Merge pull request #403 from migueltg/slim_analysis_optional

added slim_analysis parameter optional
enarjord · May 25, 2023 · c76d6a4 · c76d6a4
2 parents 2fdd227 + 755e763
commit c76d6a4
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Showing 4 changed files with 13 additions and 1 deletion.
diff --git a/configs/backtest/default.hjson b/configs/backtest/default.hjson
@@ -15,6 +15,9 @@
   start_date: 2020-01-01
   end_date: 2023-05-05
 
+  # Reduce disk usage and improve some optimize speed with the slim analysis
+  slim_analysis: true
+
   # non default historical data path
   # defaults to local dir if unspecified
   # historical_data_path: "/media/e/Samsung_T5/"

diff --git a/harmony_search.py b/harmony_search.py
@@ -263,6 +263,7 @@ def start_new_harmony(self, wi: int):
                     "latency_simulation_ms",
                     "market_type",
                     "adg_n_subdivisions",
+                    "slim_analysis"
                 ]
             },
             **{"symbol": self.symbols[0], "config_no": self.iter_counter},
@@ -337,6 +338,7 @@ def start_new_initial_eval(self, wi: int, hm_key: str):
                     "latency_simulation_ms",
                     "market_type",
                     "adg_n_subdivisions",
+                    "slim_analysis"
                 ]
             },
             **{"symbol": self.symbols[0], "initial_eval_key": hm_key, "config_no": self.iter_counter},

diff --git a/optimize.py b/optimize.py
@@ -24,6 +24,7 @@
     determine_passivbot_mode,
     get_empty_analysis,
     calc_scores,
+    analyze_fills,
 )
 from procedures import (
     add_argparse_args,
@@ -57,6 +58,7 @@ def backtest_wrap(config_: dict, ticks_caches: dict):
                 "market_type",
                 "config_no",
                 "adg_n_subdivisions",
+                "slim_analysis",
             ]
         },
         **{k: v for k, v in config_["market_specific_settings"].items()},
@@ -68,7 +70,10 @@ def backtest_wrap(config_: dict, ticks_caches: dict):
     try:
         assert "adg_n_subdivisions" in config
         fills_long, fills_short, stats = backtest(config, ticks)
-        analysis = analyze_fills_slim(fills_long, fills_short, stats, config)
+        if config["slim_analysis"]:
+            analysis = analyze_fills_slim(fills_long, fills_short, stats, config)
+        else:
+            longs, shorts, sdf, analysis = analyze_fills(fills_long, fills_short, stats, config)
     except Exception as e:
         analysis = get_empty_analysis()
         logging.error(f'error with {config["symbol"]} {e}')

diff --git a/particle_swarm_optimization.py b/particle_swarm_optimization.py
@@ -227,6 +227,7 @@ def start_new_particle_position(self, wi: int):
                     "latency_simulation_ms",
                     "market_type",
                     "adg_n_subdivisions",
+                    "slim_analysis"
                 ]
             },
             **{"symbol": self.symbols[0], "config_no": self.iter_counter},
@@ -326,6 +327,7 @@ def start_new_initial_eval(self, wi: int, swarm_key: str):
                     "latency_simulation_ms",
                     "market_type",
                     "adg_n_subdivisions",
+                    "slim_analysis"
                 ]
             },
             **{