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test

etomic
jl777 8 years ago
parent
f1c1148f24
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45dfb9a8c8
3 changed files with 47 additions and 29 deletions
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  1. 14
      basilisk/tradebots_SVM.h
  2. 60
      basilisk/tradebots_liquidity.c
  3. 2
      iguana/tests/gensvm

14
basilisk/tradebots_SVM.h
View File

@ -406,10 +406,11 @@ static inline void calc_ocas_strategy(register struct ocas_vars *vars,register i
{
if ( (y= vars->answers[(weekinds[i]-vars->starti)*TRADEBOTS_NUMANSWERS + answerind]) != 0.f )
{
if ( 0 )
svmtype *features = vars->features[weekinds[i]-vars->starti];//get_jfp_features(vars->selector,numfeatures,vars->c,weekinds[i]);
//printf("i.%d weekind.%d starti.%d y %f %p\n",i,weekinds[i],vars->starti,y,features);
if ( 0 && features != 0 )
{
double oldsum=oldW0,sum=W0;
svmtype *features = vars->features[weekinds[i]-vars->starti];//get_jfp_features(vars->selector,numfeatures,vars->c,weekinds[i]);
for (j=0; j<numfeatures; j++)
{
oldsum += oldW[j] * CONDITION(features[j]);
@ -907,7 +908,7 @@ static inline int ocas_iter(struct ocas_vars *vars,int max_nohwm)
STocas_add_newcuts(vars,answerind,numfeatures,weekinds,new_cut,vars->numposcuts[answerind]+vars->numnegcuts[answerind],ptr->W,ptr->new_a);
vars->add_time += (OS_milliseconds() - startmilli);
//printf("done %d calc ocas_add_newcuts.A%d poscuts.%d negcuts.%d | good.%d bad.%d\n",c_to_refc(vars->c),answerind,vars->numposcuts[answerind],vars->numnegcuts[answerind],vars->good[answerind],vars->bad[answerind]);
} else inactives[answerind] = 1, printf("maxnohwm.%d\n",max_nohwm);
} else inactives[answerind] = 1;//, printf("maxnohwm.%d\n",max_nohwm);
}
startmilli = OS_milliseconds();
for (answerind=0; answerind<lastanswerind; answerind++)
@ -986,7 +987,8 @@ void ocas_init(struct ocas_vars *vars,int32_t c,int32_t numfeatures,int32_t star
vars->weekinds[answerind] = calloc(vars->maxlen,sizeof(*vars->weekinds[answerind]));
for (weekind=starti; weekind<=endi; weekind++)
{
vars->features[weekind - starti] = get_features(numfeatures,c,weekind);
if ( (vars->features[weekind - starti]= get_features(numfeatures,c,weekind)) == 0 )
continue;
for (answerind=0; answerind<TRADEBOTS_NUMANSWERS; answerind++)
{
if ( (vars->posA[answerind]+vars->negA[answerind]) >= vars->maxlen )
@ -1049,8 +1051,8 @@ int32_t ocas_gen(int32_t c,int32_t numfeatures,int32_t starti,int32_t endi)
{
int32_t i; struct ocas_vars *vars = calloc(1,sizeof(*vars));
ocas_init(vars,c,numfeatures,starti,endi);
for (i=0; i<10; i++)
ocas_iter(vars,100);
for (i=0; i<100; i++)
ocas_iter(vars,10);
ocas_purge(vars);
return(0);
}

