					}
-
-					log.Infof("ranged values: %v", values)
-					for _, val := range values {
-						jsonOp := []byte(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)
-
-						configJson, err := patch.ApplyIndent(configJson, "  ")
-						if err != nil {
-							return err
-						}
-
-						if err := next(configJson); 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 {
-					log.Infof("iterate values: %v", values)
-					for _, val := range values {
-						jsonOp := []byte(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)
-
-						configJson, err := patch.ApplyIndent(configJson, "  ")
-						if err != nil {
-							return err
-						}
-
-						if err := next(configJson); err != nil {
-							return err
-						}
-					}
-
-					return nil
-				}
-				ops = append(ops, f)
-			}
+		configDir, err := os.MkdirTemp("", "bbgo-config-*")
+		if err != nil {
+			return err
 		}
 
-		var last = func(configJson []byte, next func(configJson []byte) error) error {
-			log.Info("configJson", string(configJson))
-			return nil
-		}
-		ops = append(ops, last)
-
-		log.Infof("%d ops: %v", len(ops), ops)
-
-		var wrapper = func(configJson []byte) error { return nil }
-		for i := len(ops) - 1; i > 0; i-- {
-			next := ops[i]
-			cur := ops[i-1]
-			inner := wrapper
-			a := i
-			wrapper = func(configJson []byte) error {
-				log.Infof("wrapper fn #%d", a)
-				return cur(configJson, func(configJson []byte) error {
-					return next(configJson, inner)
-				})
-			}
+		executor := &optimizer.LocalProcessExecutor{
+			Bin:       os.Args[0],
+			WorkDir:   ".",
+			ConfigDir: configDir,
+			OutputDir: outputDirectory,
 		}
 
-		return wrapper(configJson)
+		optz := &optimizer.GridOptimizer{
+			Config: optConfig,
+		}
+
+		return optz.Run(executor, configJson)
 	},
 }

pkg/optimizer/grid.go

@@ -0,0 +1,110 @@
+package optimizer
+
+import (
+	"fmt"
+
+	"github.com/evanphx/json-patch/v5"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+type GridOptimizer struct {
+	Config *Config
+}
+
+func (o *GridOptimizer) buildOps() []OpFunc {
+	var ops []OpFunc
+	for _, selector := range o.Config.Matrix {
+		var path = selector.Path
+
+		switch selector.Type {
+		case "range":
+			min := selector.Min
+			max := selector.Max
+			step := selector.Step
+			if step.IsZero() {
+				step = fixedpoint.One
+			}
+
+			f := func(configJson []byte, next func(configJson []byte) error) error {
+				var values []fixedpoint.Value
+				for val := min; val.Compare(max) < 0; val = val.Add(step) {
+					values = append(values, val)
+				}
+
+				log.Debugf("ranged values: %v", values)
+				for _, val := range values {
+					jsonOp := []byte(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)
+
+					configJson, err := patch.ApplyIndent(configJson, "  ")
+					if err != nil {
+						return err
+					}
+
+					if err := next(configJson); 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 {
+				log.Debugf("iterate values: %v", values)
+				for _, val := range values {
+					jsonOp := []byte(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)
+
+					configJson, err := patch.ApplyIndent(configJson, "  ")
+					if err != nil {
+						return err
+					}
+
+					if err := next(configJson); err != nil {
+						return err
+					}
+				}
+
+				return nil
+			}
+			ops = append(ops, f)
+		}
+	}
+	return ops
+}
+
+func (o *GridOptimizer) Run(executor Executor, configJson []byte) error {
+	var ops = o.buildOps()
+	var last = func(configJson []byte, next func(configJson []byte) error) error {
+		return executor.Execute(configJson)
+	}
+	ops = append(ops, last)
+
+	var wrapper = func(configJson []byte) error { return nil }
+	for i := len(ops) - 1; i > 0; i-- {
+		next := ops[i]
+		cur := ops[i-1]
+		inner := wrapper
+		wrapper = func(configJson []byte) error {
+			return cur(configJson, func(configJson []byte) error {
+				return next(configJson, inner)
+			})
+		}
+	}
+
+	return wrapper(configJson)
+}

pkg/optimizer/local.go

@@ -0,0 +1,55 @@
+package optimizer
+
+import (
+	"encoding/json"
+	"os"
+	"os/exec"
+
+	"github.com/sirupsen/logrus"
+	"gopkg.in/yaml.v3"
+)
+
+var log = logrus.WithField("component", "optimizer")
+
+type Executor interface {
+	Execute(configJson []byte) error
+}
+
+type LocalProcessExecutor struct {
+	Bin           string
+	WorkDir       string
+	ConfigDir     string
+	OutputDir     string
+	CombineOutput bool
+}
+
+func (e *LocalProcessExecutor) Execute(configJson []byte) error {
+	var o map[string]interface{}
+	if err := json.Unmarshal(configJson, &o); err != nil {
+		return err
+	}
+
+	yamlConfig, err := yaml.Marshal(o)
+	if err != nil {
+		return err
+	}
+
+	tf, err := os.CreateTemp(e.ConfigDir, "bbgo-*.yaml")
+	if err != nil {
+		return err
+	}
+
+	if _, err = tf.Write(yamlConfig); err != nil {
+		return err
+	}
+
+	c := exec.Command(e.Bin, "backtest", "--config", tf.Name(), "--output", e.OutputDir, "--subdir")
+	log.Infof("cmd: %+v", c)
+
+	if e.CombineOutput {
+		c.Stdout = os.Stdout
+		c.Stderr = os.Stderr
+	}
+
+	return c.Run()
+}

pkg/optimizer/operator.go

@@ -0,0 +1,3 @@
+package optimizer
+
+type OpFunc func(configJson []byte, next func(configJson []byte) error) error