private void OutputRealDealSummary(DateTime nowDate)
{
string realDealSummary = "TR:TTP={0},TFP={1},NC={2},NTP={3},NFP={4},NV={5},CP={6},CV={7},CD={8},TC={9},TV={10}";
if (!string.IsNullOrEmpty(this.CandidateParameter.Name))
{
realDealSummary = this.CandidateParameter.Name + "-" + realDealSummary;
}
var testInstancesTemplate = WekaData.GetTestInstancesTemplate(this.CandidateParameter.Name);
if (testInstancesTemplate != null && testInstancesTemplate.numInstances() > 0)
{
m_realDealsInfo.Now(nowDate, WekaUtils.GetValueFromInstance(testInstancesTemplate, "mainClose", 0));
}
else
{
m_realDealsInfo.Now(nowDate, null);
}
//currentSummary = string.Format(realDealSummary,
// (int)eval.numTruePositives(1), (int)eval.numFalsePositives(1),
// m_realDealsInfo.NowCost.ToString(Parameters.DoubleFormatString), m_realDealsInfo.NowTp, m_realDealsInfo.NowFp, m_realDealsInfo.NowVolume.ToString("N2"),
// m_realDealsInfo.CurrentProfit.ToString(Parameters.DoubleFormatString), m_realDealsInfo.CurrentVolume.ToString("N2"), m_realDealsInfo.CurrentDeal,
// m_realDealsInfo.TotalCost.ToString(Parameters.DoubleFormatString), m_realDealsInfo.TotalVolume.ToString("N2"));
currentSummary = string.Format(realDealSummary,
0, 0,
m_realDealsInfo.NowCost.ToString(Parameters.DoubleFormatString), m_realDealsInfo.NowTp, m_realDealsInfo.NowFp, m_realDealsInfo.NowVolume.ToString("N2"),
m_realDealsInfo.CurrentProfit.ToString(Parameters.DoubleFormatString), m_realDealsInfo.CurrentVolume.ToString("N2"), m_realDealsInfo.CurrentDeal,
m_realDealsInfo.TotalCost.ToString(Parameters.DoubleFormatString), m_realDealsInfo.TotalVolume.ToString("N2"));
//if (m_enableStoreResultInDb)
//{
//System.Data.SqlClient.SqlCommand cmd = new SqlCommand("INSERT TestResult (TestName, Date, Content, TotalCost) VALUES (@TestName, @Date, @Content, @TotalCost)");
//cmd.Parameters.AddWithValue("@TestName", TestParameters.TestName);
//cmd.Parameters.AddWithValue("@Date", m_testTimeEnd);
//cmd.Parameters.AddWithValue("@Content", currentSummary);
//cmd.Parameters.AddWithValue("@TotalCost", realDealsInfo.NowCost);
//Feng.Data.DbHelper.Instance.ExecuteNonQuery(cmd);
//}
}
public void ExecuteBest(DateTime nowDate, List <CandidateClassifier> minScoreInfos)
{
OutputRealDealSummary(nowDate);
float totalCost = 0;
int totalDeal = 0;
if (minScoreInfos != null)
{
List <DealInfo> candidateDeals = new List <DealInfo>();
foreach (var minScoreInfo in minScoreInfos)
{
minScoreInfo.WekaData.GenerateData(false, true);
weka.core.Instances minTestInstances = minScoreInfo.WekaData.CurrentTestInstances;
weka.core.Instances minTestInstancesNew = minScoreInfo.WekaData.CurrentTestInstancesNew;
if (minTestInstances.numInstances() > 0)
{
MyEvaluation eval = new MyEvaluation(minScoreInfo.CostMatrix);
eval.evaluateModel(minScoreInfo.CurrentTestRet, minScoreInfo.CurrentClassValue);
float vol;
// vol = (float)minScoreInfo.MoneyManagement.GetVolume(null);
vol = 0.1F;
//vol = (float)Math.Round(minScore / -20000.0, 1);
//WekaUtils.DebugAssert(vol > 0);
int tp = (int)eval.numTruePositives(1);
int fp = (int)eval.numFalsePositives(1);
double minScore = minScoreInfo.Deals.NowScore;
//WekaUtils.Instance.WriteLog(string.Format("Best Classifier: N={0},TC={1},TP={2},FP={3},TD={4},TV={5},TTP={6},TFP={7},",
// minScoreInfo.Name, minScoreInfo.Deals.NowScore.ToString(Parameters.DoubleFormatString),
// minScoreInfo.Deals.NowTp, minScoreInfo.Deals.NowFp, minScoreInfo.Deals.NowDeal,
