class Test_env_reset(object):
@classmethod
def setup_class(cls):
with mock.patch('cryptotrader.envs.trading.datetime') as mock_datetime:
mock_datetime.now.return_value = datetime.fromtimestamp(
index).astimezone(timezone.utc)
mock_datetime.fromtimestamp = lambda *args, **kw: datetime.fromtimestamp(
*args, **kw)
mock_datetime.side_effect = lambda *args, **kw: datetime(
*args, **kw)
cls.env = PaperTradingEnvironment(period=5,
obs_steps=10,
tapi=tapi,
fiat="USDT",
name='env_test')
# cls.env.add_pairs("USDT_BTC", "USDT_ETH")
# cls.env.fiat = "USDT"
@classmethod
def teardown_class(cls):
shutil.rmtree(os.path.join(os.path.abspath(os.path.curdir), 'logs'))
@mock.patch.object(PaperTradingEnvironment, 'timestamp',
floor_datetime(
datetime.fromtimestamp(index).astimezone(
timezone.utc), 5))
def test_reset(self):
obs = self.env.reset()
# Assert observation
assert isinstance(
self.env.obs_df,
pd.DataFrame) and self.env.obs_df.shape[0] == self.env.obs_steps
assert isinstance(obs,
pd.DataFrame) and obs.shape[0] == self.env.obs_steps
# Assert taxes
assert list(self.env.tax.keys()) == self.env.symbols
# Assert portfolio log
assert isinstance(self.env.portfolio_df,
pd.DataFrame) and self.env.portfolio_df.shape[0] == 1
assert list(self.env.portfolio_df.columns) == list(
self.env.symbols) + ['portval']
# Assert action log
assert isinstance(self.env.action_df,
pd.DataFrame) and self.env.action_df.shape[0] == 1
assert list(
self.env.action_df.columns) == list(self.env.symbols) + ['online']
# Assert balance
assert list(self.env.balance.keys()) == list(self.env.symbols)
for symbol in self.env.balance:
assert isinstance(self.env.balance[symbol], Decimal)
def trade(self,
env,
start_step=0,
act_now=False,
timeout=None,
verbose=False,
render=False,
db_sock=None,
email=False,
save_dir="./"):
"""
TRADE REAL ASSETS WITHIN EXCHANGE. USE AT YOUR OWN RISK!
:param env: Livetrading or Papertrading environment instance
:param start_step: int: strategy start step
:param act_now: bool: Whether to act now or at the next bar start
:param timeout: int: Not implemented yet
:param verbose: bool:
:param render: bool: Not implemented yet
:param email: bool: Wheter to send report email or not
:param save_dir: str: Save directory for logs
:return:
"""
try:
# Fiat symbol
self.fiat = env._fiat
# Reset env and get initial obs
env.reset_status()
obs = env.reset()
# Set flags
can_act = act_now
may_report = True
status = env.status
self.db_sock = False
if db_sock:
self.db_sock = db_sock
# Get initial values
prev_portval = init_portval = env.calc_total_portval()
init_time = env.timestamp
last_action_time = floor_datetime(env.timestamp, env.period)
t0 = time() # # TODO: use datetime
# Initialize var
episode_reward = 0
reward = 0
print(
"Executing trading with %d min frequency.\nInitial portfolio value: %f fiat units."
% (env.period, init_portval))
Logger.info(Agent.trade, "Starting trade routine...")
# Init step counter
self.step = start_step
if verbose:
msg = self.make_report(env, obs, reward, episode_reward, t0,
init_time, env.calc_portfolio_vector(),
prev_portval, init_portval)
print(msg, end="\r", flush=True)
if email and may_report:
if hasattr(env, 'email'):
env.send_email("Trading report " + self.name, msg)
while True:
try:
# Log action time
loop_time = env.timestamp
# Can act?
if loop_time >= last_action_time + timedelta(
minutes=env.period):
can_act = True
try:
del self.log["Trade_incomplete"]
except Exception:
pass
# If can act, run strategy and step environment
if can_act:
# Log action time
last_action_time = floor_datetime(
env.timestamp, env.period)
# Ask oracle for a prediction
action = self.rebalance(
env.get_observation(True).astype(np.float64))
# Generate report
if verbose or email:
msg = self.make_report(env, obs, reward,
episode_reward, t0,
loop_time, action,
prev_portval, init_portval)
if verbose:
print(msg, end="\r", flush=True)
if email and may_report:
if hasattr(env, 'email'):
env.send_email(
"Trading report " + self.name, msg)
may_report = False
# Save portval for report
prev_portval = env.calc_total_portval()
# Sample environment
obs, reward, done, status = env.step(action)
# Accumulate reward
episode_reward += reward
# If action is complete, increment step counter, log action time and allow report
if done:
# Increase step counter
self.step += 1
# You can act just one time per candle
can_act = False
# If you've acted, report yourself to nerds
may_report = True
if self.db_sock:
self.db_sock.send_string('update')
else:
self.log[
"Trade_incomplete"] = "Position change was not fully completed."
