lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-09-20 00:01:09 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

optimizer: fix op builder

Browse Source
This commit is contained in:
c9s 2022-05-19 20:31:25 +08:00
parent 960f967c34
commit b3da6caddb
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
6 changed files with 132 additions and 49 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

4
config/optimizer.yaml
View File

@ -12,10 +12,10 @@ matrix:
path: '/exchangeStrategies/0/bollmaker/amount'
min: 20.0
max: 100.0
step: 10.0
step: 20.0
- type: range
path: '/exchangeStrategies/0/bollmaker/spread'
min: 0.1%
max: 0.2%
step: 0.01%
step: 0.02%

19
pkg/backtest/manifests.go
View File

@ -12,6 +12,25 @@ type ManifestEntry struct {
type Manifests map[InstancePropertyIndex]string
func (m *Manifests) UnmarshalJSON(j []byte) error {
var entries []ManifestEntry
if err := json.Unmarshal(j, &entries); err != nil {
return err
}
mm := make(Manifests)
for _, entry := range entries {
index := InstancePropertyIndex{
ID: entry.StrategyID,
InstanceID: entry.StrategyInstance,
Property: entry.StrategyProperty,
}
mm[index] = entry.Filename
}
*m = mm
return nil
}
func (m Manifests) MarshalJSON() ([]byte, error) {
var arr []ManifestEntry
for k, v := range m {

11
pkg/backtest/report.go
View File

@ -48,6 +48,17 @@ type SummaryReport struct {
Manifests Manifests `json:"manifests,omitempty"`
}
func ReadSummaryReport(filename string) (*SummaryReport, error) {
o, err := ioutil.ReadFile(filename)
if err != nil {
return nil, err
}
var report SummaryReport
err = json.Unmarshal(o, &report)
return &report, err
}
// SessionSymbolReport is the report per exchange session
// trades are merged, collected and re-calculated
type SessionSymbolReport struct {

14
pkg/cmd/backtest.go
View File

@ -452,13 +452,6 @@ var BacktestCmd = &cobra.Command{
finalTotalBalances = finalTotalBalances.Add(finalBalances)
}
color.Green("BACK-TEST REPORT")
color.Green("===============================================\n")
color.Green("START TIME: %s\n", startTime.Format(time.RFC1123))
color.Green("END TIME: %s\n", endTime.Format(time.RFC1123))
color.Green("INITIAL TOTAL BALANCE: %v\n", initTotalBalances)
color.Green("FINAL TOTAL BALANCE: %v\n", finalTotalBalances)
summaryReport := &backtest.SummaryReport{
StartTime: startTime,
EndTime: endTime,
@ -526,6 +519,13 @@ var BacktestCmd = &cobra.Command{
}
}
} else {
color.Green("BACK-TEST REPORT")
color.Green("===============================================\n")
color.Green("START TIME: %s\n", startTime.Format(time.RFC1123))
color.Green("END TIME: %s\n", endTime.Format(time.RFC1123))
color.Green("INITIAL TOTAL BALANCE: %v\n", initTotalBalances)
color.Green("FINAL TOTAL BALANCE: %v\n", finalTotalBalances)
for _, symbolReport := range summaryReport.SymbolReports {
symbolReport.Print(wantBaseAssetBaseline)
}

