mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 14:55:16 +00:00
106 lines
3.1 KiB
Go
106 lines
3.1 KiB
Go
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
|
|
}
|