def test_best_action(self):
q = QValue()
self.assertEqual(q.get_best_action(), 0)
q[ACTION.BUY] = 1
self.assertEqual(q.get_best_action(), ACTION.BUY)
print(q)
def select_q_val(self, time, start_time, start_action):
rec = self.select_q(time, start_time, start_action)
q = None
if rec:
q = QValue()
q.set_q_records(rec)
# print('selectq', time, start_time, start_action, q)
return q
def test_q_set_rec(self):
r = (100, 101, 1, 2, 3, 4, 5, 6)
q = QValue()
q.set_q_records(r)
self.assertEqual(q.time, 100)
self.assertEqual(q.start_time, 101)
self.assertEqual(q.start_action, 1)
self.assertEqual(q[ACTION.NOP], 2)
self.assertEqual(q[ACTION.BUY], 3)
self.assertEqual(q[ACTION.BUY_NOW], 4)
self.assertEqual(q[ACTION.SELL], 5)
self.assertEqual(q[ACTION.SELL_NOW], 6)
def test_market_prices(self):
r = (100, 101, 99, 100, 101, 102, 103)
q = QValue()
q.set_price_record(r)
price = q.order_prices
self.assertEqual(price.time, 100)
self.assertEqual(price.market_order_sell, 101)
self.assertEqual(price.market_order_buy, 99)
self.assertEqual(price.fix_order_sell, 100)
self.assertEqual(price.fix_order_sell_time, 101)
self.assertEqual(price.fix_order_buy, 102)
self.assertEqual(price.fix_order_buy_time, 103)
def __init__(self):
super().__init__()
# init members
self.episode_done = None
self.db_path = '/bitlog/bitlog.db'
self.generator = Generator()
self.board_generator = None
self.board = None
self.margin = 0
self.q_value = QValue()
self.episode_text = ''
self.start_action = ACTION.NOP
self.start_time = None
self.sell_order_price = None
self.buy_order_price = None
self.episode_start_time = 0
# init gym environment
self.action_space = gym.spaces.Discrete(
5) # 5 actions nop, buy, BUY, sell, SELL
self.observation_space = gym.spaces.Box(low=0,
high=255,
shape=(TIME_WIDTH, BOARD_WIDTH,
6),
dtype=np.uint8)
# self.reward_range = [-255., 255.]
self.reset()
def select_q_values(self, time, action):
'''
:param time time to select
:param action
:return: q values for NOP, buy, sell, BUY, SELL
'''
select_q_sql = """select time, start_time, start_action, nop_q, buy_q, buy_now_q, sell_q, sell_now_q
from q where start_time = ? and start_action= ? order by start_time, time
"""
self.cursor.execute(select_q_sql, (
time,
action,
))
rec = self.cursor.fetchone()
q = QValue()
q.set_q_records(rec)
return q
def test_accessor(self):
q = QValue()
q[ACTION.NOP] = 1
self.assertEqual(q[ACTION.NOP], 1)
q[ACTION.BUY] = 2
self.assertEqual(q[ACTION.BUY], 2)
q[ACTION.SELL] = 3
self.assertEqual(q[ACTION.SELL], 3)
def insert_updated_q(self):
'''
update q values according to the list of prices
:return: None
'''
old_price = None
for line in self.list_price():
price = OrderPrices()
price.set_price_record(line)
q_val = QValue()
if not price.is_equal_prices(old_price):
print(price.time)
# update
if price.market_order_sell:
q = self.create_q_sequence(
start_time=price.time,
action=ACTION.SELL_NOW,
start_price=price.market_order_sell,
skip_time=60)
q_val[ACTION.SELL_NOW] = q
if price.market_order_buy:
q = self.create_q_sequence(
start_time=price.time,
action=ACTION.BUY_NOW,
start_price=price.market_order_buy,
skip_time=60)
q_val[ACTION.BUY_NOW] = q
if price.fix_order_sell:
q = self.create_q_sequence(
start_time=price.time,
action=ACTION.SELL,
start_price=price.fix_order_sell,
skip_time=60)
q_val[ACTION.SELL] = q
if price.fix_order_buy:
q = self.create_q_sequence(start_time=price.time,
action=ACTION.BUY,
start_price=price.fix_order_buy,
skip_time=60)
q_val[ACTION.BUY] = q
self.insert_q(time=price.time,
start_action=ACTION.NOP,
start_time=0,
q_value=q_val)
old_price = price
def update_q_on_nop(self):
q_list = self.list_q(start_time=0, start_action=ACTION.NOP, asc=False)
last_q = None
for q_rec in q_list:
q = QValue()
q.set_q_records(q_rec)
