Merge pull request #801 from c9s/feature/optimizer-metrics-tsv-format

feature: optimizer: support --tsv option and render tsv output

pkg/cmd/optimize.go

@@ -4,19 +4,24 @@ import (
 	"context"
 	"encoding/json"
 	"fmt"
+	"io"
 	"io/ioutil"
 	"os"
+	"strconv"
 
 	"github.com/spf13/cobra"
 	"gopkg.in/yaml.v3"
 
+	"github.com/c9s/bbgo/pkg/data/tsv"
+	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/optimizer"
 )
 
 func init() {
 	optimizeCmd.Flags().String("optimizer-config", "optimizer.yaml", "config file")
 	optimizeCmd.Flags().String("output", "output", "backtest report output directory")
 	optimizeCmd.Flags().Bool("json", false, "print optimizer metrics in json format")
+	optimizeCmd.Flags().Bool("tsv", false, "print optimizer metrics in csv format")
 	RootCmd.AddCommand(optimizeCmd)
 }
 
@@ -43,6 +48,11 @@ var optimizeCmd = &cobra.Command{
 			return err
 		}
 
+		printTsvFormat, err := cmd.Flags().GetBool("tsv")
+		if err != nil {
+			return err
+		}
+
 		outputDirectory, err := cmd.Flags().GetString("output")
 		if err != nil {
 			return err
@@ -104,6 +114,10 @@ var optimizeCmd = &cobra.Command{
 
 			// print metrics JSON to stdout
 			fmt.Println(string(out))
+		} else if printTsvFormat {
+			if err := formatMetricsTsv(metrics, os.Stdout); err != nil {
+				return err
+			}
 		} else {
 			for n, values := range metrics {
 				if len(values) == 0 {
@@ -120,3 +134,95 @@ var optimizeCmd = &cobra.Command{
 		return nil
 	},
 }
+
+func transformMetricsToRows(metrics map[string][]optimizer.Metric) (headers []string, rows [][]interface{}) {
+	var metricsKeys []string
+	for k := range metrics {
+		metricsKeys = append(metricsKeys, k)
+	}
+
+	var numEntries int
+	var paramLabels []string
+	for _, ms := range metrics {
+		for _, m := range ms {
+			paramLabels = m.Labels
+			break
+		}
+
+		numEntries = len(ms)
+		break
+	}
+
+	headers = append(paramLabels, metricsKeys...)
+	rows = make([][]interface{}, numEntries)
+
+	var metricsRows = make([][]interface{}, numEntries)
+
+	// build params into the rows
+	for i, m := range metrics[metricsKeys[0]] {
+		rows[i] = m.Params
+	}
+
+	for _, metricKey := range metricsKeys {
+		for i, ms := range metrics[metricKey] {
+			if len(metricsRows[i]) == 0 {
+				metricsRows[i] = make([]interface{}, 0, len(metricsKeys))
+			}
+			metricsRows[i] = append(metricsRows[i], ms.Value)
+		}
+	}
+
+	// merge rows
+	for i := range rows {
+		rows[i] = append(rows[i], metricsRows[i]...)
+	}
+
+	return headers, rows
+}
+
+func formatMetricsTsv(metrics map[string][]optimizer.Metric, writer io.WriteCloser) error {
+	headers, rows := transformMetricsToRows(metrics)
+	w := tsv.NewWriter(writer)
+	if err := w.Write(headers); err != nil {
+		return err
+	}
+
+	for _, row := range rows {
+		var cells []string
+		for _, o := range row {
+			cell, err := castCellValue(o)
+			if err != nil {
+				return err
+			}
+			cells = append(cells, cell)
+		}
+
+		if err := w.Write(cells); err != nil {
+			return err
+		}
+	}
+	return w.Close()
+}
+
+func castCellValue(a interface{}) (string, error) {
+	switch tv := a.(type) {
+	case fixedpoint.Value:
+		return tv.String(), nil
+	case float64:
+		return strconv.FormatFloat(tv, 'f', -1, 64), nil
+	case int64:
+		return strconv.FormatInt(tv, 10), nil
+	case int32:
+		return strconv.FormatInt(int64(tv), 10), nil
+	case int:
+		return strconv.Itoa(tv), nil
+	case bool:
+		return strconv.FormatBool(tv), nil
+	case string:
+		return tv, nil
+	case []byte:
+		return string(tv), nil
+	default:
+		return "", fmt.Errorf("unsupported object type: %T value: %v", tv, tv)
+	}
+}

pkg/optimizer/grid.go

@@ -17,16 +17,31 @@ import (
 type MetricValueFunc func(summaryReport *backtest.SummaryReport) fixedpoint.Value
 
 var TotalProfitMetricValueFunc = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
-	if summaryReport == nil {
+	return summaryReport.TotalProfit
+}
+
+var TotalVolume = func(summaryReport *backtest.SummaryReport) fixedpoint.Value {
+	if len(summaryReport.SymbolReports) == 0 {
 		return fixedpoint.Zero
 	}
-	return summaryReport.TotalProfit
+
+	buyVolume := summaryReport.SymbolReports[0].PnL.BuyVolume
+	sellVolume := summaryReport.SymbolReports[0].PnL.SellVolume
+	return buyVolume.Add(sellVolume)
 }
 
 type Metric struct {
-	Labels []string         `json:"labels,omitempty"`
-	Params []interface{}    `json:"params,omitempty"`
-	Value  fixedpoint.Value `json:"value,omitempty"`
+	// Labels is the labels of the given parameters
+	Labels []string `json:"labels,omitempty"`
+
+	// Params is the parameters used to output the metrics result
+	Params []interface{} `json:"params,omitempty"`
+
+	// Key is the metric name
+	Key string `json:"key"`
+
+	// Value is the metric value of the metric
+	Value fixedpoint.Value `json:"value,omitempty"`
 }
 
 func copyParams(params []interface{}) []interface{} {
@@ -172,6 +187,7 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]
 
 	var valueFunctions = map[string]MetricValueFunc{
 		"totalProfit": TotalProfitMetricValueFunc,
+		"totalVolume": TotalVolume,
 	}
 	var metrics = map[string][]Metric{}
 
@@ -220,16 +236,20 @@ func (o *GridOptimizer) Run(executor Executor, configJson []byte) (map[string][]
 	close(taskC) // this will shut down the executor
 
 	for result := range resultsC {
-		for metricName, metricFunc := range valueFunctions {
-			if result.Report == nil {
-				log.Errorf("no summaryReport found for params: %+v", result.Params)
-			}
+		if result.Report == nil {
+			log.Errorf("no summaryReport found for params: %+v", result.Params)
+			continue
+		}
+
+		for metricKey, metricFunc := range valueFunctions {
 			var metricValue = metricFunc(result.Report)
-			bar.Set("log", fmt.Sprintf("params: %+v => %s %+v", result.Params, metricName, metricValue))
+			bar.Set("log", fmt.Sprintf("params: %+v => %s %+v", result.Params, metricKey, metricValue))
 			bar.Increment()
-			metrics[metricName] = append(metrics[metricName], Metric{
+
+			metrics[metricKey] = append(metrics[metricKey], Metric{
 				Params: result.Params,
 				Labels: result.Labels,
+				Key:    metricKey,
 				Value:  metricValue,
 			})
 		}