Files
mt5-quant/src/optimization/optimizer.rs
T
Devid HW 552e271d08 feat: add rolling backtest and optimization improvements
- Add run_rolling_backtest tool for N consecutive weekly backtests
- Add max_passes support for optimization to cap genetic passes
- Kill stale MT5/agent processes before optimization launch
- Auto-parse optimization results on status poll when process completes
- Fix XML namespace for SpreadsheetML parsing
- Change optimization model from 4 to 1 for better accuracy
- Persist completion results to job metadata
2026-07-02 03:53:58 +07:00

575 lines
22 KiB
Rust

use anyhow::{anyhow, Result};
use chrono::Utc;
use std::fs;
use std::path::{Path, PathBuf};
use std::process::{Command, Stdio};
use crate::models::Config;
use crate::optimization::OptimizationParser;
/// Read a file that may be UTF-16LE (with BOM) or UTF-8, returning a UTF-8 String.
/// MT5 .set and .ini files are typically UTF-16LE with BOM (0xFF 0xFE).
fn read_file_as_utf8(path: &Path) -> Result<String> {
let bytes = fs::read(path)?;
// Check for UTF-16LE BOM (0xFF 0xFE)
if bytes.len() >= 2 && bytes[0] == 0xFF && bytes[1] == 0xFE {
// UTF-16LE with BOM - skip the 2-byte BOM and decode
let utf16_data: Vec<u16> = bytes[2..]
.chunks_exact(2)
.map(|chunk| u16::from_le_bytes([chunk[0], chunk[1]]))
.collect();
String::from_utf16(&utf16_data)
.map_err(|e| anyhow!("Failed to decode UTF-16LE: {}", e))
} else {
// Try UTF-8
String::from_utf8(bytes)
.map_err(|e| anyhow!("Failed to decode as UTF-8: {}", e))
}
}
pub struct OptimizationParams {
pub expert: String,
pub set_file: String,
pub symbol: String,
pub from_date: String,
pub to_date: String,
pub deposit: u32,
pub leverage: u32,
pub currency: String,
pub max_passes: Option<u32>,
}
impl Default for OptimizationParams {
fn default() -> Self {
Self {
expert: String::new(),
set_file: String::new(),
symbol: "XAUUSD".to_string(),
from_date: String::new(),
to_date: String::new(),
deposit: 10000,
leverage: 500,
currency: "USD".to_string(),
max_passes: None,
}
}
}
pub struct OptimizationResult {
pub success: bool,
pub job_id: String,
pub pid: u32,
pub log_file: PathBuf,
pub combinations: u64,
pub message: String,
}
pub struct OptimizationRunner {
config: Config,
}
impl OptimizationRunner {
pub fn new(config: Config) -> Self {
Self { config }
}
pub async fn run(&self, params: OptimizationParams) -> Result<OptimizationResult> {
// Validate required fields
if params.expert.is_empty() {
return Err(anyhow!("expert is required"));
}
if params.set_file.is_empty() {
return Err(anyhow!("set_file is required"));
}
if params.from_date.is_empty() {
return Err(anyhow!("from_date is required"));
}
if params.to_date.is_empty() {
return Err(anyhow!("to_date is required"));
}
let set_path = Path::new(&params.set_file);
if !set_path.exists() {
return Err(anyhow!("Set file not found: {}", params.set_file));
}
// Kill any existing MT5/agent processes to avoid stale zombies
for pat in &["terminal64\\.exe", "metatester64\\.exe"] {
let _ = Command::new("pkill").args(["-KILL", "-f", pat]).output();
}
std::thread::sleep(std::time::Duration::from_secs(3));
// Generate job ID and log file
let timestamp = Utc::now().format("%Y%m%d_%H%M%S").to_string();
let job_id = format!("opt_{}", timestamp);
let log_file = PathBuf::from(format!("/tmp/mt5opt_{}.log", timestamp));
// Count combinations