# todo check if redundunt q values is not produced.
if last_q and not q.is_same_q_except_nop(last_q):
t = last_q.time - q.time
last_max_q = last_q.max_q() * Q_FIRST_DISCOUNT_RATE * (
Q_DISCOUNT_RATE**t)
q[ACTION.NOP] = last_max_q
self.insert_q(time=q.time,
start_time=0,
start_action=ACTION.NOP,
q_value=q)
last_q = q
self.commit()
def test_crate_db_insert_q(self):
db = LogDb() # create on memory
db.connect()
db.create_cursor()
db.create()
db.commit()
q = QValue()
q.q[ACTION.NOP] = 1
q.q[ACTION.BUY] = 1
q.q[ACTION.SELL] = 1
q.q[ACTION.SELL_NOW] = 1
q.q[ACTION.BUY_NOW] = 1
db.insert_q(100, 101, ACTION.BUY, q)
def test_select_db_q(self):
db = LogDb() # create on memory
db.connect()
db.create_cursor()
db.create()
db.commit()
q = QValue()
q.q[ACTION.NOP] = 1
q.q[ACTION.BUY] = 2
q.q[ACTION.SELL] = 3
q.q[ACTION.SELL_NOW] = 4
q.q[ACTION.BUY_NOW] = 5
db.insert_q(100, 101, ACTION.BUY, q)
r = db.select_q(100, 101, ACTION.BUY)
print(r)
def test_list_db_q(self):
db = LogDb() # create on memory
db.connect()
db.create_cursor()
db.create()
db.commit()
q = QValue()
q.q[ACTION.NOP] = 1
q.q[ACTION.BUY] = 2
q.q[ACTION.SELL] = 3
q.q[ACTION.SELL_NOW] = 4
q.q[ACTION.BUY_NOW] = 5
db.insert_q(100, 0, ACTION.BUY, q)
db.insert_q(101, 100, ACTION.BUY, q)
db.insert_q(102, 100, ACTION.BUY, q)
db.insert_q(103, 100, ACTION.BUY, q)
db.insert_q(101, 101, ACTION.BUY, q)
db.commit()
r = db.select_q(102, 100, ACTION.BUY)
print(r)
r = db.list_q(100, ACTION.BUY)
print(r)
for q in r:
print(q)
def test_list_update_q(self):
db = LogDb('/bitlog/bitlog.db') # create on memory
db.connect()
db.create_cursor()
db.create()
db.commit()
q = QValue()
q.q[ACTION.NOP] = 1
q.q[ACTION.BUY] = 2
q.q[ACTION.SELL] = 3
q.q[ACTION.SELL_NOW] = 4
q.q[ACTION.BUY_NOW] = 5
db.insert_q(100, 0, ACTION.BUY, q)
db.insert_q(101, 100, ACTION.BUY, q)
db.insert_q(102, 100, ACTION.BUY, q)
db.insert_q(103, 100, ACTION.BUY, q)
db.insert_q(101, 101, ACTION.BUY, q)
db.commit()
db.insert_updated_q()
def __init__(self, time_width=TIME_WIDTH):
self.time_width = time_width
self.current_time = 0
self.center_price = 0
self.sell_trade = SparseMatrix(time_width)
self.buy_trade = SparseMatrix(time_width)
self.sell_order = SparseMatrix(time_width)
self.buy_order = SparseMatrix(time_width)
self.buy_book_price = 0
self.buy_book_vol = 0
self.sell_book_price = 0
self.sell_book_vol = 0
self.sell_trade_price = 0
self.sell_trade_volume = 0
self.buy_trade_price = 0
self.buy_trade_volume = 0
self.my_sell_order = {}
self.my_buy_order = {}
# sell simulation result
self.market_sell_price = None
self.market_buy_price = None
self.fix_sell_price = None
self.fix_sell_price_time = None
self.fix_buy_price = None
self.fix_buy_price_time = None
