public SimAccount sim_win_ga_market(int from, int to, Gene2 chromo, SimAccount ac, double nn_threshold)
{
var nn = new NN();
var strategy = new Strategy();
var nn_input_data_generator = new NNInputDataGenerator();
for (int i = from; i < to - 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNWinGA(i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnitOnlyBuySell(nn_outputs, nn_threshold);
var actions = strategy.GAWinMarketStrategy(i, pred, ac);
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
public SimAccount sim_ga(int from, int to, Gene2 chromo, SimAccount ac)
{
var nn = new NN();
var strategy = new Strategy();
int amount = 1;
var nn_input_data_generator = new NNInputDataGenerator();
for (int i = from; i < to - 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNInputData(ac, i);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnit(nn_outputs);
var actions = strategy.GAStrategy(pred, amount, ac);
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
//reset chromos with random weigths except
public void resetChromos()
{
for (int i = 0; i < chromos.Length; i++)
{
chromos[i] = new Gene2(chromos[i].num_units, chromos[i].num_index);
}
}
private void generate_chromos(int num_chrom, int[] num_units_layer, int[] index)
{
chromos = new Gene2[num_chrom];
for (int i = 0; i < num_chrom; i++)
{
chromos[i] = new Gene2(num_units_layer, index);
}
}
private void crossover(List <int> selected, double cross_over_ratio)
{
var rnd = new Random(DateTime.Now.Millisecond);
var new_chromos = new Gene2[chromos.Count()];
//deep copy chromos
for (int i = 0; i < new_chromos.Length; i++)
{
new_chromos[i] = new Gene2(chromos[0].num_units, chromos[0].num_index);
}
for (int i = 0; i < new_chromos.Length; i++)
{
for (int j = 0; j < chromos[i].bias_gene.Count; j++)
{
for (int k = 0; k < chromos[i].bias_gene[j].Length; k++)
{
new_chromos[i].bias_gene[j][k] = chromos[i].bias_gene[j][k];
}
}
for (int j = 0; j < chromos[i].weight_gene.Count; j++)
{
for (int k = 0; k < chromos[i].weight_gene[j].Count; k++)
{
for (int l = 0; l < chromos[i].weight_gene[j][k].Length; l++)
{
new_chromos[i].weight_gene[j][k][l] = chromos[i].weight_gene[j][k][l];
}
}
}
}
for (int i = 0; i < chromos.Count(); i++)
{
if (i != best_chromo)
{
//bias1/2, weight1/2からそれぞれからランダムにratio %のweightを選択して交配
for (int j = 0; j < chromos[i].weight_gene.Count; j++)
{
for (int k = 0; k < chromos[i].weight_gene[j].Count; k++)
{
if (rnd.NextDouble() > (1 - cross_over_ratio))
{
new_chromos[i].weight_gene[j][k] = chromos[selected[i]].weight_gene[j][k];
new_chromos[i].bias_gene[j] = chromos[selected[i]].bias_gene[j];
}
else
{
new_chromos[i].weight_gene[j][k] = chromos[i].weight_gene[j][k];
new_chromos[i].bias_gene[j] = chromos[i].bias_gene[j];
}
}
}
}
}
chromos = new Gene2[chromos.Count()];
new_chromos.CopyTo(chromos, 0);
}
public SimAccount sim_ga_market_limit(int from, int to, int max_amount, Gene2 chromo, SimAccount ac, double nn_threshold, bool stop_no_trade)
{
var nn = new NN();
var strategy = new Strategy();
int amount = 1;
var nn_input_data_generator = new NNInputDataGenerator();
var zero_trade_check_point = 0.1; //to - fromの間のx%進捗した時にnum trade=0だったらsimを打ち切る。
for (int i = from; i < to - 1; i++)
{
//check num trade=0 discontinue sim
if (stop_no_trade && i - from > ((to - from) * zero_trade_check_point) && ac.performance_data.num_trade == 0)
{
//Console.WriteLine("Stopped sim due to zero trade.");
break;
}
var nn_inputs = nn_input_data_generator.generateNNInputDataLimit(ac, i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
//var pred = nn.getActivatedUnitLimitMarket(nn_outputs, nn_threshold);
var pred = nn.getActivatedUnitLimitMarket2(nn_outputs, nn_threshold);
var actions = strategy.GALimitMarketStrategy(i, pred, amount, max_amount, ac);
