package optimizer import ( "fmt" "io/ioutil" "strings" "gopkg.in/yaml.v3" "github.com/c9s/bbgo/pkg/fixedpoint" ) const ( selectorTypeRange = "range" // deprecated: replaced by selectorTypeRangeFloat selectorTypeRangeFloat = "rangeFloat" selectorTypeRangeInt = "rangeInt" selectorTypeIterate = "iterate" // deprecated: replaced by selectorTypeString selectorTypeString = "string" selectorTypeBool = "bool" ) type SelectorConfig struct { Type string `json:"type" yaml:"type"` Label string `json:"label,omitempty" yaml:"label,omitempty"` 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 LocalExecutorConfig struct { MaxNumberOfProcesses int `json:"maxNumberOfProcesses" yaml:"maxNumberOfProcesses"` } type ExecutorConfig struct { Type string `json:"type" yaml:"type"` LocalExecutorConfig *LocalExecutorConfig `json:"local" yaml:"local"` } type Config struct { Executor *ExecutorConfig `json:"executor" yaml:"executor"` MaxThread int `yaml:"maxThread,omitempty"` Matrix []SelectorConfig `yaml:"matrix"` Algorithm string `yaml:"algorithm,omitempty"` Objective string `yaml:"objectiveBy,omitempty"` MaxEvaluation int `yaml:"maxEvaluation"` } var defaultExecutorConfig = &ExecutorConfig{ Type: "local", LocalExecutorConfig: defaultLocalExecutorConfig, } var defaultLocalExecutorConfig = &LocalExecutorConfig{ MaxNumberOfProcesses: 10, } 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 } switch alg := strings.ToLower(optConfig.Algorithm); alg { case "", "default": optConfig.Algorithm = HpOptimizerAlgorithmTPE case HpOptimizerAlgorithmTPE, HpOptimizerAlgorithmCMAES, HpOptimizerAlgorithmSOBOL, HpOptimizerAlgorithmRandom: optConfig.Algorithm = alg default: return nil, fmt.Errorf(`unknown algorithm "%s"`, optConfig.Algorithm) } switch objective := strings.ToLower(optConfig.Objective); objective { case "", "default": optConfig.Objective = HpOptimizerObjectiveEquity case HpOptimizerObjectiveEquity, HpOptimizerObjectiveProfit, HpOptimizerObjectiveVolume: optConfig.Objective = objective default: return nil, fmt.Errorf(`unknown objective "%s"`, optConfig.Objective) } if optConfig.MaxEvaluation <= 0 { optConfig.MaxEvaluation = 100 } if optConfig.Executor == nil { optConfig.Executor = defaultExecutorConfig } if optConfig.Executor.Type == "" { optConfig.Executor.Type = "local" } if optConfig.Executor.Type == "local" && optConfig.Executor.LocalExecutorConfig == nil { optConfig.Executor.LocalExecutorConfig = defaultLocalExecutorConfig } return &optConfig, nil }