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test

etomic
jl777 8 years ago
parent
b53cfbad57
commit
f1c1148f24
3 changed files with 96 additions and 272 deletions
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  1. 275
      basilisk/tradebots_SVM.h
  2. 52
      basilisk/tradebots_liquidity.c
  3. 3
      iguana/tests/gensvm

275
basilisk/tradebots_SVM.h
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@ -169,9 +169,9 @@ void ocas_purge(struct ocas_vars *vars)
for (i=0; i<TRADEBOTS_NUMANSWERS; i++) for (i=0; i<TRADEBOTS_NUMANSWERS; i++)
{ {
if ( vars->CLspaces[i] != 0 ) if ( vars->CLspaces[i] != 0 )
free(vars->CLspaces[i]); myaligned_free(vars->CLspaces[i],sizeof(*vars->CLspaces[i]));
if ( vars->lhs[i] != 0 ) if ( vars->lhs[i] != 0 )
free(vars->lhs[i]); myaligned_free(vars->lhs[i],sizeof(*vars->lhs[i]) + vars->numfeatures*vars->maxlhs*sizeof(double));
if ( vars->weekinds[i] != 0 ) if ( vars->weekinds[i] != 0 )
free(vars->weekinds[i]); free(vars->weekinds[i]);
} }
@ -248,6 +248,7 @@ static inline void add_ocas_output(register double y,register struct ocas_vars *
static inline void STocas_calc_outputs(register struct ocas_vars *vars,register int c,register int answerind,register double *output,register double *old_output,register double *W,register double W0,register int numfeatures,register int *weekinds,register int numdocs) static inline void STocas_calc_outputs(register struct ocas_vars *vars,register int c,register int answerind,register double *output,register double *old_output,register double *W,register double W0,register int numfeatures,register int *weekinds,register int numdocs)
{ {
register int i,j; register int i,j;
//vars->good[answerind] = vars->bad[answerind] = 0;
//printf("start STocas_calc_outputs.(%p %s.A%d %p) %p %p %p\n",vars,CONTRACTS[c],answerind,weekinds,output,old_output,W); //printf("start STocas_calc_outputs.(%p %s.A%d %p) %p %p %p\n",vars,CONTRACTS[c],answerind,weekinds,output,old_output,W);
for (i=0; i<numdocs; i++) for (i=0; i<numdocs; i++)
{ {
@ -261,6 +262,15 @@ static inline void STocas_calc_outputs(register struct ocas_vars *vars,register
printf("%d ",j); printf("%d ",j);
printf("nans | i.%d w%d output %19.16f\n",i,weekinds[i],output[i]); printf("nans | i.%d w%d output %19.16f\n",i,weekinds[i],output[i]);
} }
else if ( output[i] != 0. )
{
if ( 0 && vars->answers[(i-vars->starti)*TRADEBOTS_NUMANSWERS + answerind]*output[i] <= 0 )
{
if ( vars->answers[(i-vars->starti)*TRADEBOTS_NUMANSWERS + answerind] != 0.f )
printf("(%f %f) ",vars->answers[(i-vars->starti)*TRADEBOTS_NUMANSWERS + answerind],output[i]);
}
//printf("[%f %f] ",vars->answers[(i-vars->starti)*TRADEBOTS_NUMANSWERS + answerind],output[i]);
}
} }
//printf("finish STocas_calc_outputs\n"); //printf("finish STocas_calc_outputs\n");
} }
@ -468,7 +478,7 @@ 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 ( (y= vars->answers[(weekinds[i]-vars->starti)*TRADEBOTS_NUMANSWERS + answerind]) != 0.f )
{ {
answermag = fabs(y); // 1.; answermag = 1.;//fabs(y); // 1.;
if ( (old_output[i] * (1. - t2) + t2*output[i]) <= answermag ) //1. if ( (old_output[i] * (1. - t2) + t2*output[i]) <= answermag ) //1.
