def main(eval_stock, window_size, model_name, debug):
""" Evaluates the stock trading bot.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python eval.py --help]
"""
data = filter_data_by_feature_columns(get_stock_data(eval_stock))
# Single Model Evaluation
if model_name is not None:
agent = Agent(window_size * data.shape[1],
pretrained=True,
model_name=model_name)
profit, history = evaluate_model(agent, data, window_size, debug)
first_buy = history[0][0]
show_eval_result(model_name, profit, first_buy)
# Multiple Model Evaluation
else:
for model in os.listdir("models"):
if os.path.isfile(os.path.join("models", model)):
agent = Agent(window_size * data.shape[1],
pretrained=True,
model_name=model)
profit = evaluate_model(agent, data, window_size, debug)
show_eval_result(model, profit)
del agent
def main(args):
count = 0
total_profit = 0
t=0
history = []
reward = 0
ticker = args.ticker + '.NS'
price = []
window_size =10
time_now = datetime.datetime.now(tz).time()
while(datetime.time(9, 14, tzinfo=tz) < time_now < datetime.time(15, 31, tzinfo=tz)):
url = 'https://finance.yahoo.com/quote/{}?p={}&.tsrc=fin-srch'.format(ticker,ticker)
print(count)
live = Real(url,count)
count+=1
price.append(live)
if count < window_size:
continue
model_name='model_debug_50'
print(live)
initial_offset = price[1] - price[0]
state = get_state(price, 0, window_size + 1)
next_state = get_state(price, t + 1, window_size + 1)
agent = Agent(state_size=window_size, pretrained=True, model_name=model_name)
agent.inventory = []
profit = evaluate_model(agent,state,next_state, price, t, total_profit, history, reward, window_size=window_size)
show_eval_result(model_name, profit, initial_offset)
t+=1
state = next_state
def main(eval_stock, window_size, model_name, debug):
""" Evaluates the stock trading bot.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python eval.py --help]
"""
data = []
time_get = []
a = True
for i in range(15):
strings = time.strftime("%Y,%m,%d,%H,%M,%S")
t = strings.split(',')
numbers = [t[4], t[5]]
time_get.append(str(numbers[0]) + '-' + str(numbers[1]))
time.sleep(1)
y = cryptocompare.get_price('BTC', currency='USD')
data.append(y['BTC']['USD'])
initial_offset = data[1] - data[0]
# Single Model Evaluation
if model_name is not None:
agent = Agent(window_size, pretrained=True, model_name=model_name)
profit, _ = evaluate_model(agent, data, window_size, debug, time_get)
show_eval_result(model_name, profit, initial_offset)
# Multiple Model Evaluation
else:
for model in os.listdir("models"):
if os.path.isfile(os.path.join("models", model)):
agent = Agent(window_size, pretrained=True, model_name=model)
profit = evaluate_model(agent, data, window_size, debug)
show_eval_result(model, profit, initial_offset)
del agent
def main(eval_stock, window_size, model_name, debug, manual_run):
""" Evaluates the stock trading bot.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python eval.py --help]
"""
if type(eval_stock) == str:
data = get_stock_data(eval_stock)
elif type(eval_stock) == list:
data = eval_stock
initial_offset = data[1] - data[0]
# Single Model Evaluation
if model_name is not None:
agent = Agent(window_size, pretrained=True, model_name=model_name, manual = manual_run)
profit, _ = evaluate_model(agent, data, window_size, debug)
show_eval_result(model_name, profit, initial_offset)
# Multiple Model Evaluation
else:
for model in os.listdir("models"):
if os.path.isfile(os.path.join("models", model)):
agent = Agent(window_size, pretrained=True, model_name=model)
profit = evaluate_model(agent, data, window_size, debug)
show_eval_result(model, profit, initial_offset)
del agent
def main(args):
count = 0
total_profit = 0
t=0
history = []
reward = 0
price = []
window_size =10
time_now = datetime.datetime.now(tz).time()
url = 'https://api.binance.com/api/v1/ticker/price?symbol={}'.format(args.ticker)
live = Real(url)
print(live)
while(count < 100):
url = 'https://api.binance.com/api/v1/ticker/price?symbol={}'.format(args.ticker)
live = Real(url)
count+=1
price.append(live)
if count < window_size:
continue
model_name='model_t-dqn_GOOG_10'
print(live)