let combinations = self.count_combinations(&params.set_file)
.map_err(|e| anyhow!("count_combinations failed: {}", e))?;
// Get paths
let mt5_dir = self.config.terminal_dir.as_ref()
.ok_or_else(|| anyhow!("terminal_dir not configured"))?;
let wine_exe = self.config.wine_executable.as_ref()
.ok_or_else(|| anyhow!("wine_executable not configured"))?;
// Write .set file as UTF-16LE with BOM directly to MT5 tester directory
let wine_prefix_dir = self.get_wine_prefix_dir(mt5_dir)?;
let tester_dir = wine_prefix_dir.join("drive_c/Program Files/MetaTrader 5/MQL5/Profiles/Tester");
fs::create_dir_all(&tester_dir).map_err(|e| anyhow!("create_dir_all({}) failed: {}", tester_dir.display(), e))?;
let dst_set_file = tester_dir.join(format!("{}.set", params.expert));
self.write_utf16le_set(&params.set_file, &dst_set_file)
.map_err(|e| anyhow!("write_utf16le_set({}) failed: {}", dst_set_file.display(), e))?;
// Reset OptMode in terminal.ini
// Patch terminal.ini [Tester] section with optimization params (primary mechanism)
let terminal_ini = if Path::new(mt5_dir).join("config").exists() {
Path::new(mt5_dir).join("config").join("terminal.ini")
} else {
Path::new(mt5_dir).join("terminal.ini")
};
let mt5_ini_text = if terminal_ini.exists() {
read_file_as_utf8(&terminal_ini).unwrap_or_default()
} else {
String::new()
};
let expert_path = if let Some(experts_dir) = &self.config.experts_dir {
let nested = Path::new(experts_dir).join(&params.expert).join(format!("{}.mq5", params.expert));
if nested.exists() {
format!("Experts\\{}\\{}.ex5", params.expert, params.expert)
} else {
format!("Experts\\{}.ex5", params.expert)
}
} else {
format!("Experts\\{}.ex5", params.expert)
};
let set_param = {
let base = if !params.set_file.is_empty() && params.set_file != format!("{}.set", params.expert) {
// Extract just the filename from the set file path
std::path::Path::new(&params.set_file).file_name()
.and_then(|n| n.to_str())
.unwrap_or(&format!("{}.set", params.expert))
.to_string()
} else {
format!("{}.set", params.expert)
};
base
};
let mut tester_section = format!(
"[Tester]\n\
Expert={}\n\
ExpertParameters={}\n\
Symbol={}\n\
Period=M1\n\
Model=1\n\
FromDate={}\n\
ToDate={}\n\
ForwardMode=0\n\
Deposit={}\n\
Currency={}\n\
ProfitInPips=0\n\
Leverage={}\n\
Execution=10\n\
Optimization=2\n\
Visual=0\n\
Report=..\\..\\mt5mcp_opt_report.htm\n\
ReplaceReport=1\n\
ShutdownTerminal=1",
expert_path, set_param, params.symbol,
params.from_date, params.to_date, params.deposit, params.currency, params.leverage,
);
if let Some(mp) = params.max_passes {
tester_section.push_str(&format!("\nMaxPass={}", mp));
}
let updated_ini = Self::patch_ini_section(&mt5_ini_text, "Tester", &tester_section);
// Strip any stale [Agents] sections from previous runs (no local agent processes)
let cleaned = Self::strip_ini_section(&updated_ini, "Agents");
let final_ini = cleaned.trim_end().to_string();
let mut utf16_out: Vec<u8> = vec![0xFF, 0xFE];
utf16_out.extend(final_ini.encode_utf16().flat_map(|c| c.to_le_bytes()));
fs::write(&terminal_ini, utf16_out)?;
// Write /config: INI to trigger tester/optimizer mode
// For /config: format, Expert path is relative to MQL5/Experts/ (no Experts\ prefix)
let opt_config_win = r"C:\mt5opt_config.ini";
let opt_config_host = wine_prefix_dir.join("drive_c").join("mt5opt_config.ini");
let mut opt_ini = String::new();
if let Some(login) = &self.config.backtest_login {