add_newcut_entry(vars,answerind,new_cut,i,weekinds[i],y); add_newcut_entry(vars,answerind,new_cut,i,weekinds[i],y);
newoutput = (old_output[i] * (1. - t1)) + (t1 * output[i]); newoutput = (old_output[i] * (1. - t1)) + (t1 * output[i]);
@ -492,7 +502,11 @@ static inline void calc_ocas_strategy(register struct ocas_vars *vars,register i
dist += fabs(preds[i] - y); dist += fabs(preds[i] - y);
old_output[i] = newoutput; old_output[i] = newoutput;
if ( newoutput > 0. ) good++; if ( newoutput > 0. ) good++;
else bad++; else if ( newoutput < 0. )
{
bad++;
//printf("(%f %f) ",y,newoutput);
}
} else zero++;//,printf("i.%d -> w%d | zeroes.%d good.%d bad.%d of len.%d\n",i,weekinds[i],zero,good,bad,len); } else zero++;//,printf("i.%d -> w%d | zeroes.%d good.%d bad.%d of len.%d\n",i,weekinds[i],zero,good,bad,len);
} }
//printf("finished strategy\n"); //printf("finished strategy\n");
@ -736,239 +750,6 @@ static inline void ocas_update_Lspace(register struct ocas_vars *vars,register i
update_ocas_model(ptr->W,ptr->oldW,vars,numfeatures,answerind,lhs,numlhs); update_ocas_model(ptr->W,ptr->oldW,vars,numfeatures,answerind,lhs,numlhs);
} }
/*static inline int calc_thread_startendis(register int *startip,register int threadid,register int numthreads,register int n)
{
register double incr;
incr = ((double)n / numthreads);
*startip = threadid * incr;
if ( threadid == numthreads-1 )
return(n-1);
else return(((threadid+1) * incr) - 1);
}
static inline int count_Numpending()
{
int i,n=0;
for (i=0; i<TRADEBOTS_MAXPAIRS; i++)
if ( Numpending[i] != 0 )
n++;
return(n);
}
static inline int incr_Numpending(register int threadid)
{
Numpending[threadid]++;
//printf("Numpending.%d thread.%d of %d\n",count_Numpending(),threadid,num_sync_counters);
return(count_Numpending());
}
static inline int decr_Numpending(register int threadid)
{
Numpending[threadid]--;
//printf("Numpending.%d thread.%d of %d\n",count_Numpending(),threadid,num_sync_counters);
return(count_Numpending());
}
static inline void addnewcutglue(void *_args)
{
register long *args = _args;
double private_newA[MAX_OCAS_FEATURES];
int starti=0,numfeatures;
register double *slice_newA,*W,*ref_new_a;
register struct ocas_vars *vars;
register struct ocas_ptrs *PTRS;
register int endi=0,i,c,threadid,cutlen,numthreads,selector,dir,weekind,answerind,*weekinds,*new_cut;
threadid = (int)args[0]; numthreads = (int)args[1]; numfeatures = (int)args[2]; c = (int)args[3];
slice_newA = (double *)args[4]; weekinds = (int *)args[5]; new_cut = (int *)args[6];
cutlen = (int)args[7]; answerind = (int)args[8]; selector = (int)args[9];
vars = (struct ocas_vars *)args[10]; W = (double *)args[11]; PTRS = (struct ocas_ptrs *)args[12]; ref_new_a = (double *)args[13];
memset(private_newA,0,sizeof(*private_newA) * numfeatures);
if ( PTRS->numdevs == 0 || numthreads == MAIN_MAXCORES )
{
endi = calc_thread_startendis(&starti,threadid,numthreads,cutlen);
//printf("inside addnewcutglue.t%d\n",threadid);
for (i=starti; i<=endi; i++)
{
weekind = new_cut[i];
dir = (weekind & 1);
weekind >>= 1;
add_ocas_output(dir==0?1.:-1.,vars,selector,c,weekind,answerind,W,private_newA,numfeatures);
}
//printf("end inside addnewcutglue.t%d\n",threadid);
}
else
{
#ifdef INSIDE_OPENCL
register void *krn;
int numgroups,docid,n,devid,localbufsize = sizeof(double);
devid = threadid;
printf("devid.%d %p %p %p A%02d t%d of %d: start.%d w%d to end.%d w%d\n",devid,PTRS->new_aCL[devid],PTRS->new_cutCL[devid],PTRS->featuresCL[devid],answerind,threadid,numthreads,starti,new_cut[starti],endi,new_cut[endi]);
for (i=n=0; i<cutlen; i++)
{
weekind = new_cut[i];
dir = (weekind & 1);
weekind >>= 1;
if ( (docid= PTRS->CLweekinds_map[devid][weekind]) >= 0 )
{
if ( docid >= PTRS->numdocsCL[devid] )
fatal("fatal docid >= PTRS->numdocsCL[devid]");
//printf("i.%d weekind.%d n.%d docid.%d [%d]\n",i,weekind,n,docid,new_cut[i]&1);
PTRS->new_cutCL[devid][n++] = (docid<<1) | dir;
}
}
if ( n != 0 )
{