// minScoreInfo.Deals.TotalVolume.ToString("N2"), tp, fp),
// true, ConsoleColor.DarkGreen);
// Exclude
//if (TestParameters.EnableExcludeClassifier)
//{
//if (minScoreInfo.ExcludeClassifier == null)
//{
// string modelFileName4Exclude = GetExcludeModelFileName(minScoreInfo.Name);
// minScoreInfo.ExcludeClassifier = WekaUtils.TryLoadClassifier(modelFileName4Exclude);
//}
//}
for (int i = 0; i < minScoreInfo.CurrentTestRet.Length; i++)
{
if (minScoreInfo.CurrentTestRet[i] == 2)
{
if (minScoreInfo.ExcludeClassifier != null)
{
double cv2 = minScoreInfo.ExcludeClassifier.classifyInstance(minTestInstancesNew.instance(i));
if (cv2 != 2)
{
continue;
}
}
candidateDeals.Add(new DealInfo(WekaUtils.GetDateValueFromInstances(minTestInstances, 0, i),
(float)WekaUtils.GetValueFromInstance(minTestInstances, "mainClose", i),
minScoreInfo.DealType,
(float)vol,
(float)(minScoreInfo.CurrentClassValue[i] == 2 ? -minScoreInfo.Tp : minScoreInfo.Sl),
WekaUtils.GetDateValueFromInstances(minTestInstances, 1, i)));
}
}
float nowCost = (float)eval.totalCost();
int nowDeal = tp + fp;
totalCost += nowCost * vol;
totalDeal += nowDeal;
//float diff = Math.Abs(totalCost - realDealsInfo.TotalCost);
//WekaUtils.DebugAssert(diff < 5);
//WekaUtils.DebugAssert(Math.Abs(totalDeal - (realDealsInfo.NowDeal + realDealsInfo.CurrentDeal)) == 0);
//if (diff > 0.5)
// totalCost = realDealsInfo.TotalCost;
IterateClassifierInfos((k, i, j, h) =>
{
if (m_classifierInfoIdxs[k, i, j, h] == minScoreInfo)
{
m_totalScores[k, i, j, h] += nowCost;
m_totalDeals[k, i, j, h] += nowDeal;
return(false);
}
else
{
return(true);
}
});
}
}
int selectCount = 50;
for (int i = 0; i < selectCount; ++i)
{
if (candidateDeals.Count == 0)
{
break;
}
int selectedDealIdx = (int)Math.Round(m_randomGenerator.NextDouble() * candidateDeals.Count);
if (selectedDealIdx == candidateDeals.Count)
{
selectedDealIdx = candidateDeals.Count - 1;
}
m_realDealsInfo.AddDeal(candidateDeals[selectedDealIdx]);
candidateDeals.RemoveAt(selectedDealIdx);
}
}
//if (m_enableDetailLogLevel2)
//{
// IterateClassifierInfos((k, i, j, h) =>
// {
// if (h == m_currentTestHour && m_totalScores[k, i, j, h] != 0)
// {
// WekaUtils.Instance.WriteLog(string.Format("Predict score for {0}: TC={1}, TD={2}", m_classifierInfoIdxs[k, i, j, h].Name, m_totalScores[k, i, j, h].ToString(Parameters.DoubleFormatString), m_totalDeals[k, i, j, h]));
// }
// });
//}
if (!string.IsNullOrEmpty(currentSummary))
{
WekaUtils.Instance.WriteLog(currentSummary, true, ConsoleColor.Red);
System.Console.Title = nowDate.ToString(Parameters.DateTimeFormat) + ":" + currentSummary;
}
//if (m_enableDetailLogLevel2)
//{
// if (TestParameters.EnablePerhourTrain)
// {
// double[] totalCostPerHour = new double[m_classifierInfoIdxs.GetLength(3)];
// int[] totalDealPerHour = new int[m_classifierInfoIdxs.GetLength(3)];
// IterateClassifierInfos((k, i, j, h) =>
// {
// totalCostPerHour[h] += m_totalScores[k, i, j, h];
// totalDealPerHour[h] += m_totalDeals[k, i, j, h];
// });
// for (int i = 0; i < totalCostPerHour.Length; ++i)
// {
// if (totalCostPerHour[i] == 0)
// continue;
// WekaUtils.Instance.WriteLog(string.Format("Predict score Per hour of {0}: TC={1}, TD={2}", i, totalCostPerHour[i].ToString(Parameters.DoubleFormatString), totalDealPerHour[i]));
// }
// }
//if ((m_testTimeStart.Month == 4 || m_testTimeStart.Month == 3) && m_testTimeStart.Day == 20)
//{
// foreach (var cls in m_classifierInfos)
