lukechilds
/
SuperNET
mirror of https://github.com/lukechilds/SuperNET.git
1
0
Fork 0
Code Issues Projects Releases Wiki Activity
Browse Source

test

etomic
jl777 8 years ago
parent
b53cfbad57
commit
f1c1148f24
3 changed files with 96 additions and 272 deletions
Whitespace
Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL
Split View
Diff Options
Show Stats Download Patch File Download Diff File
  1. 275
      basilisk/tradebots_SVM.h
  2. 52
      basilisk/tradebots_liquidity.c
  3. 3
      iguana/tests/gensvm

275
basilisk/tradebots_SVM.h
View File

@ -169,9 +169,9 @@ void ocas_purge(struct ocas_vars *vars)
for (i=0; i<TRADEBOTS_NUMANSWERS; i++)
{
if ( vars->CLspaces[i] != 0 )
free(vars->CLspaces[i]);
myaligned_free(vars->CLspaces[i],sizeof(*vars->CLspaces[i]));
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 )
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)
{
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);
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("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");
}
@ -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 )
{
answermag = fabs(y); // 1.;
answermag = 1.;//fabs(y); // 1.;
if ( (old_output[i] * (1. - t2) + t2*output[i]) <= answermag ) //1.
add_newcut_entry(vars,answerind,new_cut,i,weekinds[i],y);
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);
old_output[i] = newoutput;
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);
}
//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);
}
/*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)
{
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[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]));
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",
vars->numIt[answerind],vars->ocas_time/1000,dispvals[0],dispvals[1],dispvals[2],dispvals[3],
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 )
{
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);
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);
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 | 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);
}
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++)
{
//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->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;
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->C = 1.0;
vars->C = 1.;
vars->c = c;
vars->TolRel = 0.01;
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);
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 )
// continue;
//printf("finish A%d len.%d\n",answerind,vars->len[answerind]);
lhs = vars->lhs[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);
memset(ptr->W,0,sizeof(*ptr->W) * 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));
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_purge(vars);
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++];
*avep = _pairaved(*highbidp,*lowaskp);
*volp = rawfeatures[n++];
//printf("[%9.6f %9.6f] vol %f t.%u\n",*highbidp,*lowaskp,*volp,timestamp);
n = TRADEBOTS_RAWFEATURESINCR + TRADEBOTS_NUMANSWERS;
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);
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);
return(-1);
}
factor = sqrt(reftimestamp - timestamp);
if ( factor > 60. )
factor = 60.;
@ -185,7 +189,10 @@ int32_t tradebots_expandrawfeatures(double *svmfeatures,float *rawfeatures,uint3
factor = 1.;
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);
return(-1);
}
svmfeatures[n++] = highbid;
svmfeatures[n++] = (highbid / ave) - 1.;
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 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 )
{
printf("reftimestamp.%u is illegal\n",reftimestamp);
return(-1);
}
numpairfeatures = n = tradebots_expandrawfeatures(svmfeatures,rawfeatures,reftimestamp,prevrawfeatures);
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];
memset(preds,0,sizeof(preds));
if ( pair->svms != 0 )
{
for (i=n=0; i<pair->numsvmfeatures; i++)
{
feature = svmfeatures[i];
for (j=0; j<TRADEBOTS_NUMANSWERS; j++)
preds[j] += feature * pair->svms[n++];
}
}
return(n);
}
@ -310,10 +323,18 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair)
if ( (i= (timestamp - firsttime)/60) >= 0 && i < maxi )
{
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) + 1],lowask,0.5);
}
}
else
{
highbid = hblas[i << 1];
@ -329,7 +350,6 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair)
{
futurebid = hblas[ind << 1];
futureask = hblas[(ind << 1) + 1];
}
minval = MIN(highbid,lowask);
maxval = MAX(highbid,lowask);
futuremin = MIN(futurebid,futureask);
@ -346,16 +366,19 @@ 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);
//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 )
{
fseek(pair->fp,fpos,SEEK_SET);
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);
else
else if ( 0 )
{
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);
}
fseek(pair->fp,savepos,SEEK_SET);
@ -383,7 +406,9 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair)
hblas[i << 1] = highbid;
hblas[(i << 1) + 1] = lowask;
}
printf("%9.6f ",_pairaved(highbid,lowask));
}
printf("maxi.%d\n",maxi);
}
}
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);
if ( isnan(answer) != 0 )
return(0);
if ( answer > .01 )
answer /= 10.;
/*if ( answer > .01 )
answer = .01;
else if ( 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. )
return(1.);
else if ( answer < 0. )
return(-1.);
return(-1.);*/
if ( answer > 0. )
answer = sqrt(answer);
else answer = -sqrt(-answer);
*answerp = answer;
return(answer);
}
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);
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);
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);
}
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);
}
}
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);
}
if ( highbid != 0 )
@ -957,7 +991,7 @@ TWO_STRINGS(tradebots,gensvm,base,rel)
#ifdef _WIN
return(clonestr("{\"error\":\"windows doesnt support SVM\"}"));
#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 )
{
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\"}"
Write Preview
Loading…
Cancel
Save