bbgo_origin/pkg/optimizer/grid.go
2022-05-20 01:53:51 +08:00

182 lines
4.1 KiB
Go

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)
}
}
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)
metrics = append(metrics, Metric{
Params: o.CurrentParams,
Labels: o.ParamLabels,
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.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)
}