def send(self, action):
for event in self._events_container[self._context.trading_dt]:
if event.event_type == EVENT.BAR:
event.action = action
self._split_and_publish(event)
self._split_and_publish(Event(EVENT.SETTLEMENT))
tracker = self._context.tracker
reward = tracker._portfolio_current_bar_returns[-1]
info = {}
info["returns_mean"] = tracker._returns_mean[-1]
info["unit_sharpe_ratio"] = tracker._unit_sharpe_ratio[-1]
info["draw_down"] = tracker._draw_down[-1]
info["max_draw_down"] = tracker._max_draw_down[-1]
info["profit_and_loss"] = tracker._portfolio_current_bar_pnl[-1]
if self._context.trading_dt == self.available_trading_dts[-1]:
is_done = True
else:
is_done = False
if is_done:
pass
else:
next_trading_dt = self._context.get_next_trading_dt()
self._context.update_time(calendar_dt=next_trading_dt,
trading_dt=next_trading_dt)
return reward, is_done, info
def events(self, trading_dts):
event_container = {}
for trading_dt in trading_dts:
events_within_bar = (Event(EVENT.BEFORE_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt),
Event(EVENT.BAR,
calendar_dt=trading_dt,
trading_dt=trading_dt),
Event(EVENT.AFTER_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
#yield events_within_bar
event_container[trading_dt] = events_within_bar
return event_container
def submit_order(self, order):
if order.position_effect == POSITION_EFFECT.MATCH:
raise TypeError("unsupported position_effect {}".format(
order.position_effect))
account = self._context.get_account(order.order_book_id)
self._context.event_bus.publish_event(
Event(EVENT.ORDER_PENDING_NEW, account=account, order=order))
if order.is_final():
return
if self._context.frequency == '1d' and not self._match_immediately:
self._delayed_orders.append((account, order))
return
self._open_orders.append((account, order))
order.active()
self._context.event_bus.publish_event(
Event(EVENT.ORDER_CREATION_PASS, account=account, order=order))
if self._match_immediately:
self._match()
def __init__(self,
data_source,
look_backward_window=1,
mode="rl",
starting_cash={"STOCK": 1000000},
commission_multiplier=1,
min_commission=5,
tax_multiplier=1) -> None:
self.look_backward_window = look_backward_window
self.mode = mode
self.starting_cash = starting_cash
self.commission_multiplier = commission_multiplier
self.min_commission = min_commission
self.tax_multiplier = tax_multiplier
self._context = Context(look_backward_window=look_backward_window)
#set data_source
self._context.set_data_source(data_source)
#set event_source
event_source = SimulationEventSource()
self._context.set_event_source(event_source)
#set broker
broker = SimulationBroker(self._context)
self._context.set_broker(broker)
# transaction_cost decider
transaction_cost_decider = CNStockTransactionCostDecider(
commission_multiplier=commission_multiplier,
min_commission=min_commission,
tax_multiplier=tax_multiplier)
self._context.set_transaction_cost_decider("CS",
transaction_cost_decider)
# setup account and portfolio
portfolio = Portfolio(starting_cash=starting_cash, init_positions={})
self._context.set_portfolio(portfolio)
# setup a tracker to record key info
tracker = Tracker(self._context)
self._context.set_tracker(tracker)
self._context.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
#setUP executor
if mode == "rl":
self._executor = RLExecutor(self._context)
else:
self._executor = Executor(self._context)
# user strategy
user_strategy = Strategy(self._context)
def cancel_order(self, order):
account = self._context.get_account(order.order_book_id)
self._env.event_bus.publish_event(
Event(EVENT.ORDER_PENDING_CANCEL, account=account, order=order))
order.mark_cancelled(
"{order_id} order has been cancelled by user.".format(
order_id=order.order_id))
self._env.event_bus.publish_event(
Event(EVENT.ORDER_CANCELLATION_PASS, account=account, order=order))
try:
self._open_orders.remove((account, order))
except ValueError:
try:
self._delayed_orders.remove((account, order))
except ValueError:
pass
def after_trading(self, __):
for account, order in self._open_orders:
order.mark_rejected(
"Order Rejected: {order_book_id} can not match. Market close.".