_clmsync(devid,devcontext(devid),devid&1,PTRS->new_cutCL[devid],0,sizeof(int) * n,CL_MEM_DEVICE|CL_EVENT_WAIT|CL_EVENT_RELEASE);
krn = PTRS->krns[devid][1];
clarg_set_local(krn,0,localbufsize);
clarg_set_global(krn,1,PTRS->new_aCL[devid]);
clarg_set(krn,2,numfeatures);
clarg_set_global(krn,3,PTRS->new_cutCL[devid]);
clarg_set(krn,4,n);
clarg_set_global(krn,5,PTRS->featuresCL[devid]);
clarg_set(krn,6,PTRS->numdocsCL[devid]);
numgroups = ((numfeatures + NUM_CUDA_CORES-1)/NUM_CUDA_CORES);
struct clndrange_struct ndr = { 1, {0,0,0,0}, {numgroups*NUM_CUDA_CORES,0,0,0}, {NUM_CUDA_CORES,0,0,0} };
clfork(devid,devcontext(devid),devid&1,krn,&ndr,CL_FAST);
clmsync(devid,devcontext(devid),devid&1,PTRS->new_aCL[devid],CL_MEM_HOST|CL_EVENT_WAIT|CL_EVENT_RELEASE);
int good,errs,testmode = 0;
for (i=errs=good=0; i<numfeatures; i++)
{
if ( testmode != 0 && ref_new_a[i]*PTRS->new_aCL[devid][i] < 0 )
{
errs++, printf("i.%d ref %9.6f vs CL %9.6f [%.20f]\n",i,ref_new_a[i],PTRS->new_aCL[devid][i],ref_new_a[i]-PTRS->new_aCL[devid][i]);
//PTRS->new_aCL[devid][i] = ref_new_a[i];
} else if ( ref_new_a[i] != 0. ) good++;
private_newA[i] = PTRS->new_aCL[devid][i];
}
if ( testmode != 0 )
printf("errs.%d good.%d | newA.%d cutlen.%d numgroups.%d ndrange.%d copied %9.6f | ref %9.6f\n",errs,good,devid,n,numgroups,numgroups*NUM_CUDA_CORES,_dbufave(PTRS->new_aCL[devid],numfeatures),_dbufave(ref_new_a,numfeatures));
}
#endif
}
for (i=0; i<numfeatures; i++)
slice_newA[i*MAIN_MAXCORES + threadid] = private_newA[i];
decr_Numpending(threadid);
}
static inline void outputglue(void *_args)
{
register long *args = _args;
double W0;
int starti,numdocs,numfeatures;
register struct ocas_ptrs *PTRS;
register struct ocas_vars *vars;
register double *output,*W,*old_output;
register int i,c,endi,threadid,numthreads,answerind,selector,*weekinds;
threadid = (int)args[0]; numthreads = (int)args[1]; numfeatures = (int)args[2]; c = (int)args[3];
W = (double *)args[4]; weekinds = (int *)args[5]; output = (double *)args[6];
numdocs = (int)args[7]; W0 = *(double *)&args[8]; answerind = (int)args[9];
selector = (int)args[10]; vars = (struct ocas_vars *)args[11]; PTRS = (struct ocas_ptrs *)args[12]; old_output = (double *)args[13];
if ( PTRS->numdevs == 0 || numthreads == MAIN_MAXCORES )
{
endi = calc_thread_startendis(&starti,threadid,numthreads,numdocs);
for (i=starti; i<=endi; i++)
output[i] = calc_ocas_output(vars,selector,c,weekinds[i],answerind,W,W0,numfeatures);
}
#ifdef INSIDE_OPENCL
else
{
register void *krn;
double y;
int numgroups,weekind,outputi,devid,localbufsize = sizeof(double);
devid = threadid;
memcpy(PTRS->WCL[devid],W,sizeof(*W) * numfeatures);
clmsync(devid,devcontext(devid),devid&1,PTRS->WCL[devid],CL_MEM_DEVICE|CL_EVENT_WAIT|CL_EVENT_RELEASE);
krn = PTRS->krns[devid][0];
clarg_set_local(krn,0,localbufsize);
clarg_set_global(krn,1,PTRS->predCL[devid]);
clarg_set(krn,2,numfeatures);
clarg_set_global(krn,3,PTRS->WCL[devid]);
clarg_set(krn,4,W0);
clarg_set_global(krn,5,PTRS->featuresCL[devid]);
clarg_set(krn,6,PTRS->numdocsCL[devid]);
numgroups = ((numdocs + NUM_CUDA_CORES-1)/NUM_CUDA_CORES);
struct clndrange_struct ndr = { 1, {0,0,0,0}, {numgroups*NUM_CUDA_CORES,0,0,0}, {NUM_CUDA_CORES,0,0,0} };
printf("fork.%d dot numdocs.%d numgroups.%d\n",devid,numdocs,numgroups);
clfork(devid,devcontext(devid),devid&1,krn,&ndr,CL_FAST);
clmsync(devid,devcontext(devid),devid&1,PTRS->predCL[devid],CL_MEM_HOST|CL_EVENT_WAIT|CL_EVENT_RELEASE);
starti = PTRS->devstarti[devid];
int errs,good,testmode = 0;
errs = good = 0;
for (i=0; i<PTRS->numdocsCL[devid]; i++)
{
weekind = PTRS->CLweekinds[devid][i];
y = get_yval(0,selector,weekind,c,answerind);
outputi = PTRS->weekinds_maps[answerind][weekind];
if ( outputi >= 0 )
{
if ( testmode != 0 )
{
if ( fabs(output[outputi] - PTRS->predCL[devid][i] * y) > .000001 || output[outputi] * PTRS->predCL[devid][i] * y < 0 )
