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 }