//check invalid ac situation
if (ac.order_data.order_side.Count > 1)
{
Console.WriteLine("Sim: # of order is more than 1 !");
}
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
else if (actions.action[j] == "cancel")
{
ac.cancel_all_order(i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update amount")
{
ac.update_order_amount(actions.order_size[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update price")
{
ac.update_order_price(actions.order_price[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else
{
Console.WriteLine("Sim: Unknown strategy action !");
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
/*
* Window内の右端からbuy or sellの有無を確認して、buy / sellがあれば記録する。
* Buy / selが記録された状態で反対のbuy / sellがあれば値幅として記録。最後に残ったbuy / sellは無視。（最後のプライスで値幅を考慮すると結局全てbuy出すようになる気がする）
*/
public SimAccount sim_win_market(int from, int to, List <int[]> sim_windows, Gene2 chromo, SimAccount ac, double nn_threshold)
{
var nn = new NN();
var nn_input_data_generator = new NNInputDataGenerator();
var pred_list = new List <int>();
for (int i = from; i < to + 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNWinGA(i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
pred_list.Add(nn.getActivatedUnitOnlyBuySell(nn_outputs, nn_threshold));
}
double maker_fee = -0.00025;
int num_trade = 0;
double total_nehaba = 0;
for (int i = 0; i < sim_windows.Count; i++)
{
var buy_price = new List <double>();
var sell_price = new List <double>();
for (int j = sim_windows[i][0]; j <= sim_windows[i][1]; j++)
{
if (pred_list[j - from] == 1 && sell_price.Count == 0)
{
buy_price.Add(MarketData.Bid[j] * (1 + maker_fee));
}
else if (pred_list[j - from] == 2 && buy_price.Count == 0)
{
sell_price.Add(MarketData.Ask[j] * (1 - maker_fee));
}
else if (pred_list[j - from] == 1 && sell_price.Count > 0) //exit sell position
{
var pl = (sell_price[0] - MarketData.Bid[j] * (1 + maker_fee));
ac.performance_data.total_pl += pl;
ac.performance_data.sell_pl_list.Add(pl);
ac.performance_data.realized_pl_list.Add(pl);
ac.performance_data.num_trade++;
total_nehaba += pl;
num_trade++;
sell_price.RemoveAt(0);
}
else if (pred_list[j - from] == 2 && buy_price.Count > 0) //exit buy position
{
var pl = (MarketData.Ask[j] * (1 - maker_fee) - buy_price[0]);
ac.performance_data.total_pl += pl;
ac.performance_data.buy_pl_list.Add(pl);
ac.performance_data.realized_pl_list.Add(pl);
ac.performance_data.num_trade++;
total_nehaba += pl;
num_trade++;
buy_price.RemoveAt(0);
}
}
}
return(ac);
}
private static SimAccount doMultiSim(int from, int to, int max_amount, List <int> best_chrom_log_id, bool display_chart, List <double> nn_threshold)
{
Console.WriteLine("Started Multi SIM");
var chromos = new Gene2[best_chrom_log_id.Count];
var ga = new GA(0);
for (int i = 0; i < best_chrom_log_id.Count; i++)
{
chromos[i] = ga.readWeights(best_chrom_log_id[i], true);
}
var title = "Combined PL Ratio - " + from.ToString() + " - " + to.ToString() + ", dt:" + MarketData.Dt[from].ToString() + " - " + MarketData.Dt[to - 1];
return(ga.sim_ga_multi_chromo(from, to, max_amount, chromos.ToList(), title, display_chart, nn_threshold));
}
public SimAccount sim_ga_limit(int from, int to, int max_amount, Gene2 chromo, SimAccount ac)
{
var nn = new NN();
var strategy = new Strategy();
int amount = 1;
var nn_input_data_generator = new NNInputDataGenerator();
for (int i = from; i < to - 1; i++)
{
var nn_inputs = nn_input_data_generator.generateNNInputDataLimit(ac, i, chromo.num_index);
var nn_outputs = nn.calcNN(nn_inputs, chromo, 0);
var pred = nn.getActivatedUnit(nn_outputs);
var actions = strategy.GALimitStrategy2(i, pred, amount, max_amount, ac);
//check invalid ac situation
if (ac.order_data.order_side.Count > 1)
