Merge pull request #627 from c9s/feature/optimizer

feature: add grid optimizer

config/bollmaker_optimizer.yaml

@@ -0,0 +1,21 @@
+# usage:
+#
+#   go run ./cmd/bbgo optimize --config bollmaker_ethusdt.yaml  --optimizer-config optimizer.yaml --debug
+#
+---
+matrix:
+- type: iterate
+  path: '/exchangeStrategies/0/bollmaker/interval'
+  values: ["1m", "5m", "15m", "30m"]
+
+- type: range
+  path: '/exchangeStrategies/0/bollmaker/amount'
+  min: 20.0
+  max: 100.0
+  step: 20.0
+
+- type: range
+  path: '/exchangeStrategies/0/bollmaker/spread'
+  min: 0.1%
+  max: 0.2%
+  step: 0.01%

config/optimizer.yaml

@@ -0,0 +1,21 @@
+# usage:
+#
+#   go run ./cmd/bbgo optimize --config bollmaker_ethusdt.yaml  --optimizer-config optimizer.yaml --debug
+#
+---
+matrix:
+- type: iterate
+  path: '/exchangeStrategies/0/bollmaker/interval'
+  values: ["1m", "5m"]
+
+- type: range
+  path: '/exchangeStrategies/0/bollmaker/amount'
+  min: 20.0
+  max: 40.0
+  step: 20.0
+
+- type: range
+  path: '/exchangeStrategies/0/bollmaker/spread'
+  min: 0.1%
+  max: 0.2%
+  step: 0.02%

go.mod

@@ -57,6 +57,7 @@ require (
 	github.com/davecgh/go-spew v1.1.1 // indirect
 	github.com/denisenkom/go-mssqldb v0.12.0 // indirect
 	github.com/dgryski/go-rendezvous v0.0.0-20200823014737-9f7001d12a5f // indirect
+	github.com/evanphx/json-patch/v5 v5.6.0 // indirect
 	github.com/fastly/go-utils v0.0.0-20180712184237-d95a45783239 // indirect
 	github.com/fsnotify/fsnotify v1.4.9 // indirect
 	github.com/gin-contrib/sse v0.1.0 // indirect

go.sum

@@ -112,6 +112,8 @@ 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/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=
 github.com/fastly/go-utils v0.0.0-20180712184237-d95a45783239/go.mod h1:Gdwt2ce0yfBxPvZrHkprdPPTTS3N5rwmLE8T22KBXlw=
 github.com/fatih/camelcase v1.0.0/go.mod h1:yN2Sb0lFhZJUdVvtELVWefmrXpuZESvPmqwoZc+/fpc=
@@ -265,6 +267,7 @@ github.com/inconshreveable/mousetrap v1.0.0 h1:Z8tu5sraLXCXIcARxBp/8cbvlwVa7Z1NH
 github.com/inconshreveable/mousetrap v1.0.0/go.mod h1:PxqpIevigyE2G7u3NXJIT2ANytuPF1OarO4DADm73n8=
 github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 h1:IPJ3dvxmJ4uczJe5YQdrYB16oTJlGSC/OyZDqUk9xX4=
 github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869/go.mod h1:cJ6Cj7dQo+O6GJNiMx+Pa94qKj+TG8ONdKHgMNIyyag=
+github.com/jessevdk/go-flags v1.4.0/go.mod h1:4FA24M0QyGHXBuZZK/XkWh8h0e1EYbRYJSGM75WSRxI=
 github.com/jmoiron/sqlx v1.3.4 h1:wv+0IJZfL5z0uZoUjlpKgHkgaFSYD+r9CfrXjEXsO7w=
 github.com/jmoiron/sqlx v1.3.4/go.mod h1:2BljVx/86SuTyjE+aPYlHCTNvZrnJXghYGpNiXLBMCQ=
 github.com/joho/godotenv v1.3.0 h1:Zjp+RcGpHhGlrMbJzXTrZZPrWj+1vfm90La1wgB6Bhc=

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

@@ -39,11 +39,26 @@ type SummaryReport struct {
 	InitialTotalBalances types.BalanceMap `json:"initialTotalBalances"`
 	FinalTotalBalances   types.BalanceMap `json:"finalTotalBalances"`
 