89
pkg/optimizer/grid.go
View File

@ -5,17 +5,37 @@ import (
"github.com/evanphx/json-patch/v5"
"github.com/c9s/bbgo/pkg/backtest"
"github.com/c9s/bbgo/pkg/fixedpoint"
)
type MetricValueFunc func(summaryReport *backtest.SummaryReport) fixedpoint.Value
var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
return summaryReport.TotalProfit
}
type Metric struct {
Params []interface{}
Value fixedpoint.Value
}
type GridOptimizer struct {
Config *Config
CurrentParams []interface{}
Metrics []Metric
}
func (o *GridOptimizer) buildOps() []OpFunc {
var ops []OpFunc
for _, selector := range o.Config.Matrix {
o.CurrentParams = make([]interface{}, len(o.Config.Matrix))
for i, selector := range o.Config.Matrix {
var path = selector.Path
var ii = i // copy variable because we need to use them in the closure
switch selector.Type {
case "range":
@ -26,13 +46,12 @@ func (o *GridOptimizer) buildOps() []OpFunc {
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)
}
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)
f := func(configJson []byte, next func(configJson []byte) error) error {
for _, val := range values {
jsonOp := []byte(fmt.Sprintf(`[ {"op": "replace", "path": "%s", "value": %v } ]`, path, val))
patch, err := jsonpatch.DecodePatch(jsonOp)
@ -42,12 +61,14 @@ func (o *GridOptimizer) buildOps() []OpFunc {
log.Debugf("json op: %s", jsonOp)
configJson, err := patch.ApplyIndent(configJson, " ")
patchedJson, err := patch.ApplyIndent(configJson, " ")
if err != nil {
return err
}
if err := next(configJson); err != nil {
valCopy := val
o.CurrentParams[ii] = valCopy
if err := next(patchedJson); err != nil {
return err
}
}
@ -59,8 +80,9 @@ func (o *GridOptimizer) buildOps() []OpFunc {
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 {
log.Debugf("%d %s: %v of %v", ii, path, val, values)
jsonOp := []byte(fmt.Sprintf(`[{"op": "replace", "path": "%s", "value": "%s"}]`, path, val))
patch, err := jsonpatch.DecodePatch(jsonOp)
if err != nil {
@ -69,12 +91,14 @@ func (o *GridOptimizer) buildOps() []OpFunc {
log.Debugf("json op: %s", jsonOp)
configJson, err := patch.ApplyIndent(configJson, " ")
patchedJson, err := patch.ApplyIndent(configJson, " ")
if err != nil {
return err
}
if err := next(configJson); err != nil {
valCopy := val
o.CurrentParams[ii] = valCopy
if err := next(patchedJson); err != nil {
return err
}
}
@ -88,21 +112,38 @@ func (o *GridOptimizer) buildOps() []OpFunc {
}
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)
o.CurrentParams = make([]interface{}, len(o.Config.Matrix))
var wrapper = func(configJson []byte) error { return nil }
for i := len(ops) - 1; i > 0; i-- {
next := ops[i]
cur := ops[i-1]
var ops = o.buildOps()
var app = func(configJson []byte, next func(configJson []byte) error) error {
summaryReport, err := executor.Execute(configJson)
if err != nil {
return err
}
// TODO: Add other metric value function
metricValue := TotalProfitMetricValueFunc(summaryReport)
o.Metrics = append(o.Metrics, Metric{
Params: o.CurrentParams,
Value: metricValue,
})
log.Infof("current params: %+v => %+v", o.CurrentParams, metricValue)
return nil
}
log.Debugf("build %d ops", len(ops))
var wrapper = func(configJson []byte) error {
return app(configJson, nil)
}
for i := len(ops) - 1; i >= 0; i-- {
cur := ops[i]
inner := wrapper
wrapper = func(configJson []byte) error {
return cur(configJson, func(configJson []byte) error {
return next(configJson, inner)
})
return cur(configJson, inner)
}
}

44
pkg/optimizer/local.go
View File

@ -4,51 +4,63 @@ import (
"encoding/json"
"os"
"os/exec"
"strings"
"github.com/sirupsen/logrus"
"gopkg.in/yaml.v3"
"github.com/c9s/bbgo/pkg/backtest"
)
var log = logrus.WithField("component", "optimizer")
type Executor interface {
Execute(configJson []byte) error
Execute(configJson []byte) (*backtest.SummaryReport, error)
}
type LocalProcessExecutor struct {
Bin string
WorkDir string
ConfigDir string
OutputDir string
CombineOutput bool
Bin string
WorkDir string
ConfigDir string
OutputDir string
}
func (e *LocalProcessExecutor) Execute(configJson []byte) error {
func (e *LocalProcessExecutor) Execute(configJson []byte) (*backtest.SummaryReport, error) {
var o map[string]interface{}
if err := json.Unmarshal(configJson, &o); err != nil {
return err
return nil, err
}
yamlConfig, err := yaml.Marshal(o)
if err != nil {
return err
return nil, err
}
tf, err := os.CreateTemp(e.ConfigDir, "bbgo-*.yaml")
if err != nil {
return err
return nil, err
}
if _, err = tf.Write(yamlConfig); err != nil {
return err
return nil, err
}
c := exec.Command(e.Bin, "backtest", "--config", tf.Name(), "--output", e.OutputDir, "--subdir")
// c.Output()
if e.CombineOutput {
c.Stdout = os.Stdout
c.Stderr = os.Stderr
output, err := c.Output()
if err != nil {
return nil, err
}
return c.Run()
summaryReportFilepath := strings.TrimSpace(string(output))
_, err = os.Stat(summaryReportFilepath)
if os.IsNotExist(err) {
return nil, err
}
summaryReport, err := backtest.ReadSummaryReport(summaryReportFilepath)
if err != nil {
return nil, err
}
return summaryReport, nil
}