{
Console.WriteLine("Sim: # of order is more than 1 !");
}
for (int j = 0; j < actions.action.Count; j++)
{
if (actions.action[j] == "entry")
{
ac.entry_order(actions.order_type[j], actions.order_side[j], actions.order_size[j], actions.order_price[j], i, MarketData.Dt[i].ToString(), actions.order_message[j]);
}
else if (actions.action[j] == "cancel")
{
ac.cancel_all_order(i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update amount")
{
ac.update_order_amount(actions.order_size[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else if (actions.action[j] == "update price")
{
ac.update_order_price(actions.order_price[j], actions.order_serial_num[j], i, MarketData.Dt[i].ToString());
}
else
{
Console.WriteLine("Sim: Unknown strategy action !");
}
}
ac.move_to_next(i + 1, MarketData.Dt[i + 1].ToString(), MarketData.Open[i + 1], MarketData.High[i + 1], MarketData.Low[i + 1], MarketData.Close[i + 1]);
}
ac.last_day(to, MarketData.Dt[to].ToString(), MarketData.Close[to]);
ac.calc_sharp_ratio();
return(ac);
}
private double[] calcWeights(double[] input_vals, Gene2 chromo, int layer_key, int activation)
{
var res = new double[chromo.weight_gene[layer_key].Count];
for (int i = 0; i < chromo.weight_gene[layer_key].Count; i++) //for units
{
var sum_v = 0.0;
for (int j = 0; j < input_vals.Length; j++) //for weight
{
sum_v += input_vals[j] * chromo.weight_gene[layer_key][i][j]; //weight_gene[layer][input unit][output unit]
}
sum_v += chromo.bias_gene[layer_key][i];
res[i] = (activation == 0 ? sigmoid(sum_v) : tanh(sum_v));
}
return(res);
}
public SimAccount sim_ga(int from, int to, Gene2 chromo, string title)
{
var sim = new Sim();
var ac = new SimAccount();
ac = sim.sim_ga(from, to, chromo, ac);
Console.WriteLine("pl=" + ac.performance_data.total_pl);
Console.WriteLine("num trade=" + ac.performance_data.num_trade);
Console.WriteLine("num market order=" + ac.performance_data.num_maker_order);
Console.WriteLine("win rate=" + ac.performance_data.win_rate);
Console.WriteLine("sharp_ratio=" + ac.performance_data.sharp_ratio);
Console.WriteLine("num_buy=" + ac.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac.performance_data.num_sell);
Console.WriteLine("buy_pl=" + ac.performance_data.buy_pl_list.Sum());
Console.WriteLine("sell_pl=" + ac.performance_data.sell_pl_list.Sum());
LineChart.DisplayLineChart(ac.total_pl_list, title);
return(ac);
}
public SimAccount sim_ga_limit_conti(int from, int to, int max_amount, Gene2 chromo, string title, SimAccount ac, bool chart)
{
var sim = new Sim();
ac = sim.sim_ga_limit(from, to, max_amount, chromo, ac);
Console.WriteLine("pl=" + ac.performance_data.total_pl);
Console.WriteLine("num trade=" + ac.performance_data.num_trade);
Console.WriteLine("num market order=" + ac.performance_data.num_maker_order);
Console.WriteLine("win rate=" + ac.performance_data.win_rate);
Console.WriteLine("sharp_ratio=" + ac.performance_data.sharp_ratio);
Console.WriteLine("num_buy=" + ac.performance_data.num_buy);
Console.WriteLine("num_sell=" + ac.performance_data.num_sell);
Console.WriteLine("buy_pl=" + ac.performance_data.buy_pl_list.Sum());
Console.WriteLine("sell_pl=" + ac.performance_data.sell_pl_list.Sum());
if (chart)
{
LineChart.DisplayLineChart(ac.total_pl_list, title);
}
return(ac);
}
public double[] calcNN(double[] input_vals, Gene2 chromo, int activation)
{
if (input_vals.Contains(Double.NaN))
{
Console.WriteLine("NN-calcNN: nan in included in input_vals !");
}
if (input_vals.Length != chromo.num_units[0])
{
Console.WriteLine("NN-calcNN: # of input_data is not matched with # of first layer units !");
Console.WriteLine("input_vals=" + input_vals.Length.ToString() + ", units=" + chromo.num_units[0].ToString());
}
//input layer