errs++, printf("i.%d starti.%d weekind.%d output[%d] %9.6f vs y.%.0f %9.6f CL [%13.10f] W0 %9.6f W0 %9.6f\n",i,starti,weekind,PTRS->weekinds_maps[answerind][weekind],output[PTRS->weekinds_maps[answerind][weekind]],y,PTRS->predCL[devid][i],output[PTRS->weekinds_maps[answerind][weekind]] - y*PTRS->predCL[devid][i],vars->W0[answerind],W0);
else good++;
}
else output[outputi] = PTRS->predCL[devid][i] * y;
}
}
if ( testmode != 0 )
printf("errs.%d vs good.%d | devid.%d numdocs.%d numgroups.%d ndrange.%d copy %d to %d | preds %9.6f\n",errs,good,devid,numdocs,numgroups,numgroups*NUM_CUDA_CORES,starti,PTRS->devendi[devid],_dbufave(PTRS->predCL[devid],PTRS->numdocsCL[devid]));
}
#endif
decr_Numpending(threadid);
}
static inline void lspaceglue(void *_args)
{
long *args = _args;
double QPSolverTolRel,C,netcuts,cutlen;
int answerind,numfeatures;
struct ocas_vars *vars;
answerind = (int)args[0];
numfeatures = (int)args[1];
vars = (struct ocas_vars *)args[2];
netcuts = *(double *)&args[3];
cutlen = *(double *)&args[4];
C = *(double *)&args[5];
QPSolverTolRel = *(double *)&args[6];
//printf("LSpace glue.A%d\n",answerind);
ocas_update_Lspace(vars,answerind,netcuts,cutlen,numfeatures,C,0.,QPSolverTolRel);
decr_Numpending(answerind);
}
static inline void ocas_add_newcuts(register struct ocas_ptrs *PTRS,register int numthreads,register struct ocas_vars *vars,register int answerind,register int numfeatures,register int *weekinds,register int *new_cut,register int numcuts,register double *W,register double *new_a)
{
STocas_add_newcuts(vars,answerind,numfeatures,weekinds,new_cut,numcuts,W,new_a);
}
static inline void ocas_calc_outputs(register struct ocas_ptrs *PTRS,register int numthreads,register struct ocas_vars *vars,register int c,register int answerind,register double *output,register double *old_output,register double *W,register double W0,register int numfeatures,register int *weekinds,register int numdocs)
{
long args[MAIN_MAXCORES][16];
register int threadid;
register dispatch_group_t group;
if ( numthreads == 1 && PTRS->numdevs == 0 )
{
STocas_calc_outputs(vars,c,answerind,output,old_output,W,W0,numfeatures,weekinds,numdocs);
return;
}
memset(args,0,sizeof(args));
for (threadid=0; threadid<numthreads; threadid++)
{
args[threadid][0] = (long)threadid; args[threadid][1] = (long)numthreads; args[threadid][2] = (long)numfeatures; args[threadid][3] = (long)c;
args[threadid][4] = (long)W; args[threadid][5] = (long)weekinds; args[threadid][6] = (long)output; args[threadid][7] = (long)numdocs;
*(double *)&args[threadid][8] = W0; args[threadid][9] = (long)answerind; args[threadid][10] = (long)vars->selector; args[threadid][11] = (long)vars;
args[threadid][12] = (long)PTRS; args[threadid][13] = (long)old_output;
}
group = dispatch_group_create();
for (threadid=0; threadid<numthreads; threadid++)
{
incr_Numpending(threadid);
dispatch_group_async_f(group,dispatch_get_global_queue(DISPATCH_QUEUE_PRIORITY_DEFAULT,0),(void *)args[threadid],outputglue);
}
dispatch_group_wait(group,DISPATCH_TIME_FOREVER);
dispatch_release(group);
}*/
static inline void start_ocas_iter(register struct ocas_vars *vars,register int c,register int answerind) static inline void start_ocas_iter(register struct ocas_vars *vars,register int c,register int answerind)
{ {
if ( vars->pratio[answerind] == 0. ) if ( vars->pratio[answerind] == 0. )
@ -987,7 +768,7 @@ static void ocas_print(struct ocas_vars *vars,int answerind,int ishwm,double C)
dispvals[0] = vars->Q_P[answerind]/1000000000.; dispvals[1] = (C * vars->Q_D[answerind])/1000000000.; dispvals[0] = vars->Q_P[answerind]/1000000000.; dispvals[1] = (C * vars->Q_D[answerind])/1000000000.;
dispvals[2] = (vars->Q_P[answerind]-C * vars->Q_D[answerind]) / 1000000000; dispvals[2] = (vars->Q_P[answerind]-C * vars->Q_D[answerind]) / 1000000000;
dispvals[3] = (vars->Q_P[answerind]-C * vars->Q_D[answerind]) / MAX(1,fabs(vars->Q_P[answerind])); dispvals[3] = (vars->Q_P[answerind]-C * vars->Q_D[answerind]) / MAX(1,fabs(vars->Q_P[answerind]));
printf("%3d %d.A%02d",vars->nohwm[answerind],vars->refc,answerind); printf("%3d %d.A%02d +%d -%d",vars->nohwm[answerind],vars->refc,answerind,vars->good[answerind],vars->bad[answerind]);
