def _reset(self, t, i):
orderbookState, orderbookIndex = self._get_random_orderbook_state()
feature = self._makeFeature(orderbookIndex=orderbookIndex, qty=i)
state = ActionState(
t, i, {self.featureType.value: feature}) #np.array([[t, i]])
self.execution = None
self.orderbookIndex = orderbookIndex
self.actionState = state
return state.toArray()
def _reset(self, t, i):
#self.orderbook = copy.deepcopy(self.orderbookOriginal) # TODO: Slow but currently required to reset after every episode due to change of order book states during matching
orderbookState, orderbookIndex = self._get_random_orderbook_state()
bidAskFeature = self._makeFeature(orderbookIndex=orderbookIndex)
state = ActionState(t, i, {'bidask': bidAskFeature}) #np.array([[t, i]])
self.executionBuy = None
self.executionSell = None
self.orderbookIndexBuy = orderbookIndex
self.orderbookIndexSell = orderbookIndex
self.actionStateBuy = state
self.actionStateSell = state
return state.toArray()
def step(self, action):
self.episode += 1
action = self.levels[action]
self.episodeActions.append(action)
if self.execution is None:
self.execution = self._create_execution(action)
else:
self.execution = self._update_execution(self.execution, action)
logging.info('Created/Updated execution.' + '\nAction: ' +
str(action) + ' (' +
str(self.execution.getOrder().getType()) + ')' + '\nt: ' +
str(self.actionState.getT()) + '\nruntime: ' +
str(self.execution.getRuntime()) + '\ni: ' +
str(self.actionState.getI()))
self.execution, counterTrades = self.execution.run(self.orderbook)
i_next = self._determine_next_inventory(self.execution)
t_next = self._determine_next_time(self.execution.getState().getT())
feature = self._makeFeature(
orderbookIndex=self.execution.getOrderbookIndex(), qty=i_next)
state_next = ActionState(t_next, i_next,
{self.featureType.value: feature})
done = self.execution.isFilled() or state_next.getI() == 0
if done:
reward = self.execution.getReward()
volumeRatio = 1.0
if self.callbacks is not []:
for cb in self.callbacks:
cb.on_episode_end(
self.episode, {
'episode_reward': reward,
'episode_actions': self.episodeActions
})
self.episodeActions = []
else:
reward, volumeRatio = self.execution.calculateRewardWeighted(
counterTrades, self.I[-1])
logging.info('Run execution.' + '\nTrades: ' +
str(len(counterTrades)) + '\nReward: ' + str(reward) +
' (Ratio: ' + str(volumeRatio) + ')' + '\nDone: ' +
str(done))
self.orderbookIndex = self.execution.getOrderbookIndex()
self.actionState = state_next
return state_next.toArray(), reward, done, {}