optimizer

type AsyncHandle struct {
	Error  error
	Report *backtest.SummaryReport
	Done   chan struct{}
}

type BacktestTask struct {
	ConfigJson []byte
	Params     []interface{}
	Labels     []string
	Report     *backtest.SummaryReport
	Error      error
}

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"`
}

type Executor interface {
	Execute(configJson []byte) (*backtest.SummaryReport, error)
	Run(ctx context.Context, taskC chan BacktestTask, bar *pb.ProgressBar) (chan BacktestTask, error)
}

type ExecutorConfig struct {
	Type                string               `json:"type" yaml:"type"`
	LocalExecutorConfig *LocalExecutorConfig `json:"local" yaml:"local"`
}

type GridOptimizer struct {
	Config *Config

	ParamLabels   []string
	CurrentParams []interface{}
}

type HyperparameterOptimizeReport struct {
	Name       string                               `json:"studyName"`
	Objective  string                               `json:"objective"`
	Parameters map[string]string                    `json:"domains"`
	Best       *HyperparameterOptimizeTrialResult   `json:"best"`
	Trials     []*HyperparameterOptimizeTrialResult `json:"trials,omitempty"`
}

type HyperparameterOptimizeTrialResult struct {
	Value      fixedpoint.Value       `json:"value"`
	Parameters map[string]interface{} `json:"parameters"`
	ID         *int                   `json:"id,omitempty"`
	State      string                 `json:"state,omitempty"`
}

type HyperparameterOptimizer struct {
	SessionName string
	Config      *Config
	// contains filtered or unexported fields
}

type LocalExecutorConfig struct {
	MaxNumberOfProcesses int `json:"maxNumberOfProcesses" yaml:"maxNumberOfProcesses"`
}

type LocalProcessExecutor struct {
	Config    *LocalExecutorConfig
	Bin       string
	WorkDir   string
	ConfigDir string
	OutputDir string
}

type Metric struct {
	// 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"`
}

type MetricValueFunc func(summaryReport *backtest.SummaryReport) fixedpoint.Value

type OpFunc func(configJson []byte, next func(configJson []byte) error) error

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"`
}