printf(" %4d %8.2f |QP %9.3f QD %10.2f [%11.2f %9.1f] SV.%3d %3d |M%9.3f errs.%-6d %-8.0f %5.2f%% errs %6.5f A%9.6f W0%9.6f D%11.9f\n",//[%7.4f%%]\n", printf(" %4d %8.2f |QP %9.3f QD %10.2f [%11.2f %9.1f] SV.%3d %3d |M%9.3f errs.%-6d %-8.0f %5.2f%% errs %6.5f A%9.6f W0%9.6f D%11.9f\n",//[%7.4f%%]\n",
vars->numIt[answerind],vars->ocas_time/1000,dispvals[0],dispvals[1],dispvals[2],dispvals[3], vars->numIt[answerind],vars->ocas_time/1000,dispvals[0],dispvals[1],dispvals[2],dispvals[3],
vars->nNZAlpha[answerind], vars->numlhs[answerind], vars->nNZAlpha[answerind], vars->numlhs[answerind],
@ -1111,7 +892,7 @@ static inline int ocas_iter(struct ocas_vars *vars,int max_nohwm)
if ( Method != 0 ) if ( Method != 0 )
{ {
startmilli = OS_milliseconds(); startmilli = OS_milliseconds();
printf("%d calc_ocas_strategy.A%d len.%d | numthreads.%d\n",c_to_refc(vars->c),answerind,vars->len[answerind],numthreads); //printf("%d calc_ocas_strategy.A%d len.%d | numthreads.%d\n",c_to_refc(vars->c),answerind,vars->len[answerind],numthreads);
calc_ocas_strategy(vars,answerind,vars->C,numfeatures,vars->maxlen,weekinds,new_cut,ptr->W,ptr->oldW,ptr->output_pred,ptr->old_output,hpfb); calc_ocas_strategy(vars,answerind,vars->C,numfeatures,vars->maxlen,weekinds,new_cut,ptr->W,ptr->oldW,ptr->output_pred,ptr->old_output,hpfb);
vars->w_time += (OS_milliseconds() - startmilli); vars->w_time += (OS_milliseconds() - startmilli);
} }
@ -1125,7 +906,7 @@ static inline int ocas_iter(struct ocas_vars *vars,int max_nohwm)
//ocas_add_newcuts(PTRS,numthreads,vars,answerind,numfeatures,weekinds,new_cut,vars->numposcuts[answerind]+vars->numnegcuts[answerind],ptr->W,ptr->new_a); //ocas_add_newcuts(PTRS,numthreads,vars,answerind,numfeatures,weekinds,new_cut,vars->numposcuts[answerind]+vars->numnegcuts[answerind],ptr->W,ptr->new_a);
STocas_add_newcuts(vars,answerind,numfeatures,weekinds,new_cut,vars->numposcuts[answerind]+vars->numnegcuts[answerind],ptr->W,ptr->new_a); 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); vars->add_time += (OS_milliseconds() - startmilli);
printf("done %d calc ocas_add_newcuts.A%d poscuts.%d negcuts.%d | numthreads.%d\n",c_to_refc(vars->c),answerind,vars->numposcuts[answerind],vars->numnegcuts[answerind],vars->numthreads); //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(); startmilli = OS_milliseconds();
@ -1157,7 +938,7 @@ static inline int init_ocas_vars(int numthreads,int selector,long answerindmask,
for (answerind=0; answerind<lastanswerind; answerind++) for (answerind=0; answerind<lastanswerind; answerind++)
{ {
//printf("A%d.len_%d ",answerind,vars->len[answerind]); //printf("A%d.len_%d ",answerind,vars->len[answerind]);
if ( vars->len[answerind] > 0 && (answerindmask == -1L || ((1L<<answerind) & answerindmask) != 0) ) if ( vars->len[answerind] > 0 )//&& (answerindmask == -1L || ((1L<<answerind) & answerindmask) != 0) )
{ {
vars->refc = c_to_refc(c); vars->c = c; vars->C = C; vars->refc = c_to_refc(c); vars->c = c; vars->C = C;
vars->numfeatures = numfeatures; vars->maxlhs = maxlhs; vars->numfeatures = numfeatures; vars->maxlhs = maxlhs;
@ -1180,8 +961,12 @@ void ocas_init(struct ocas_vars *vars,int32_t c,int32_t numfeatures,int32_t star
{ {
struct ocas_CLbuffers *ptr; struct ocas_lhsbuffers *lhs; struct ocas_CLbuffers *ptr; struct ocas_lhsbuffers *lhs;
int32_t nonz,weekind,answerind; double answer,y; int32_t nonz,weekind,answerind; double answer,y;
if ( numfeatures < 0 )
return;
vars->maxlhs = MAX_OCAS_LHS;
vars->numfeatures = numfeatures;
vars->maxlen = (endi - starti + 1); vars->maxlen = (endi - starti + 1);
vars->C = 1.0; vars->C = 1.;
vars->c = c; vars->c = c;
vars->TolRel = 0.01; vars->TolRel = 0.01;
vars->TolAbs = 0.0; vars->TolAbs = 0.0;
@ -1236,12 +1021,14 @@ void ocas_init(struct ocas_vars *vars,int32_t c,int32_t numfeatures,int32_t star