+	// TotalProfit is the profit aggregated from the symbol reports
+	TotalProfit           fixedpoint.Value `json:"totalProfit,omitempty"`
+	TotalUnrealizedProfit fixedpoint.Value `json:"totalUnrealizedProfit,omitempty"`
+
 	SymbolReports []SessionSymbolReport `json:"symbolReports,omitempty"`
 
 	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,
@@ -492,6 +485,8 @@ var BacktestCmd = &cobra.Command{
 
 				summaryReport.Symbols = append(summaryReport.Symbols, symbol)
 				summaryReport.SymbolReports = append(summaryReport.SymbolReports, *symbolReport)
+				summaryReport.TotalProfit = symbolReport.PnL.Profit
+				summaryReport.TotalUnrealizedProfit = symbolReport.PnL.UnrealizedProfit
 
 				// write report to a file
 				if generatingReport {
@@ -500,24 +495,39 @@ var BacktestCmd = &cobra.Command{
 						return err
 					}
 				}
-
-				symbolReport.Print(wantBaseAssetBaseline)
 			}
 		}
 
-		if generatingReport && reportFileInSubDir {
+		if generatingReport {
 			summaryReportFile := filepath.Join(reportDir, "summary.json")
+
+			// output summary report filepath to stdout, so that our optimizer can read from it
+			fmt.Println(summaryReportFile)
+
 			if err := util.WriteJsonFile(summaryReportFile, summaryReport); err != nil {
 				return err
 			}
 
 			// append report index
-			if err := backtest.AddReportIndexRun(outputDirectory, backtest.Run{
-				ID:     runID,
-				Config: userConfig,
-				Time:   time.Now(),
-			}); err != nil {
-				return err
+			if reportFileInSubDir {
+				if err := backtest.AddReportIndexRun(outputDirectory, backtest.Run{
+					ID:     runID,
+					Config: userConfig,
+					Time:   time.Now(),
+				}); err != nil {
+					return err
+				}
+			}
+		} 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/cmd/optimize.go

@@ -0,0 +1,88 @@
+package cmd
+
+import (
+	"context"
+	"encoding/json"
+	"io/ioutil"
+	"os"
+
+	"github.com/spf13/cobra"
+	"gopkg.in/yaml.v3"
+
+	"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)
+}
+
+var optimizeCmd = &cobra.Command{
+	Use:   "optimize",
+	Short: "run optimizer",
+
+	// 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
+		}
+
+		outputDirectory, err := cmd.Flags().GetString("output")
+		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
+
+		configDir, err := os.MkdirTemp("", "bbgo-config-*")
+		if err != nil {
+			return err
+		}
+
+		executor := &optimizer.LocalProcessExecutor{
+			Bin:       os.Args[0],
+			WorkDir:   ".",
+			ConfigDir: configDir,
+			OutputDir: outputDirectory,
+		}
+
+		optz := &optimizer.GridOptimizer{
+			Config: optConfig,
+		}
+
+		return optz.Run(executor, configJson)
+	},
+}

pkg/optimizer/config.go

@@ -0,0 +1,36 @@
+package optimizer
+
+import (
+	"io/ioutil"
+
+	"gopkg.in/yaml.v3"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+)
+
+type SelectorConfig struct {
+	Type   string           `json:"type" yaml:"type"`
+	Path   string           `json:"path" yaml:"path"`
+	Values []string         `json:"values,omitempty" yaml:"values,omitempty"`
+	Min    fixedpoint.Value `json:"min,omitempty" yaml:"min,omitempty"`
+	Max    fixedpoint.Value `json:"max,omitempty" yaml:"max,omitempty"`
+	Step   fixedpoint.Value `json:"step,omitempty" yaml:"step,omitempty"`
+}
+
+type Config struct {
+	Matrix []SelectorConfig `yaml:"matrix"`
+}
+
+func LoadConfig(yamlConfigFileName string) (*Config, error) {
+	configYaml, err := ioutil.ReadFile(yamlConfigFileName)
+	if err != nil {
+		return nil, err
+	}
+
+	var optConfig Config
+	if err := yaml.Unmarshal(configYaml, &optConfig); err != nil {
+		return nil, err
+	}
+
+	return &optConfig, nil
+}

