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); } }