init_ocas_vars(1,0,-1,vars,c,vars->C,numfeatures,MAX_OCAS_LHS,vars->maxlen,vars->maxlen,vars->answerabsaves,vars->posA,vars->negA); init_ocas_vars(1,0,-1,vars,c,vars->C,numfeatures,MAX_OCAS_LHS,vars->maxlen,vars->maxlen,vars->answerabsaves,vars->posA,vars->negA);
for (answerind=0; answerind<TRADEBOTS_NUMANSWERS; answerind++) for (answerind=0; answerind<TRADEBOTS_NUMANSWERS; answerind++)
{ {
//printf("%s.A%d call init ocas vars weekinds[0] %p numfeatures.%d\n",CONTRACTS[c_to_refc(c)],answerind,vars->weekinds[0],numfeatures);
//if ( answerindmask != -1 && ((1L<<answerind) & answerindmask) == 0 ) //if ( answerindmask != -1 && ((1L<<answerind) & answerindmask) == 0 )
// continue; // continue;
//printf("finish A%d len.%d\n",answerind,vars->len[answerind]); //printf("finish A%d len.%d\n",answerind,vars->len[answerind]);
lhs = vars->lhs[answerind]; lhs = vars->lhs[answerind];
ptr = vars->CLspaces[answerind]; ptr = vars->CLspaces[answerind];
printf("%d.A%d call init ocas vars weekinds[0] %p numfeatures.%d (%p %p)\n",c_to_refc(vars->c),answerind,vars->weekinds[0],numfeatures,lhs,ptr);
if ( lhs == 0 || ptr == 0 )
continue;
vars->numlhs[answerind] = 0;//init_full_A(lhs->full_A,vars->numfeatures,c,answerind,models); vars->numlhs[answerind] = 0;//init_full_A(lhs->full_A,vars->numfeatures,c,answerind,models);
memset(ptr->W,0,sizeof(*ptr->W) * numfeatures); memset(ptr->W,0,sizeof(*ptr->W) * numfeatures);
memset(ptr->oldW,0,sizeof(*ptr->oldW) * numfeatures); memset(ptr->oldW,0,sizeof(*ptr->oldW) * numfeatures);
@ -1262,7 +1049,7 @@ 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)); int32_t i; struct ocas_vars *vars = calloc(1,sizeof(*vars));
ocas_init(vars,c,numfeatures,starti,endi); ocas_init(vars,c,numfeatures,starti,endi);
for (i=0; i<MAX_OCAS_LHS; i++) for (i=0; i<10; i++)
ocas_iter(vars,100); ocas_iter(vars,100);
ocas_purge(vars); ocas_purge(vars);
return(0); return(0);

52
basilisk/tradebots_liquidity.c
View File

@ -123,6 +123,7 @@ uint32_t tradebots_featureset(double *highbidp,double *lowaskp,double *avep,doub
*lowaskp = rawfeatures[n++]; *lowaskp = rawfeatures[n++];
*avep = _pairaved(*highbidp,*lowaskp); *avep = _pairaved(*highbidp,*lowaskp);
*volp = rawfeatures[n++]; *volp = rawfeatures[n++];
//printf("[%9.6f %9.6f] vol %f t.%u\n",*highbidp,*lowaskp,*volp,timestamp);
n = TRADEBOTS_RAWFEATURESINCR + TRADEBOTS_NUMANSWERS; n = TRADEBOTS_RAWFEATURESINCR + TRADEBOTS_NUMANSWERS;
for (i=0; i<TRADEBOTS_NUMDECAYS; i++) for (i=0; i<TRADEBOTS_NUMDECAYS; i++)
{ {
@ -177,7 +178,10 @@ int32_t tradebots_expandrawfeatures(double *svmfeatures,float *rawfeatures,uint3
tradebots_featureset(&refhighbid,&reflowask,&refave,&refvol,refbidaves,refaskaves,refbidslopes,refaskslopes,refrawfeatures); tradebots_featureset(&refhighbid,&reflowask,&refave,&refvol,refbidaves,refaskaves,refbidslopes,refaskslopes,refrawfeatures);
timestamp = tradebots_featureset(&highbid,&lowask,&ave,&vol,bidaves,askaves,bidslopes,askslopes,rawfeatures); timestamp = tradebots_featureset(&highbid,&lowask,&ave,&vol,bidaves,askaves,bidslopes,askslopes,rawfeatures);
if ( timestamp == 0 || reftimestamp == 0 || timestamp >= reftimestamp+60 ) if ( timestamp == 0 || reftimestamp == 0 || timestamp >= reftimestamp+60 )
{
printf("tradebots_expandrawfeatures: timestamp.%u vs reftimestamp.%u\n",timestamp,reftimestamp);
return(-1); return(-1);
}
factor = sqrt(reftimestamp - timestamp); factor = sqrt(reftimestamp - timestamp);
if ( factor > 60. ) if ( factor > 60. )
factor = 60.; factor = 60.;
@ -185,7 +189,10 @@ int32_t tradebots_expandrawfeatures(double *svmfeatures,float *rawfeatures,uint3
factor = 1.; factor = 1.;
factor = 1. / factor; factor = 1. / factor;
if ( refhighbid == 0. || highbid == 0. || lowask == 0. || reflowask == 0. ) if ( refhighbid == 0. || highbid == 0. || lowask == 0. || reflowask == 0. )
{
printf("tradebots_expandrawfeatures: (%f %f) ref (%f %f)\n",highbid,lowask,refhighbid,reflowask);
return(-1); return(-1);
}
svmfeatures[n++] = highbid; svmfeatures[n++] = highbid;
svmfeatures[n++] = (highbid / ave) - 1.; svmfeatures[n++] = (highbid / ave) - 1.;