60
basilisk/tradebots_liquidity.c
View File

@ -57,7 +57,7 @@ struct tradebot_arbpair
uint8_t dirmasks[2],slopedirs[2];
char *svmpairs[TRADEBOTS_MAXPAIRS][2];
int32_t RTgood[TRADEBOTS_NUMANSWERS],RTbad[TRADEBOTS_NUMANSWERS],numrawfeatures,numsvmfeatures,numpairs;
float rawfeatures[TRADEBOTS_NUMANSWERS+64],prevrawfeatures[TRADEBOTS_NUMANSWERS+64],*svms; // svms is coeffs vector[TRADEBOTS_NUMANSWERS]
float rawfeatures[TRADEBOTS_NUMANSWERS+64],prevrawfeatures[60 * TRADEBOTS_NUMANSWERS+64],*svms; // svms is coeffs vector[TRADEBOTS_NUMANSWERS]
float RTpreds[TRADEBOTS_NUMANSWERS],svmpreds[TRADEBOTS_NUMANSWERS],answers[TRADEBOTS_NUMANSWERS];
};
struct tradebot_arbpair Arbpairs[TRADEBOTS_MAXPAIRS],*Pair_NXTBTC,*Pair_BTCUSD,*Pair_BTCCNY;
@ -76,7 +76,9 @@ int32_t tradebots_calcrawfeatures(struct tradebot_arbpair *pair)
{
int32_t starti,i,n = 0; double ave; uint32_t timestamp;
n = TRADEBOTS_NUMANSWERS;
memcpy(pair->prevrawfeatures,pair->rawfeatures,sizeof(pair->prevrawfeatures));
for (i=59; i>0; i--)
memcpy(&pair->prevrawfeatures[i*72],&pair->prevrawfeatures[(i-1)*72],sizeof(pair->rawfeatures));
memcpy(pair->prevrawfeatures,pair->rawfeatures,sizeof(pair->rawfeatures));
memset(pair->rawfeatures,0,sizeof(pair->rawfeatures));
if ( fabs(pair->highbid) < SMALLVAL || fabs(pair->lowask) < SMALLVAL )
return(-1);
@ -179,7 +181,7 @@ int32_t tradebots_expandrawfeatures(double *svmfeatures,float *rawfeatures,uint3
timestamp = tradebots_featureset(&highbid,&lowask,&ave,&vol,bidaves,askaves,bidslopes,askslopes,rawfeatures);
if ( timestamp == 0 || reftimestamp == 0 || timestamp >= reftimestamp+60 )
{
printf("tradebots_expandrawfeatures: timestamp.%u vs reftimestamp.%u\n",timestamp,reftimestamp);
//printf("tradebots_expandrawfeatures: timestamp.%u vs reftimestamp.%u\n",timestamp,reftimestamp);
return(-1);
}
factor = sqrt(reftimestamp - timestamp);
@ -190,7 +192,7 @@ int32_t tradebots_expandrawfeatures(double *svmfeatures,float *rawfeatures,uint3
factor = 1. / factor;
if ( refhighbid == 0. || highbid == 0. || lowask == 0. || reflowask == 0. )
{
printf("tradebots_expandrawfeatures: (%f %f) ref (%f %f)\n",highbid,lowask,refhighbid,reflowask);
//printf("tradebots_expandrawfeatures: (%f %f) ref (%f %f)\n",highbid,lowask,refhighbid,reflowask);
return(-1);
}
svmfeatures[n++] = highbid;
@ -243,10 +245,16 @@ int32_t tradebots_expandrawfeatures(double *svmfeatures,float *rawfeatures,uint3
svmfeatures[n++] = (askslopes[i] - bidslopes[j]);
}
}
if ( fabs(factor - 1.) > SMALLVAL )
//if ( fabs(factor - 1.) > SMALLVAL )
{
for (i=starti; i<n; i++)
svmfeatures[i] *= factor;
if ( svmfeatures[i] != 0.f )
{
//svmfeatures[i] *= factor;
if ( svmfeatures[i] > 0. )
svmfeatures[i] = cbrt(svmfeatures[i]);
else svmfeatures[i] = -cbrt(-svmfeatures[i]);
}
}
return(n);
}
@ -261,6 +269,8 @@ int32_t tradebots_calcsvmfeatures(double *svmfeatures,struct tradebot_arbpair *p
return(-1);
}
numpairfeatures = n = tradebots_expandrawfeatures(svmfeatures,rawfeatures,reftimestamp,prevrawfeatures);
for (i=0; i<60; i++,n+=numpairfeatures)
tradebots_expandrawfeatures(svmfeatures,rawfeatures,reftimestamp,&prevrawfeatures[i*72]);
if ( 0 && pair->numsvmfeatures != (1+pair->numpairs)*n )
{
for (i=0; i<pair->numpairs; i++) // need to do lookups
@ -366,7 +376,7 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair)
}
else if ( futuremax < minval )
pair->answers[j] = (futuremax - minval), flag++;
pair->answers[j] = _pairaved(futuremax,futuremin) - _pairaved(minval,maxval);
//pair->answers[j] = _pairaved(futuremax,futuremin) - _pairaved(minval,maxval);
//printf("i.%d j.%d gap.%d ind.%d answer %9.6f (%f %f) -> (%f %f)\n",i,j,Tradebots_answergaps[j],ind,pair->answers[j],minval,maxval,futuremin,futuremax);
}
}