if let Some(server) = &self.config.backtest_server {
opt_ini.push_str("[Common]\n");
opt_ini.push_str(&format!("Login={}\n", login));
opt_ini.push_str(&format!("Server={}\n", server));
if let Some(password) = &self.config.backtest_password {
opt_ini.push_str(&format!("Password={}\n", password));
}
opt_ini.push_str("\n");
}
}
opt_ini.push_str("[Tester]\n");
opt_ini.push_str(&format!("Expert={}.ex5\n", params.expert));
opt_ini.push_str(&format!("ExpertParameters={}\n", set_param));
opt_ini.push_str(&format!("Symbol={}\n", params.symbol));
opt_ini.push_str("Period=M1\n");
opt_ini.push_str("Model=1\n");
opt_ini.push_str("Optimization=2\n");
opt_ini.push_str(&format!("FromDate={}\n", params.from_date));
opt_ini.push_str(&format!("ToDate={}\n", params.to_date));
opt_ini.push_str("ForwardMode=0\n");
opt_ini.push_str(&format!("Deposit={}\n", params.deposit));
opt_ini.push_str(&format!("Currency={}\n", params.currency));
opt_ini.push_str("ProfitInPips=0\n");
opt_ini.push_str(&format!("Leverage={}\n", params.leverage));
opt_ini.push_str("Execution=10\n");
opt_ini.push_str("Visual=0\n");
opt_ini.push_str("Report=..\\..\\mt5mcp_opt_report.htm\n");
opt_ini.push_str("ReplaceReport=1\n");
opt_ini.push_str("ShutdownTerminal=1\n");
if let Some(mp) = params.max_passes {
opt_ini.push_str(&format!("MaxPass={}\n", mp));
}
fs::write(&opt_config_host, opt_ini.as_bytes())?;
// Build launch script (macOS-compatible with /config: to trigger tester mode)
let wine_bin = Path::new(wine_exe);
let wine_root = wine_bin
.parent()
.and_then(|p| p.parent())
.ok_or_else(|| anyhow!("Cannot derive Wine root from wine_exe"))?;
let ext_libs = wine_root.join("lib").join("external");
let wine_libs = wine_root.join("lib");
let dyld = format!("{}:{}:/usr/lib:/usr/local/lib",
ext_libs.display(), wine_libs.display());
let terminal_host = wine_prefix_dir.join("drive_c")
.join("Program Files").join("MetaTrader 5").join("terminal64.exe");
let script = format!(
"#!/bin/sh\n\
export DYLD_FALLBACK_LIBRARY_PATH='{dyld}'\n\
export WINEPREFIX='{prefix}'\n\
export WINEDEBUG='-all'\n\
nohup '{wine}' '{terminal}' '/config:{config}' >/dev/null 2>&1 &\n",
dyld = dyld,
prefix = wine_prefix_dir.display(),
wine = wine_exe,
terminal = terminal_host.display(),
config = opt_config_win,
);
let script_path = std::env::temp_dir().join("mt5opt_launch.sh");
fs::write(&script_path, &script)?;
#[cfg(unix)]
{
use std::os::unix::fs::PermissionsExt;
fs::set_permissions(&script_path, fs::Permissions::from_mode(0o755))?;
}
let child = Command::new("/bin/sh")
.arg(&script_path)
.stdout(Stdio::null())
.stderr(Stdio::null())
.spawn()
.map_err(|e| anyhow!("spawn /bin/sh {} failed: {}", script_path.display(), e))?;
let pid = child.id();
// Write job metadata
self.write_job_metadata(&job_id, pid, &params, &log_file, combinations, &wine_prefix_dir)?;
Ok(OptimizationResult {
success: true,
job_id,
pid,
log_file,
combinations,
message: format!("Optimization launched (pid: {}). Runs for 2-6 hours. Do NOT kill this process.", pid),
})
}
fn count_combinations(&self, set_file: &str) -> Result<u64> {
let content = read_file_as_utf8(Path::new(set_file))?;
let mut total: u64 = 1;
for line in content.lines() {
let line = line.trim();
if line.starts_with(';') || !line.contains('=') {
continue;
}
// Format: param=value||start||step||stop||Y
let parts: Vec<&str> = line.split("||").collect();