svmfeatures[n++] = lowask; svmfeatures[n++] = lowask;
@ -247,9 +254,12 @@ int32_t tradebots_expandrawfeatures(double *svmfeatures,float *rawfeatures,uint3
int32_t tradebots_calcsvmfeatures(double *svmfeatures,struct tradebot_arbpair *pair,float *rawfeatures,float *prevrawfeatures) int32_t tradebots_calcsvmfeatures(double *svmfeatures,struct tradebot_arbpair *pair,float *rawfeatures,float *prevrawfeatures)
{ {
int32_t i,j,n,numpairfeatures,flag; struct tradebot_arbpair *ptr; uint32_t reftimestamp; int32_t i,j,n,numpairfeatures,flag; struct tradebot_arbpair *ptr; uint32_t reftimestamp;
memcpy(&reftimestamp,rawfeatures,sizeof(reftimestamp)); memcpy(&reftimestamp,&rawfeatures[TRADEBOTS_NUMANSWERS],sizeof(reftimestamp));
if ( reftimestamp == 0 ) if ( reftimestamp == 0 )
{
printf("reftimestamp.%u is illegal\n",reftimestamp);
return(-1); return(-1);
}
numpairfeatures = n = tradebots_expandrawfeatures(svmfeatures,rawfeatures,reftimestamp,prevrawfeatures); numpairfeatures = n = tradebots_expandrawfeatures(svmfeatures,rawfeatures,reftimestamp,prevrawfeatures);
if ( 0 && pair->numsvmfeatures != (1+pair->numpairs)*n ) if ( 0 && pair->numsvmfeatures != (1+pair->numpairs)*n )
{ {
@ -272,12 +282,15 @@ int32_t tradebots_calcpreds(float *RTpreds,struct tradebot_arbpair *pair,double
{ {
int32_t i,j,n=0; double feature,preds[TRADEBOTS_NUMANSWERS]; int32_t i,j,n=0; double feature,preds[TRADEBOTS_NUMANSWERS];
memset(preds,0,sizeof(preds)); memset(preds,0,sizeof(preds));
if ( pair->svms != 0 )
{
for (i=n=0; i<pair->numsvmfeatures; i++) for (i=n=0; i<pair->numsvmfeatures; i++)
{ {
feature = svmfeatures[i]; feature = svmfeatures[i];
for (j=0; j<TRADEBOTS_NUMANSWERS; j++) for (j=0; j<TRADEBOTS_NUMANSWERS; j++)
preds[j] += feature * pair->svms[n++]; preds[j] += feature * pair->svms[n++];
} }
}
return(n); return(n);
} }
@ -310,10 +323,18 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair)
if ( (i= (timestamp - firsttime)/60) >= 0 && i < maxi ) if ( (i= (timestamp - firsttime)/60) >= 0 && i < maxi )
{ {
if ( iter == 0 ) if ( iter == 0 )
{
if ( hblas[i << 1] == 0 )
{
hblas[i << 1] = highbid;
hblas[(i << 1) + 1] = lowask;
}
else
{ {
_xblend(&hblas[i << 1],highbid,0.5); _xblend(&hblas[i << 1],highbid,0.5);
_xblend(&hblas[(i << 1) + 1],lowask,0.5); _xblend(&hblas[(i << 1) + 1],lowask,0.5);
} }
}
else else
{ {
highbid = hblas[i << 1]; highbid = hblas[i << 1];
@ -329,7 +350,6 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair)
{ {
futurebid = hblas[ind << 1]; futurebid = hblas[ind << 1];
futureask = hblas[(ind << 1) + 1]; futureask = hblas[(ind << 1) + 1];
}
minval = MIN(highbid,lowask); minval = MIN(highbid,lowask);
maxval = MAX(highbid,lowask); maxval = MAX(highbid,lowask);
futuremin = MIN(futurebid,futureask); futuremin = MIN(futurebid,futureask);
@ -346,16 +366,19 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair)
} }
else if ( futuremax < minval ) else if ( futuremax < minval )
pair->answers[j] = (futuremax - minval), flag++; pair->answers[j] = (futuremax - minval), flag++;
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);
}
} }
if ( flag != 0 ) if ( flag != 0 )
{ {
fseek(pair->fp,fpos,SEEK_SET); fseek(pair->fp,fpos,SEEK_SET);
if ( fwrite(pair->answers,1,sizeof(pair->answers),pair->fp) != sizeof(pair->answers) ) if ( fwrite(pair->answers,1,sizeof(pair->answers),pair->fp) != sizeof(pair->answers) )
printf("error writing answers for %s/%s t%u i.%d of %d\n",pair->base,pair->rel,timestamp,i,maxi); printf("error writing answers for %s/%s t%u i.%d of %d\n",pair->base,pair->rel,timestamp,i,maxi);
else else if ( 0 )
{ {
for (j=0; j<TRADEBOTS_NUMANSWERS; j++) for (j=0; j<TRADEBOTS_NUMANSWERS; j++)
printf("%9.6f ",pair->answers[i]); printf("%9.6f ",pair->answers[j]);
printf("%s/%s answers %d of %d\n",pair->base,pair->rel,i,maxi); printf("%s/%s answers %d of %d\n",pair->base,pair->rel,i,maxi);
} }
fseek(pair->fp,savepos,SEEK_SET); fseek(pair->fp,savepos,SEEK_SET);
@ -383,7 +406,9 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair)