# If can't act, just take an observation and return
else:
obs = env.get_observation(True).astype(np.float64)
# Not implemented yet
if render:
env.render()
# If environment return an error, save data frames and break
if status['Error']:
# Get error
e = status['Error']
# Save data frames for analysis
self.save_dfs(env, save_dir, init_time)
# Report error
if verbose:
print(
"Env error:",
type(e).__name__ + ' in line ' +
str(e.__traceback__.tb_lineno) + ': ' + str(e))
if email:
if hasattr(env, 'email'):
env.send_email("Trading error: %s" % env.name,
env.parse_error(e))
# Panic
break
if not can_act:
# When everything is done, wait for the next candle
try:
sleep(
datetime.timestamp(last_action_time +
timedelta(
minutes=env.period)) -
datetime.timestamp(env.timestamp) +
np.random.random(1) * 3)
except ValueError:
sleep(np.random.random(1) * 3)
except MaxRetriesException as e:
# Tell nerds the delay
Logger.error(
Agent.trade,
"Retries exhausted. Waiting for connection...")
try:
env.send_email("Trading error: %s" % env.name,
env.parse_error(e))
except Exception:
pass
# Wait for the next candle
try:
sleep(
datetime.timestamp(last_action_time +
timedelta(minutes=env.period)) -
datetime.timestamp(env.timestamp) +
np.random.random(1) * 30)
except ValueError:
sleep(1 + int(np.random.random(1) * 30))
# Catch exceptions
except Exception as e:
print(env.timestamp)
print(obs)
print(env.portfolio_df.iloc[-5:])
print(env.action_df.iloc[-5:])
print("Action taken:", action)
print(env.get_reward(prev_portval))
print(
"\nAgent Trade Error:",
type(e).__name__ + ' in line ' +
str(e.__traceback__.tb_lineno) + ': ' + str(e))
# Save dataframes for analysis
self.save_dfs(env, save_dir, init_time)
if email:
env.send_email("Trading error: %s" % env.name,
env.parse_error(e))
break
# If interrupted, save data and quit
except KeyboardInterrupt:
# Save dataframes for analysis
self.save_dfs(env, save_dir, init_time)
print("\nKeyboard Interrupt: Stoping cryptotrader" + \
"\nElapsed steps: {0}\nUptime: {1}\nInitial Portval: {2:.08f}\nFinal Portval: {3:.08f}\n".format(self.step,
str(pd.to_timedelta(time() - t0, unit='s')),
init_portval,
env.calc_total_portval()))
# Catch exceptions
except Exception as e:
print(
"\nAgent Trade Error:",
type(e).__name__ + ' in line ' +
str(e.__traceback__.tb_lineno) + ': ' + str(e))
raise e
class Test_env_step(object):
# TODO: CHECK THIS TEST
@classmethod
def setup_class(cls):
with mock.patch('cryptotrader.envs.trading.datetime') as mock_datetime:
mock_datetime.now.return_value = datetime.fromtimestamp(
index).astimezone(timezone.utc)
mock_datetime.fromtimestamp = lambda *args, **kw: datetime.fromtimestamp(
*args, **kw)
mock_datetime.side_effect = lambda *args, **kw: datetime(
*args, **kw)
cls.env = PaperTradingEnvironment(period=5,
obs_steps=10,
tapi=tapi,
name='env_test')
cls.env.add_pairs("USDT_BTC", "USDT_ETH")
cls.env.fiat = "USDT"
cls.env.reset()
cls.env.fiat = 100
cls.env.reset_status()
@classmethod
def teardown_class(cls):
shutil.rmtree(os.path.join(os.path.abspath(os.path.curdir), 'logs'))
@given(
arrays(dtype=np.float32,
shape=(3, ),
elements=st.floats(allow_nan=False,
allow_infinity=False,
max_value=1e8,
min_value=0)))
@settings(max_examples=50)
def test_simulate_trade(self, action):
# Normalize action vector
action = array_normalize(action, False)
assert action.sum() - Decimal('1.00000000') < Decimal(
'1E-8'), action.sum() - Decimal('1.00000000')
# Get timestamp
timestamp = self.env.obs_df.index[-1]
# Call method
self.env.simulate_trade(action, timestamp)
# Assert position
for i, symbol in enumerate(self.env.symbols):
assert self.env.action_df.get_value(
timestamp, symbol) - convert_to.decimal(
action[i]) <= Decimal('1E-8')
# Assert amount
for i, symbol in enumerate(self.env.symbols):
if symbol not in self.env._fiat:
assert self.env.portfolio_df.get_value(self.env.portfolio_df[symbol].last_valid_index(), symbol) - \
self.env.action_df.get_value(timestamp, symbol) * self.env.calc_total_portval(timestamp) / \
self.env.get_open_price(symbol, timestamp) <= convert_to.decimal('1E-4')
@mock.patch.object(PaperTradingEnvironment, 'timestamp',
floor_datetime(
datetime.fromtimestamp(index).astimezone(
timezone.utc), 5))
@given(
arrays(dtype=np.float32,
shape=(3, ),
elements=st.floats(allow_nan=False,
allow_infinity=False,
max_value=1e8,
min_value=0)))
@settings(max_examples=50)
def test_step(self, action):
# obs = self.env.reset()
action = array_softmax(action)
obs, reward, done, status = self.env.step(action)
# Assert returned obs
assert isinstance(obs, pd.DataFrame)
assert obs.shape[0] == self.env.obs_steps
assert set(obs.columns.levels[0]) == set(
list(self.env.pairs) + [self.env._fiat])
# Assert reward
assert isinstance(reward, np.float64)
assert reward not in (np.nan, np.inf)
# Assert done
assert isinstance(done, bool)
# Assert status
assert status == self.env.status
for key in status:
assert status[key] == False