if parts.len() >= 5 && parts.last().unwrap().trim().to_uppercase() == "Y" {
if let (Ok(start), Ok(step), Ok(stop)) = (
parts[1].trim().parse::<f64>(),
parts[2].trim().parse::<f64>(),
parts[3].trim().parse::<f64>(),
) {
if step > 0.0 {
let count = ((stop - start) / step).max(0.0) as u64 + 1;
total = total.saturating_mul(count);
}
}
}
}
Ok(total.max(1))
}
fn write_utf16le_set(&self, src: &str, dst: &Path) -> Result<()> {
let content = read_file_as_utf8(Path::new(src))?;
// Create parent directory if needed
if let Some(parent) = dst.parent() {
fs::create_dir_all(parent)?;
}
// Remove existing file if read-only from previous run
if dst.exists() {
#[cfg(unix)]
{
use std::os::unix::fs::PermissionsExt;
let _ = fs::set_permissions(dst, fs::Permissions::from_mode(0o644));
}
let _ = fs::remove_file(dst);
}
// Write UTF-16LE with BOM
let mut utf16_content: Vec<u16> = vec![0xFEFF]; // BOM
utf16_content.extend(content.encode_utf16());
let bytes: Vec<u8> = utf16_content.iter()
.flat_map(|&c| vec![(c & 0xFF) as u8, ((c >> 8) & 0xFF) as u8])
.collect();
fs::write(dst, bytes)?;
Ok(())
}
fn get_wine_prefix_dir(&self, mt5_dir: &str) -> Result<PathBuf> {
let path = Path::new(mt5_dir);
// Go up three levels: .../drive_c/Program Files/MetaTrader 5 -> .../net.metaquotes.wine.metatrader5
// (same as backtest pipeline)
let prefix_dir = path
.parent()
.and_then(|p| p.parent())
.and_then(|p| p.parent())
.ok_or_else(|| anyhow!("Cannot determine Wine prefix from terminal_dir"))?;
Ok(prefix_dir.to_path_buf())
}
fn write_job_metadata(
&self,
job_id: &str,
pid: u32,
params: &OptimizationParams,
log_file: &Path,
combinations: u64,
wine_prefix: &Path,
) -> Result<()> {
let jobs_dir = Path::new(".mt5mcp_jobs");
fs::create_dir_all(jobs_dir)?;
let meta_path = jobs_dir.join(format!("{}.json", job_id));
let started_at = Utc::now().to_rfc3339();
let report_path = wine_prefix.join("drive_c").join("mt5mcp_opt_report");
let metadata = serde_json::json!({
"job_id": job_id,
"pid": pid,
"expert": params.expert,
"symbol": params.symbol,
"from_date": params.from_date,
"to_date": params.to_date,
"set_file": params.set_file,
"combinations": combinations,
"log_file": log_file.to_string_lossy(),
"wine_prefix": wine_prefix.to_string_lossy(),
"report_path": report_path.to_string_lossy(),
"started_at": started_at,
});
fs::write(&meta_path, serde_json::to_string_pretty(&metadata)?)?;
Ok(())
}
/// Replace a [section] in an INI string — removes old content and inserts new.
fn patch_ini_section(text: &str, section: &str, new_content: &str) -> String {
let section_header = format!("[{}]", section);
let mut result = String::new();
let mut in_section = false;
let mut section_found = false;
for line in text.lines() {
let trimmed = line.trim();
if trimmed == section_header {
in_section = true;
section_found = true;
continue;
}
if in_section {
if trimmed.starts_with('[') {
in_section = false;
result.push_str(new_content);
if !new_content.ends_with('\n') {
result.push('\n');
}
result.push_str(line);
result.push('\n');
continue;
}
continue;
}
result.push_str(line);
result.push('\n');
}
if !section_found {
if !result.is_empty() && !result.ends_with('\n') {
result.push('\n');
}
result.push_str(new_content);
result.push('\n');
} else if in_section {
result.push_str(new_content);
result.push('\n');
}
result
}
/// Remove all lines belonging to a [section] from the INI text.