hblas[i << 1] = highbid; hblas[i << 1] = highbid;
hblas[(i << 1) + 1] = lowask; hblas[(i << 1) + 1] = lowask;
} }
printf("%9.6f ",_pairaved(highbid,lowask));
} }
printf("maxi.%d\n",maxi);
} }
} }
if ( hblas != 0 ) if ( hblas != 0 )
@ -406,7 +431,8 @@ double get_yval(double *answerp,int32_t selector,int32_t ind,int32_t refc,int32_
fseek(pair->fp,savepos,SEEK_SET); fseek(pair->fp,savepos,SEEK_SET);
if ( isnan(answer) != 0 ) if ( isnan(answer) != 0 )
return(0); return(0);
if ( answer > .01 ) answer /= 10.;
/*if ( answer > .01 )
answer = .01; answer = .01;
else if ( answer < -.01 ) else if ( answer < -.01 )
answer = -.01; answer = -.01;
@ -415,7 +441,12 @@ double get_yval(double *answerp,int32_t selector,int32_t ind,int32_t refc,int32_
if ( answer > 0. ) if ( answer > 0. )
return(1.); return(1.);
else if ( answer < 0. ) else if ( answer < 0. )
return(-1.); return(-1.);*/
if ( answer > 0. )
answer = sqrt(answer);
else answer = -sqrt(-answer);
*answerp = answer;
return(answer);
} }
return(0.); return(0.);
} }
@ -432,10 +463,13 @@ float *get_features(int32_t numfeatures,int32_t refc,int32_t ind)
fseek(pair->fp,(ind-1)*sizeof(pair->rawfeatures),SEEK_SET); 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) ) if ( fread(&prevrawfeatures,1,sizeof(pair->rawfeatures),pair->fp) == sizeof(pair->rawfeatures) && fread(&rawfeatures,1,sizeof(pair->rawfeatures),pair->fp) == sizeof(pair->rawfeatures) )
{ {
//for (i=0; i<72; i++)
// printf("%9.6f ",rawfeatures[i]);
//printf("rawfeatures[%d]\n",ind);
n = tradebots_calcsvmfeatures(svmfeatures,pair,rawfeatures,prevrawfeatures); n = tradebots_calcsvmfeatures(svmfeatures,pair,rawfeatures,prevrawfeatures);
if ( n != pair->numsvmfeatures ) if ( n != pair->numsvmfeatures )
{ {
printf("unexpected numsvmfeatures %d vs %d\n",n,pair->numsvmfeatures); printf("unexpected numsvmfeatures refc.%d ind.%d %d vs %d\n",refc,ind,n,pair->numsvmfeatures);
//return(-1); //return(-1);
} }
svmf = calloc(n,sizeof(*svmf)); svmf = calloc(n,sizeof(*svmf));
@ -648,7 +682,7 @@ void tradebot_arbcandidate(struct supernet_info *myinfo,char *exchange,int32_t t
pair->dirmasks[1] |= (1 << i); pair->dirmasks[1] |= (1 << i);
} }
} }
printf("%12.6f %7s/%-3s %8s %14.8f %8s %14.8f spread %6.2f%% %02x:%02x %02x:%02x %d\n",volume,base,rel,bid->exchange,highbid,ask->exchange,lowask,100.*(lowask-highbid)/_pairaved(highbid,lowask),pair->dirmasks[0],pair->slopedirs[0],pair->dirmasks[1],pair->slopedirs[1],pair->counter); //printf("%12.6f %7s/%-3s %8s %14.8f %8s %14.8f spread %6.2f%% %02x:%02x %02x:%02x %d\n",volume,base,rel,bid->exchange,highbid,ask->exchange,lowask,100.*(lowask-highbid)/_pairaved(highbid,lowask),pair->dirmasks[0],pair->slopedirs[0],pair->dirmasks[1],pair->slopedirs[1],pair->counter);
//printf("BTC.(%.8f %.8f) %.8f %.8f USD.(%.4f %.4f) CNY.(%.3f %.3f)\n",pair->btcbid,pair->btcask,Pair_BTCUSD!=0?Pair_BTCUSD->highbid:0,Pair_BTCUSD!=0?Pair_BTCUSD->lowask:0,pair->usdbid,pair->usdask,pair->cnybid,pair->cnyask); //printf("BTC.(%.8f %.8f) %.8f %.8f USD.(%.4f %.4f) CNY.(%.3f %.3f)\n",pair->btcbid,pair->btcask,Pair_BTCUSD!=0?Pair_BTCUSD->highbid:0,Pair_BTCUSD!=0?Pair_BTCUSD->lowask:0,pair->usdbid,pair->usdask,pair->cnybid,pair->cnyask);
} }
if ( highbid != 0 ) if ( highbid != 0 )
@ -957,7 +991,7 @@ TWO_STRINGS(tradebots,gensvm,base,rel)
#ifdef _WIN #ifdef _WIN
return(clonestr("{\"error\":\"windows doesnt support SVM\"}")); return(clonestr("{\"error\":\"windows doesnt support SVM\"}"));
#else #else
int32_t numfeatures = 532; struct tradebot_arbpair *pair; int32_t numfeatures = 317; struct tradebot_arbpair *pair;
if ( base[0] != 0 && rel[0] != 0 && (pair= tradebots_arbpair_find(base,rel)) != 0 && pair->fp != 0 ) if ( base[0] != 0 && rel[0] != 0 && (pair= tradebots_arbpair_find(base,rel)) != 0 && pair->fp != 0 )
{ {
tradebots_calcanswers(pair); tradebots_calcanswers(pair);

3
iguana/tests/gensvm
View File

@ -0,0 +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\"}"
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