self.funding_ttl = 0
self.funding = 0
self.q_value = QValue()
def test_calc_q_values(self):
r = (100, 101, 99, 100, 101, 102, 103)
q = QValue()
q.set_price_record(r)
q.update_q(sell_price=1)
self.assertEqual(q[ACTION.SELL_NOW], -10)
self.assertEqual(q[ACTION.SELL], -10)
self.assertNotEqual(q[ACTION.BUY], -10)
self.assertNotEqual(q[ACTION.BUY_NOW], -10)
price = q.order_prices
self.assertEqual(price.time, 100)
self.assertEqual(price.market_order_sell, 101)
self.assertEqual(price.market_order_buy, 99)
self.assertEqual(price.fix_order_sell, 100)
self.assertEqual(price.fix_order_sell_time, 101)
self.assertEqual(price.fix_order_buy, 102)
self.assertEqual(price.fix_order_buy_time, 103)
def create_q_sequence(self,
*,
start_time,
action,
start_price,
skip_time=1):
if (action == ACTION.BUY) or (action == ACTION.BUY_NOW):
peak_price = self.select_highest_price_time(start_time +
EXECUTE_TIME_MIN)
elif (action == ACTION.SELL) or (action == ACTION.SELL_NOW):
peak_price = self.select_lowest_price_time(start_time +
EXECUTE_TIME_MIN)
prices = self.list_price(start_time=start_time + skip_time,
end_time=peak_price.time,
desc=True)
nop_q = 0
old_q = QValue(start_time=start_time,
start_action=action,
start_price=start_price)
skip_count = 1
# print('creawteq_seq', start_time, action)
for price_rec in prices:
q = QValue(start_time=start_time,
start_action=action,
start_price=start_price)
q.set_price_record(price_rec)
nop_q *= Q_DISCOUNT_RATE
if q.is_same_q_except_nop(old_q):
skip_count += 1
continue
best_action = old_q.get_best_action()
# todo Ajudst Q values for negative values
if best_action == ACTION.BUY or action == ACTION.SELL:
new_q = old_q.max_q() * Q_FIRST_DISCOUNT_RATE * (
Q_DISCOUNT_RATE**skip_count)
else:
new_q = old_q.max_q() * (Q_DISCOUNT_RATE**skip_count)
if nop_q < new_q:
nop_q = new_q
q[ACTION.NOP] = nop_q
#if q.time != start_time:
self.insert_q(time=q.time,
start_time=start_time,
start_action=action,
q_value=q)
old_q = q
skip_count = 1
self.commit()
return old_q.max_q()
def test_is_same_q(self):
q1 = QValue()
q2 = QValue()
self.assertTrue(q1.is_same_q_except_nop(q2))
q1[1] = 1
q2[1] = 1
self.assertTrue(q1.is_same_q_except_nop(q2))
q1[3] = 4
q2[3] = 4
self.assertTrue(q1.is_same_q_except_nop(q2))
q1[ACTION.NOP] = 4
q2[ACTION.NOP] = 1
self.assertTrue(q1.is_same_q_except_nop(q2))
q1 = QValue()
q2 = QValue()
q1[1] = 2
q2[1] = 4
self.assertFalse(q1.is_same_q_except_nop(q2))
q1 = QValue()
q2 = QValue()
q1[2] = 2
q2[2] = 4
self.assertFalse(q1.is_same_q_except_nop(q2))
q1 = QValue()
q2 = QValue()
q1[3] = 2
q2[3] = 4
self.assertFalse(q1.is_same_q_except_nop(q2))
q1 = QValue()
q2 = QValue()
q1[4] = 2
q2[4] = 4
self.assertFalse(q1.is_same_q_except_nop(q2))