fn strip_ini_section(text: &str, section: &str) -> String {
let header = format!("[{}]", section);
let mut result = String::new();
let mut skipping = false;
for line in text.lines() {
let trimmed = line.trim();
if trimmed == header {
skipping = true;
continue;
}
if skipping && trimmed.starts_with('[') {
skipping = false;
}
if !skipping {
result.push_str(line);
result.push('\n');
}
}
result
}
pub fn get_job_status(&self, job_id: &str) -> Result<serde_json::Value> {
let jobs_dir = Path::new(".mt5mcp_jobs");
let meta_path = jobs_dir.join(format!("{}.json", job_id));
if !meta_path.exists() {
return Ok(serde_json::json!({
"status": "not_found",
"message": format!("Job {} not found", job_id)
}));
}
let meta: serde_json::Value = serde_json::from_str(&fs::read_to_string(&meta_path)?)?;
let pid = meta.get("pid").and_then(|v| v.as_u64()).unwrap_or(0) as u32;
let is_running = self.is_process_running(pid);
let mut result = serde_json::json!({
"status": if is_running { "running" } else { "stopped" },
"job_id": job_id,
"pid": pid,
"expert": meta.get("expert"),
"symbol": meta.get("symbol"),
"from_date": meta.get("from_date"),
"to_date": meta.get("to_date"),
"started_at": meta.get("started_at"),
});
// If not running, try to parse the optimization report
if !is_running {
let parser = OptimizationParser::new();
match parser.parse_job(job_id) {
Ok(passes) if !passes.is_empty() => {
let mut sorted_by_pf = passes.clone();
sorted_by_pf.sort_by(|a, b| b.profit_factor.partial_cmp(&a.profit_factor).unwrap());
let top10: Vec<_> = sorted_by_pf.into_iter().take(10).collect();
let best_pf = parser.find_best_pass(&passes, "profit_factor");
let best_profit = parser.find_best_pass(&passes, "profit");
let m = result.as_object_mut()
.ok_or_else(|| anyhow!("result is not object"))?;
m.insert("status".into(), serde_json::Value::String("completed".into()));
m.insert("total_passes".into(), serde_json::json!(passes.len()));
m.insert("top_10".into(), serde_json::to_value(&top10).unwrap_or_default());
m.insert("best_pf".into(), serde_json::to_value(best_pf).unwrap_or_default());
m.insert("best_profit".into(), serde_json::to_value(best_profit).unwrap_or_default());
}
_ => {
let m = result.as_object_mut()
.ok_or_else(|| anyhow!("result is not object"))?;
m.insert("status".into(), serde_json::Value::String("stopped".into()));
m.insert("message".into(), serde_json::Value::String(
"Optimization stopped but no report found — may have crashed or was killed early".into()
));
}
}
}
Ok(result)
}
fn is_process_running(&self, pid: u32) -> bool {
#[cfg(unix)]
{
Command::new("kill")
.args(["-0", &pid.to_string()])
.output()
.map(|output| output.status.success())
.unwrap_or(false)
}
#[cfg(windows)]
{
// Windows implementation would use different method
false
}
}
pub fn list_jobs(&self) -> Result<Vec<serde_json::Value>> {
let jobs_dir = Path::new(".mt5mcp_jobs");
let mut jobs = Vec::new();
if jobs_dir.exists() {
for entry in fs::read_dir(jobs_dir)? {
if let Ok(entry) = entry {
let path = entry.path();
if path.extension().map(|e| e == "json").unwrap_or(false) {
if let Ok(content) = fs::read_to_string(&path) {
if let Ok(meta) = serde_json::from_str::<serde_json::Value>(&content) {
let job_id = path.file_stem()
.and_then(|s| s.to_str())
.unwrap_or("unknown")
.to_string();
let pid = meta.get("pid").and_then(|v| v.as_u64()).unwrap_or(0) as u32;
let is_running = self.is_process_running(pid);
jobs.push(serde_json::json!({
"job_id": job_id,
"expert": meta.get("expert"),
"status": if is_running { "running" } else { "stopped" },
"started_at": meta.get("started_at"),
}));
}
}
}
}
}
}
Ok(jobs)
}
}