format(order_book_id=order.order_book_id))
self._env.event_bus.publish_event(
Event(EVENT.ORDER_UNSOLICITED_UPDATE,
account=account,
order=order))
self._open_orders = self._delayed_orders
self._delayed_orders = []
def _match(self, order_book_id=None):
order_filter = None if order_book_id is None else lambda a_and_o: a_and_o[
1].order_book_id == order_book_id
for account, order in filter(order_filter, self._open_orders):
self._get_matcher(order.order_book_id).match(account,
order,
open_auction=False)
final_orders = [(a, o) for a, o in self._open_orders if o.is_final()]
self._open_orders = [(a, o) for a, o in self._open_orders
if not o.is_final()]
for account, order in final_orders:
if order.status == ORDER_STATUS.REJECTED or order.status == ORDER_STATUS.CANCELLED:
self._env.event_bus.publish_event(
Event(EVENT.ORDER_UNSOLICITED_UPDATE,
account=account,
order=order))
def match(self, account, order, open_auction):
if not (order.position_effect in self.SUPPORT_POSITION_EFFECTS
and order.side in self.SUPPORT_SIDES):
raise NotImplementedError
order_book_id = order.order_book_id
deal_price = self._deal_price_decider(order_book_id, order.side)
fill = order.unfilled_quantity
ct_amount = account.calc_close_today_amount(order_book_id, fill,
order.position_direction)
price = deal_price
trade = Trade.__from_create__(order_id=order.order_id,
price=price,
amount=fill,
side=order.side,
position_effect=order.position_effect,
order_book_id=order.order_book_id,
frozen_price=order.frozen_price,
close_today_amount=ct_amount)
trade._commission = self._context.get_trade_commission(trade)
trade._tax = self._context.get_trade_tax(trade)
order.fill(trade)
self._turnover[order.order_book_id] += fill
self._context.event_bus.publish_event(
Event(EVENT.TRADE, account=account, trade=trade, order=order))
if order.type == ORDER_TYPE.MARKET and order.unfilled_quantity != 0:
reason = "Order Cancelled: market order {order_book_id} volume {order_volume} is larger than 25% percent of current bar volume, fill {filled_volume} actually".format(
order_book_id=order.order_book_id,
order_volume=order.quantity,
filled_volume=order.filled_quantity,
)
order.mark_cancelled(reason)
def before_trading(self, _):
for account, order in self._open_orders:
order.active()
self._env.event_bus.publish_event(
Event(EVENT.ORDER_CREATION_PASS, account=account, order=order))
def _rl_events(self, trading_dts):
event_container = {}
for i, trading_dt in enumerate(trading_dts[:-1]):
events_within_bar = []
events_within_bar.append(
Event(EVENT.BAR, calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.POST_BAR,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.PRE_AFTER_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.AFTER_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.POST_AFTER_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.PRE_SETTLEMENT,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.SETTLEMENT,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.POST_SETTLEMENT,
calendar_dt=trading_dt,
trading_dt=trading_dt))
next_trading_dt = trading_dts[i + 1]
events_within_bar.append(
Event(EVENT.PRE_BEFORE_TRADING,
calendar_dt=next_trading_dt,
trading_dt=next_trading_dt))
events_within_bar.append(
Event(EVENT.BEFORE_TRADING,
calendar_dt=next_trading_dt,
trading_dt=next_trading_dt))
events_within_bar.append(
Event(EVENT.POST_BEFORE_TRADING,
calendar_dt=next_trading_dt,
trading_dt=next_trading_dt))
events_within_bar.append(
Event(EVENT.PRE_BAR,
calendar_dt=next_trading_dt,
trading_dt=next_trading_dt))
event_container[trading_dt] = events_within_bar
return event_container
def __init__(self,
data_source,
look_backward_window=1,
mode="non-rl",
starting_cash={"STOCK": 1000000},
commission_multiplier=1,
min_commission=5,
tax_multiplier=1) -> None:
self.look_backward_window = look_backward_window
self.mode = mode
self.starting_cash = starting_cash
self.commission_multiplier = commission_multiplier
self.min_commission = min_commission
self.tax_multiplier = tax_multiplier
self._context = Context(look_backward_window=look_backward_window)
#set mode
self._context.set_mode(mode)
#set data_source
self._context.set_data_source(data_source)
#set event_source
event_source = SimulationEventSource()
self._context.set_event_source(event_source)
#set broker
broker = SimulationBroker(self._context)
self._context.set_broker(broker)
# transaction_cost decider
transaction_cost_decider = CNStockTransactionCostDecider(
commission_multiplier=commission_multiplier,
min_commission=min_commission,
tax_multiplier=tax_multiplier)
self._context.set_transaction_cost_decider("CS",
transaction_cost_decider)
# setup account and portfolio
portfolio = Portfolio(starting_cash=starting_cash, init_positions={})
self._context.set_portfolio(portfolio)
#setUP executor
if mode == "rl":
self._executor = RLExecutor(self._context)
else:
self._executor = Executor(self._context)
# user strategy
user_strategy = Strategy(self._context)
# setup a tracker to record key info
tracker = Tracker(self._context)
self._context.set_tracker(tracker)
self._context.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
self._context.update_time(
calendar_dt=self._context.available_trading_dts[0],
trading_dt=self._context.available_trading_dts[0])
# action and observation space
self.action_space = gym.spaces.Box(
0,
1,
shape=(len(data_source.order_book_ids_index), ),
dtype=np.float32) # include cash
# get the state space from the data min and max
if look_backward_window == 1:
self.observation_space = gym.spaces.Box(
low=-np.inf,
high=np.inf,
shape=(len(data_source.order_book_ids_index),
len(data_source.feature_list)),
dtype=np.float32)
else:
self.observation_space = gym.spaces.Box(
low=-np.inf,
high=np.inf,
shape=(len(data_source.order_book_ids_index),
look_backward_window, len(data_source.feature_list)),
dtype=np.float32)
def events(self, trading_dts):
event_container = {}
#for trading_dt in trading_dts[:-1]:
for i, trading_dt in enumerate(trading_dts):
#events_within_bar = ( Event(EVENT.BEFORE_TRADING, calendar_dt=trading_dt, trading_dt=trading_dt),
# Event(EVENT.BAR, calendar_dt=trading_dt, trading_dt=trading_dt),
# Event(EVENT.AFTER_TRADING, calendar_dt=trading_dt, trading_dt=trading_dt)
# )
events_within_bar = []
events_within_bar.append(
Event(EVENT.PRE_BEFORE_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.BEFORE_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.POST_BEFORE_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.PRE_BAR,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.BAR, calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.POST_BAR,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.PRE_AFTER_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.AFTER_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.POST_AFTER_TRADING,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.PRE_SETTLEMENT,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.SETTLEMENT,
calendar_dt=trading_dt,
trading_dt=trading_dt))
events_within_bar.append(
Event(EVENT.POST_SETTLEMENT,
calendar_dt=trading_dt,
trading_dt=trading_dt))
#yield events_within_bar
event_container[trading_dt] = events_within_bar
return event_container