var inputs = calcWeights(input_vals, chromo, 0, activation);
//middle layers
for (int i = 1; i < chromo.weight_gene.Count - 1; i++) //do calc for each layers
{
var outputs = calcWeights(inputs, chromo, i, activation);
inputs = outputs;
}
return(calcWeights(inputs, chromo, chromo.weight_gene.Count - 1, 0));
}
private (double, SimAccount) evaluationSimWin(int from, int to, List <int[]> sim_windows, int chro_id, Gene2 chro, double nn_threshold)
{
var ac = new SimAccount();
var sim_win = new WinSim();
ac = sim_win.sim_win_market(from, to, sim_windows, chro, ac, nn_threshold);
var eva = ac.performance_data.num_trade > 0 ? ac.performance_data.total_pl / Math.Sqrt(Convert.ToDouble(ac.performance_data.num_trade)) : 0;
return(eva, ac);
}
public Gene2 readWeights(int island_id, bool multi_sim)
{
var file_name = "";
if (multi_sim)
{
file_name = @"./log_best_weight_ID-" + island_id.ToString() + ".csv";
}
else
{
file_name = @"./best_weight_ID-" + island_id.ToString() + ".csv";
}
using (StreamReader sr = new StreamReader(file_name, Encoding.UTF8, false))
{
var data = new List <string>();
var units = new List <int>();
var index = new List <int>();
var bias = new List <double[]>();
var weights = new List <Dictionary <int, double[]> >();
var layer_id_list = new List <int>();
while (true)
{
var line = sr.ReadLine();
data.Add(line);
if (line == null)
{
break;
}
else
{
if (line.Contains("units"))
{
var ele = line.Split(',').ToList();
units = ele.GetRange(1, ele.Count - 1).Select(int.Parse).ToList();
}
else if (line.Contains("index"))
{
var ele = line.Split(',').ToList();
index = ele.GetRange(1, ele.Count - 1).Select(int.Parse).ToList();
}
else if (line.Contains("bias"))
{
var ele = line.Split(',').ToList();
var ele_range = ele.GetRange(1, ele.Count - 1).Select(double.Parse).ToList();
bias.Add(ele_range.ToArray());
}
else if (line.Contains("weight")) //weight:0:0,-0.369,0.9373 -> weight:layer:unit
{
var ele = line.Split(',').ToList();
var ele_range = ele.GetRange(1, ele.Count - 1).Select(double.Parse).ToArray();
var layer_id = Convert.ToInt32(ele[0].Split(':')[1]);
var unit_id = Convert.ToInt32(ele[0].Split(':')[2]);
var dic = new Dictionary <int, double[]>();
dic[unit_id] = ele_range;
if (layer_id_list.Contains(layer_id))
{
weights[layer_id][unit_id] = ele_range;
}
else
{
weights.Add(dic);
}
layer_id_list.Add(layer_id);
}
}
}
data.RemoveAt(data.Count - 1); //remove null
var chrom = new Gene2(units.ToArray(), index.ToArray());
chrom.bias_gene = bias;
chrom.weight_gene = weights;
chrom.num_units = units.ToArray();
chrom.num_index = index.ToArray();
return(chrom);
}
}
/*各islandにおいて、ランダムに選択したislandからランダムに選択した染色体を交換する
* ->best chromo以外を選択するようにする*/
private void moveBetweenIsland(double move_ratio)
{
if (gas.Count > 1)
{
for (int i = 0; i < gas.Count; i++)
{
var num_move = Convert.ToInt32(gas[i].chromos.Length * move_ratio);
for (int j = 0; j < num_move; j++)
{
var island_list = Enumerable.Range(0, gas.Count).ToList();
island_list.RemoveAt(island_list.IndexOf(i));
var selected_island = island_list[RandomSeed.rnd.Next(0, island_list.Count)];
var target_chrom_list = Enumerable.Range(0, gas[selected_island].chromos.Length).ToList();
target_chrom_list.RemoveAt(target_chrom_list.IndexOf(gas[selected_island].best_chromo));
var selected_target_chromo = target_chrom_list[RandomSeed.rnd.Next(0, target_chrom_list.Count)];
var selected_id = RandomSeed.rnd.Next(0, gas[i].chromos.Length);
while (selected_id == gas[i].best_chromo)
{
selected_id = RandomSeed.rnd.Next(0, gas[i].chromos.Length);
}
//exchange chromo
//copy targe chromo to tmp chromo
var tmp_chrom = new Gene2(gas[selected_island].chromos[selected_target_chromo].num_units, gas[selected_island].chromos[selected_target_chromo].num_index);