// {
// WekaUtils.Instance.WriteLog(cls.Value.Deals.PrintAll());
// }
//}
//if (m_currentTestHour == 0)
//{
// var cls = m_classifierInfoIdxs[0, 0, 0, 0];
// WekaUtils.Instance.WriteLog((cls.Classifier as RandomClassifier).GetCountInfo());
//}
//}
//if (m_saveDataFile)
//{
// var files = System.IO.Directory.GetFiles(m_baseDir, "*.arff");
// if (files.Length > 100)
// {
// foreach (string fileName in files)
// {
// try
// {
// System.IO.File.Delete(fileName);
// }
// catch (Exception)
// {
// }
// }
// }
//}
}
public void ExecuteCandidate(DateTime nowDate)
{
m_currentTestHour = nowDate.Hour;
foreach (var kvp in m_classifierInfos)
{
kvp.Value.Initialized = false;
}
if (TestParameters.EnnableLoadTestData)
{
if (!TestParameters.OnlyNewestTestDataSaved)
{
CCScoreData.Instance.LoadTestData(nowDate, m_classifierInfos);
}
else
{
DateTime?maxTestDate = CCScoreData.Instance.GetNewestTestData();
if (maxTestDate.HasValue && maxTestDate.Value > nowDate)
{
return;
}
if (maxTestDate.HasValue && maxTestDate.Value == nowDate)
{
CCScoreData.Instance.LoadTestData(nowDate, m_classifierInfos);
}
}
}
WekaData.GenerateArffTemplate(true, true, this.CandidateParameter);
string candidateClsInfoSummary = "CC:N={0},TrN={1},TeN={4},NC={7},NTP={8},NFP={9},NDA={14},NDS={15},TD={10},TV={11},Cls={12},MM={13}";
//Instances testInstancesWithoutClassValue = null; / wrong, should use closeTime
System.Threading.Tasks.Task[] tasks;
System.Threading.Tasks.TaskFactory taskFactory = null;
if (TestParameters.EnableMultiThread)
{
int cpuCount = Environment.ProcessorCount - 2;
cpuCount = Math.Max(cpuCount, 1);
LimitedConcurrencyLevelTaskScheduler lcts = new LimitedConcurrencyLevelTaskScheduler(1);
taskFactory = new System.Threading.Tasks.TaskFactory(lcts);
}
if (!TestParameters.EnablePerhourTrain)
{
tasks = new System.Threading.Tasks.Task[m_classifierInfos.Count];
}
else
{
tasks = new System.Threading.Tasks.Task[m_classifierInfos.Count / Parameters.AllHour];
}
int taskIdx = 0;
foreach (var kvp in m_classifierInfos)
{
if (TestParameters.EnablePerhourTrain)
{
if (kvp.Value.Hour != m_currentTestHour)
{
continue;
}
}
var clsInfo = kvp.Value;
Action action = () =>
{
if (clsInfo.Initialized || nowDate > System.DateTime.Now)
{
if (m_enableDetailLogLevel2)
{
WekaUtils.Instance.WriteLog(string.Format(candidateClsInfoSummary, clsInfo.Name,
-1, 0, 0,
clsInfo.CurrentClassValue.Length, 0, 0,
clsInfo.Deals.NowScore.ToString(Parameters.DoubleFormatString),
clsInfo.Deals.NowTp, clsInfo.Deals.NowFp,
clsInfo.Deals.TotalDeal, clsInfo.Deals.TotalVolume.ToString("N2"),
clsInfo.Classifier == null ? string.Empty : clsInfo.Classifier.ToString(),
clsInfo.MoneyManagement == null ? string.Empty : clsInfo.MoneyManagement.ToString(),
clsInfo.Deals.DealLastTimeAvg, clsInfo.Deals.DealLastTimeStd));
}
}
else
{
weka.core.Instances trainInstances;
weka.core.Instances testInstances;
bool noData = false;
if (TestParameters.UseTrain)
{
clsInfo.WekaData.GenerateData(true, true);
trainInstances = clsInfo.WekaData.CurrentTrainInstances;
testInstances = clsInfo.WekaData.CurrentTestInstances;
if (trainInstances.numInstances() == 0)
{
if (m_enableDetailLogLevel2)
{
WekaUtils.Instance.WriteLog(string.Format("{0} - No Train Data", clsInfo.Name));
}
noData = true;
}
}
else
{
clsInfo.WekaData.GenerateData(false, true);
trainInstances = WekaData.GetTrainInstancesTemplate(this.CandidateParameter.Name);
testInstances = clsInfo.WekaData.CurrentTestInstances;
