optimizer: fix op builder

config/optimizer.yaml

@@ -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%

pkg/backtest/manifests.go

@@ -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 {

pkg/backtest/report.go

@@ -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 {

pkg/cmd/backtest.go

@@ -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)
 			}

pkg/optimizer/grid.go

@@ -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
-				var values []fixedpoint.Value
+			for val := min; val.Compare(max) <= 0; val = val.Add(step) {
-				for val := min; val.Compare(max) < 0; val = val.Add(step) {
+				values = append(values, val)
-					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()
+	o.CurrentParams = make([]interface{}, len(o.Config.Matrix))
-	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 }
+	var ops = o.buildOps()
-	for i := len(ops) - 1; i > 0; i-- {
+	var app = func(configJson []byte, next func(configJson []byte) error) error {
-		next := ops[i]
+		summaryReport, err := executor.Execute(configJson)
-		cur := ops[i-1]
+		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 cur(configJson, inner)
-				return next(configJson, inner)
-			})
 		}
 	}
 

pkg/optimizer/local.go

@@ -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
+	Bin       string
-	WorkDir       string
+	WorkDir   string
-	ConfigDir     string
+	ConfigDir string
-	OutputDir     string
+	OutputDir string
-	CombineOutput bool
 }
 
-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()
+	output, err := c.Output()
-	if e.CombineOutput {
+	if err != nil {
-		c.Stdout = os.Stdout
+		return nil, err
-		c.Stderr = os.Stderr
 	}
 
-	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
 }