for (int k = 0; k < gas[selected_island].chromos[selected_target_chromo].bias_gene.Count; k++) //for layers
{
for (int l = 0; l < gas[selected_island].chromos[selected_target_chromo].bias_gene[k].Length; l++) //for weights
{
tmp_chrom.bias_gene[k][l] = gas[selected_island].chromos[selected_target_chromo].bias_gene[k][l];
}
}
for (int k = 0; k < gas[selected_island].chromos[selected_target_chromo].weight_gene.Count; k++) //for layers
{
for (int l = 0; l < gas[selected_island].chromos[selected_target_chromo].weight_gene[k].Count; l++) //for units
{
for (int m = 0; m < gas[selected_island].chromos[selected_target_chromo].weight_gene[k][l].Length; m++) //for weights
{
tmp_chrom.weight_gene[k][l][m] = gas[selected_island].chromos[selected_target_chromo].weight_gene[k][l][m];
}
}
}
//copy from selected chromo to target chromo
for (int k = 0; k < gas[selected_island].chromos[selected_target_chromo].bias_gene.Count; k++) //for layers
{
for (int l = 0; l < gas[selected_island].chromos[selected_target_chromo].bias_gene[k].Length; l++) //for weights
{
gas[selected_island].chromos[selected_target_chromo].bias_gene[k] = gas[i].chromos[selected_id].bias_gene[k];
}
}
for (int k = 0; k < gas[selected_island].chromos[selected_target_chromo].weight_gene.Count; k++) //for layers
{
for (int l = 0; l < gas[selected_island].chromos[selected_target_chromo].weight_gene[k].Count; l++) //for units
{
for (int m = 0; m < gas[selected_island].chromos[selected_target_chromo].weight_gene[k][l].Length; m++) //for weights
{
gas[selected_island].chromos[selected_target_chromo].weight_gene[k][l][m] = gas[i].chromos[selected_id].weight_gene[k][l][m];
}
}
}
//copy from target chromo to selected chromo
for (int k = 0; k < gas[selected_island].chromos[selected_target_chromo].bias_gene.Count; k++) //for layers
{
for (int l = 0; l < gas[selected_island].chromos[selected_target_chromo].bias_gene[k].Length; l++) //for weights
{
gas[i].chromos[selected_id].bias_gene[k][l] = tmp_chrom.bias_gene[k][l];
}
}
for (int k = 0; k < gas[selected_island].chromos[selected_target_chromo].weight_gene.Count; k++) //for layers
{
for (int l = 0; l < gas[selected_island].chromos[selected_target_chromo].weight_gene[k].Count; l++) //for units
{
for (int m = 0; m < gas[selected_island].chromos[selected_target_chromo].weight_gene[k][l].Length; m++) //for weights
{
gas[i].chromos[selected_id].weight_gene[k][l][m] = tmp_chrom.weight_gene[k][l][m];
}
}
}
}
}
}
}
private (double, SimAccount) evaluation(int from, int to, int max_amount, int chro_id, Gene2 chro, int sim_type, double nn_threshold)
{
var ac = new SimAccount();
var sim = new Sim();
//ac = sim.sim_ga(from, to, chro, ac);
if (sim_type == 0)
{
ac = sim.sim_ga_limit(from, to, max_amount, chro, ac);
}
else if (sim_type == 1)
{
ac = sim.sim_ga_market_limit(from, to, max_amount, chro, ac, nn_threshold, true);
}
else
{
Console.WriteLine("GA-evaluation: Invalid Sim Type!");
}
var sm = calcSquareError(ac.total_pl_ratio_list, ac.performance_data.num_trade);
//var eva = ac.performance_data.total_pl * Math.Sqrt(ac.performance_data.num_buy * ac.performance_data.num_sell) / sm;
var eva = ac.performance_data.sharp_ratio * Math.Sqrt(Math.Sqrt(ac.performance_data.num_buy * ac.performance_data.num_sell));
if (ac.performance_data.buy_pl_list.Sum() <= 0 || ac.performance_data.sell_pl_list.Sum() <= 0)
{
eva = 0;
}
if (eva.ToString().Contains("N"))
{
eva = 0;
}
return(eva, ac);
}
private (double, SimAccount) evaluationSimWin(int from, int to, List <int[]> sim_windows, int chro_id, Gene2 chro, double nn_threshold)
{
var ac = new SimAccount();
var sim_win = new WinSim();
ac = sim_win.sim_win_market(from, to, sim_windows, chro, ac, nn_threshold);
return(ac.performance_data.total_pl, ac);
}