}
if (testInstances.numInstances() == 0)
{
if (m_enableDetailLogLevel2)
{
WekaUtils.Instance.WriteLog(string.Format("{0} - No Test Data", clsInfo.Name));
}
noData = true;
}
if (!noData)
{
clsInfo.WekaData.TrainandTest(clsInfo, this.CandidateParameter);
clsInfo.Deals.Now(nowDate, WekaUtils.GetValueFromInstance(testInstances, "mainClose", 0));
if (m_enableDetailLogLevel2)
{
WekaUtils.Instance.WriteLog(string.Format(candidateClsInfoSummary, clsInfo.Name,
trainInstances.numInstances(), WekaUtils.GetDateValueFromInstances(trainInstances, 0, 0), WekaUtils.GetDateValueFromInstances(trainInstances, 0, trainInstances.numInstances() - 1),
testInstances.numInstances(), WekaUtils.GetDateValueFromInstances(testInstances, 0, 0), WekaUtils.GetDateValueFromInstances(testInstances, 0, testInstances.numInstances() - 1),
clsInfo.Deals.NowScore.ToString(Parameters.DoubleFormatString),
clsInfo.Deals.NowTp, clsInfo.Deals.NowFp,
clsInfo.Deals.TotalDeal, clsInfo.Deals.TotalVolume.ToString("N2"),
clsInfo.Classifier == null ? string.Empty : clsInfo.Classifier.ToString(),
clsInfo.MoneyManagement == null ? string.Empty : clsInfo.MoneyManagement.ToString(),
clsInfo.Deals.DealLastTimeAvg, clsInfo.Deals.DealLastTimeStd));
}
}
else
{
clsInfo.CurrentClassValue = Parameters.DoubleArrayEmpty;
clsInfo.CurrentTestRet = Parameters.DoubleArrayEmpty;
clsInfo.Deals.Now(nowDate, null);
if (m_enableDetailLogLevel2)
{
WekaUtils.Instance.WriteLog(string.Format(candidateClsInfoSummary, clsInfo.Name,
trainInstances.numInstances(), 0, 0,
testInstances.numInstances(), 0, 0,
clsInfo.Deals.NowScore.ToString(Parameters.DoubleFormatString),
clsInfo.Deals.NowTp, clsInfo.Deals.NowFp,
clsInfo.Deals.TotalDeal, clsInfo.Deals.TotalVolume.ToString("N2"),
clsInfo.Classifier == null ? string.Empty : clsInfo.Classifier.ToString(),
clsInfo.MoneyManagement == null ? string.Empty : clsInfo.MoneyManagement.ToString(),
clsInfo.Deals.DealLastTimeAvg, clsInfo.Deals.DealLastTimeStd));
}
}
if (TestParameters.EnnableLoadTestData)
{
CCScoreData.Instance.SaveTestData(clsInfo, nowDate);
}
if (TestParameters.EnableDetailLog)
{
// Check TestInstance Result
SortedDictionary <int, int> closeNums = new SortedDictionary <int, int>();
for (int i = 0; i < testInstances.numInstances(); ++i)
{
if (clsInfo.CurrentTestRet[i] != 2)
{
continue;
}
DateTime openDate = WekaUtils.GetDateValueFromInstances(testInstances, 0, i);
DateTime closeDate = WekaUtils.GetDateValueFromInstances(testInstances, 1, i);
WekaUtils.DebugAssert(openDate >= nowDate, "openDate >= nowDate");
int n = (int)(closeDate - nowDate).TotalHours / (TestParameters.BatchTestMinutes / 60) + 1;
if (!closeNums.ContainsKey(n))
{
closeNums[n] = 1;
}
else
{
closeNums[n]++;
}
}
foreach (var cn in closeNums)
{
WekaUtils.Instance.WriteLog(string.Format(" Next {0} Period-{1} has {2} deals",
cn.Key, nowDate.AddHours(TestParameters.BatchTestMinutes / 60 * cn.Key), cn.Value));
}
}
}
clsInfo.WekaData.Clear();
};
if (TestParameters.EnableMultiThread)
{
tasks[taskIdx] = taskFactory.StartNew(action);
taskIdx++;
}
else
{
action();
}
}
if (TestParameters.EnableMultiThread)
{
try
{
System.Threading.Tasks.Task.WaitAll(tasks);
}
catch (AggregateException ex)
{
foreach (var i in ex.InnerExceptions)
{
WekaUtils.Instance.WriteLog(i.Message);
WekaUtils.Instance.WriteLog(i.StackTrace);
}
}
}
if (TestParameters.SaveCCScoresToDb)
{
CCScoreData.SaveCCScoresToDb(nowDate, this.CandidateParameter, this);
}
}