qbtrade/pkg/optimizer/config.go

package optimizer

import (
	"fmt"
	"io/ioutil"
	"strings"

	"gopkg.in/yaml.v3"

	"git.qtrade.icu/lychiyu/qbtrade/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, HpOptimizerObjectiveProfitFactor:
		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
}