pkg/optimizer/grid.go

@@ -0,0 +1,162 @@
+package optimizer
+
+import (
+	"fmt"
+	"sort"
+
+	"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{}    `json:"params,omitempty"`
+	Value  fixedpoint.Value `json:"value,omitempty"`
+}
+
+type GridOptimizer struct {
+	Config *Config
+
+	CurrentParams []interface{}
+
+	Metrics []Metric
+}
+
+func (o *GridOptimizer) buildOps() []OpFunc {
+	var ops []OpFunc
+
+	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":
+			min := selector.Min
+			max := selector.Max
+			step := selector.Step
+			if step.IsZero() {
+				step = fixedpoint.One
+			}
+
+			var values []fixedpoint.Value
+			for val := min; val.Compare(max) <= 0; val = val.Add(step) {
+				values = append(values, val)
+			}
+
+			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)
+					if err != nil {
+						return err
+					}
+
+					log.Debugf("json op: %s", jsonOp)
+
+					patchedJson, err := patch.ApplyIndent(configJson, "  ")
+					if err != nil {
+						return err
+					}
+
+					valCopy := val
+					o.CurrentParams[ii] = valCopy
+					if err := next(patchedJson); 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 {
+				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 {
+						return err
+					}
+
+					log.Debugf("json op: %s", jsonOp)
+
+					patchedJson, err := patch.ApplyIndent(configJson, "  ")
+					if err != nil {
+						return err
+					}
+
+					valCopy := val
+					o.CurrentParams[ii] = valCopy
+					if err := next(patchedJson); err != nil {
+						return err
+					}
+				}
+
+				return nil
+			}
+			ops = append(ops, f)
+		}
+	}
+	return ops
+}
+
+func (o *GridOptimizer) Run(executor Executor, configJson []byte) error {
+	o.CurrentParams = make([]interface{}, len(o.Config.Matrix))
+
+	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)
+
+		// TODO: replace this with a local variable and return it as a function result
+		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, inner)
+		}
+	}
+
+	err := wrapper(configJson)
+
+	// sort metrics
+	sort.Slice(o.Metrics, func(i, j int) bool {
+		a := o.Metrics[i].Value
+		b := o.Metrics[j].Value
+		return a.Compare(b) > 0
+	})
+	log.Infof("metrics: %+v", o.Metrics)
+	return err
+}

pkg/optimizer/local.go

@@ -0,0 +1,66 @@
+package optimizer
+
+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) (*backtest.SummaryReport, error)
+}
+
+type LocalProcessExecutor struct {
+	Bin       string
+	WorkDir   string
+	ConfigDir string
+	OutputDir string
+}
+
+func (e *LocalProcessExecutor) Execute(configJson []byte) (*backtest.SummaryReport, error) {
+	var o map[string]interface{}
+	if err := json.Unmarshal(configJson, &o); err != nil {
+		return nil, err
+	}
+
+	yamlConfig, err := yaml.Marshal(o)
+	if err != nil {
+		return nil, err
+	}
+
+	tf, err := os.CreateTemp(e.ConfigDir, "bbgo-*.yaml")
+	if err != nil {
+		return nil, err
+	}
+
+	if _, err = tf.Write(yamlConfig); err != nil {
+		return nil, err
+	}
+
+	c := exec.Command(e.Bin, "backtest", "--config", tf.Name(), "--output", e.OutputDir, "--subdir")
+	output, err := c.Output()
+	if err != nil {
+		return nil, err
+	}
+
+	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
+}

pkg/optimizer/operator.go

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

pkg/types/balance.go

@@ -6,6 +6,8 @@ import (
 	"strings"
 	"time"
 
+	log "github.com/sirupsen/logrus"
+
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
@@ -60,7 +62,6 @@ func (b Balance) String() (o string) {
 	return o
 }
 
-
 type BalanceSnapshot struct {
 	Balances BalanceMap `json:"balances"`
 	Session  string     `json:"session"`
@@ -191,15 +192,16 @@ func (m BalanceMap) Print() {
 			continue
 		}
 
-		fmt.Printf(" %s: %v", balance.Currency, balance.Available)
+		o := fmt.Sprintf(" %s: %v", balance.Currency, balance.Available)
 		if balance.Locked.Sign() > 0 {
-			fmt.Printf(" (locked %v)", balance.Locked)
+			o += fmt.Sprintf(" (locked %v)", balance.Locked)
 		}
 
 		if balance.Borrowed.Sign() > 0 {
-			fmt.Printf(" (borrowed %v)", balance.Borrowed)
+			o += fmt.Sprintf(" (borrowed %v)", balance.Borrowed)
 		}
-		fmt.Println()
+
+		log.Infoln(o)
 	}
 }