@ -406,9 +416,9 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair)
hblas[i << 1] = highbid;
hblas[(i << 1) + 1] = lowask;
}
printf("%9.6f ",_pairaved(highbid,lowask));
//printf("%9.6f ",_pairaved(highbid,lowask));
}
printf("maxi.%d\n",maxi);
//printf("maxi.%d\n",maxi);
}
}
if ( hblas != 0 )
@ -438,14 +448,15 @@ double get_yval(double *answerp,int32_t selector,int32_t ind,int32_t refc,int32_
answer = -.01;
if ( answerp != 0 )
*answerp = answer;
*/
if ( answer > 0. )
answer = cbrt(answer);
else answer = -cbrt(-answer);
*answerp = answer;
/*if ( answer > 0. )
return(1.);
else if ( answer < 0. )
return(-1.);*/
if ( answer > 0. )
answer = sqrt(answer);
else answer = -sqrt(-answer);
*answerp = answer;
return(answer);
}
return(0.);
@ -453,20 +464,20 @@ double get_yval(double *answerp,int32_t selector,int32_t ind,int32_t refc,int32_
float *get_features(int32_t numfeatures,int32_t refc,int32_t ind)
{
struct tradebot_arbpair *pair; long savepos; int32_t i,n; double svmfeatures[4096];
float rawfeatures[sizeof(pair->rawfeatures)],prevrawfeatures[sizeof(pair->rawfeatures)],*svmf=0;
struct tradebot_arbpair *pair; long savepos; int32_t i,n; double svmfeatures[32768];
float rawfeatures[sizeof(pair->rawfeatures)],prevrawfeatures[60 * sizeof(pair->rawfeatures)],*svmf=0;
pair = &Arbpairs[refc];
pair->numsvmfeatures = numfeatures;
if ( pair->fp != 0 && ind > 0 )
if ( pair->fp != 0 && ind > 61 )
{
savepos = ftell(pair->fp);
fseek(pair->fp,(ind-1)*sizeof(pair->rawfeatures),SEEK_SET);
if ( fread(&prevrawfeatures,1,sizeof(pair->rawfeatures),pair->fp) == sizeof(pair->rawfeatures) && fread(&rawfeatures,1,sizeof(pair->rawfeatures),pair->fp) == sizeof(pair->rawfeatures) )
fseek(pair->fp,(ind-60)*sizeof(pair->rawfeatures),SEEK_SET);
if ( fread(prevrawfeatures,60,sizeof(pair->rawfeatures),pair->fp) == sizeof(pair->rawfeatures) && fread(&rawfeatures,1,sizeof(pair->rawfeatures),pair->fp) == sizeof(pair->rawfeatures) )
{
n = tradebots_calcsvmfeatures(svmfeatures,pair,rawfeatures,prevrawfeatures);
//for (i=0; i<72; i++)
// printf("%9.6f ",rawfeatures[i]);
//printf("rawfeatures[%d]\n",ind);
n = tradebots_calcsvmfeatures(svmfeatures,pair,rawfeatures,prevrawfeatures);
//printf("rawfeatures[%d] -> %d\n",ind,n);
if ( n != pair->numsvmfeatures )
{
printf("unexpected numsvmfeatures refc.%d ind.%d %d vs %d\n",refc,ind,n,pair->numsvmfeatures);
@ -483,7 +494,12 @@ float *get_features(int32_t numfeatures,int32_t refc,int32_t ind)
double set_ocas_model(int refc,int answerind,double *W,double W0,int numfeatures,int firstweekind,int len,int bad,double dist,double predabs,int posA,int negA,double answerabs,double aveanswer)
{
return(0.);
int32_t i,nonz=0;
for (i=0; i<numfeatures; i++)
if ( W[i] != 0. )
nonz++;//, printf("%.6f ",W[i]);
printf("W0 %.7f numfeatures.%d nonz.%d\n",W0,numfeatures,nonz);
return(W0);
}
#ifndef _WIN
@ -991,7 +1007,7 @@ TWO_STRINGS(tradebots,gensvm,base,rel)
#ifdef _WIN
return(clonestr("{\"error\":\"windows doesnt support SVM\"}"));
#else
int32_t numfeatures = 317; struct tradebot_arbpair *pair;
int32_t numfeatures = 317*61; struct tradebot_arbpair *pair;
if ( base[0] != 0 && rel[0] != 0 && (pair= tradebots_arbpair_find(base,rel)) != 0 && pair->fp != 0 )
{
tradebots_calcanswers(pair);

2
iguana/tests/gensvm
View File

@ -1,3 +1,3 @@
#!/bin/bash
curl --url "http://127.0.0.1:7778" --data "{\"agent\":\"tradebots\",\"method\":\"gensvm\",\"base\":\"BTC\",\"rel\":\"USD\"}"
curl --url "http://127.0.0.1:7778" --data "{\"agent\":\"tradebots\",\"method\":\"gensvm\",\"base\":\"BTCD\",\"rel\":\"BTC\"}"
#curl --url "http://127.0.0.1:7778" --data "{\"agent\":\"tradebots\",\"method\":\"gensvm\",\"base\":\"BTCD\",\"rel\":\"BTC\"}"

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