package optimizer import ( "encoding/json" "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 { Labels []string `json:"labels,omitempty"` Params []interface{} `json:"params,omitempty"` Value fixedpoint.Value `json:"value,omitempty"` } type GridOptimizer struct { Config *Config ParamLabels []string CurrentParams []interface{} } func (o *GridOptimizer) buildOps() []OpFunc { var ops []OpFunc o.CurrentParams = make([]interface{}, len(o.Config.Matrix)) o.ParamLabels = make([]string, 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 if selector.Label != "" { o.ParamLabels[ii] = selector.Label } else { o.ParamLabels[ii] = selector.Path } 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(reformatJson(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(reformatJson(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) case "bool": values := []bool{true, false} 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(reformatJson(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) } } return ops } func (o *GridOptimizer) Run(executor Executor, configJson []byte) ([]Metric, error) { o.CurrentParams = make([]interface{}, len(o.Config.Matrix)) var metrics []Metric 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 more metric value function metricValue := TotalProfitMetricValueFunc(summaryReport) var currentParams = make([]interface{}, len(o.CurrentParams)) copy(currentParams, o.CurrentParams) metrics = append(metrics, Metric{ Params: currentParams, Labels: o.ParamLabels, Value: metricValue, }) log.Infof("current params: %+v => %+v", 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.Slice(metrics, func(i, j int) bool { a := metrics[i].Value b := metrics[j].Value return a.Compare(b) > 0 }) return metrics, err } func reformatJson(text string) string { var a interface{} var err = json.Unmarshal([]byte(text), &a) if err != nil { return "{invalid json}" } out, _ := json.MarshalIndent(a, "", " ") return string(out) }