initial_offset = price[1] - price[0]
state = get_state(price, 0, window_size + 1)
next_state = get_state(price, t + 1, window_size + 1)
agent = Agent(state_size=window_size, pretrained=True, model_name=model_name)
agent.inventory = []
profit = evaluate_model(agent,state,next_state, price, t, total_profit, history, reward, window_size=window_size)
show_eval_result(model_name, profit, initial_offset)
t+=1
state = next_state
def main(eval_stock, window_size, model1, model2, debug):
""" Evaluates the stock trading bot.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python eval.py --help]
"""
data = get_stock_data(eval_stock)
initial_offset = data[1] - data[0]
# Single Model Evaluation
if model1 is not None and model2 is not None:
agent1 = Agent(window_size, pretrained=True, model_name=model1)
agent2 = Agent(window_size, pretrained=True, model_name=model2)
profit, _ = evaluate_models(agent1, agent2, data, window_size, debug)
show_multi_eval_result(model1, model2, profit, initial_offset)
def main(train_stock,
val_stock,
window_size,
batch_size,
ep_count,
strategy="t-dqn",
model_name="model_debug",
pretrained=False,
debug=False):
""" Trains the stock trading bot using Deep Q-Learning.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python train.py --help]
"""
agent = Agent(window_size,
strategy=strategy,
pretrained=pretrained,
model_name=model_name)
train_data = get_stock_data(train_stock)
val_data = get_stock_data(val_stock)
initial_offset = val_data[1] - val_data[0]
for episode in range(1, ep_count + 1):
train_result = train_model(agent,
episode,
train_data,
ep_count=ep_count,
batch_size=batch_size,
window_size=window_size)
val_result, _ = evaluate_model(agent, val_data, window_size, debug)
show_train_result(train_result, val_result, initial_offset)
def main(train_stock,
val_stock,
window_size,
batch_size,
ep_count,
strategy="t-dqn",
model_name="model_debug",
pretrained=False,
debug=False):
"""Trains the stock trading bot using Deep Q-Learning.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python train.py --help]
"""
train_data = filter_data_by_feature_columns(get_stock_data(train_stock))
val_data = filter_data_by_feature_columns(get_stock_data(val_stock))
agent = Agent(window_size * train_data.shape[1],
strategy=strategy,
pretrained=pretrained,
model_name=model_name)
for episode in range(1, ep_count + 1):
train_result = train_model(agent,
episode,
train_data,
ep_count=ep_count,
batch_size=batch_size,
window_size=window_size)
val_result, _ = evaluate_model(agent, val_data, window_size, debug)
show_train_result(train_result, val_result)
def train(train_stock,
val_stock,
window_size,
batch_size,
ep_count,
strategy="t-dqn",
model_name="model_double-dqn_GOOG_50",
pretrained=True,
debug=False):
"""
Trains the stock trading bot using Deep Q-Learning.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python train.py --help]
"""
print("Started the model training for the {}".format(symbol))
agent = Agent(window_size,
strategy=strategy,
pretrained=pretrained,
model_name=model_name)
train_data = train_stock
val_data = val_stock
initial_offset = np.array(val_data)[1] - np.array(val_data)[0]
for episode in range(1, ep_count + 1):
train_result = train_model(agent,
episode,
train_data,
ep_count=ep_count,
batch_size=batch_size,
window_size=window_size)
val_result, _ = evaluate_model(agent, val_data, window_size, debug)
show_train_result(train_result, val_result, initial_offset)
print("Training the model completed!!")
def main(train_stock, val_stock, window_size, batch_size, ep_count,
strategy="t-dqn", model_name="model_debug", pretrained=False,
debug=False):
""" Trains the stock trading bot using Deep Q-Learning.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python train.py --help]
"""
import tensorflow as tf
print("#TF Version: ",tf.__version__)
from tensorflow.python.client import device_lib
print("Using device: ")
print(device_lib.list_local_devices())
agent = Agent(window_size, strategy=strategy, pretrained=pretrained, model_name=model_name)
train_data = get_stock_data(train_stock)
val_data = get_stock_data(val_stock)
initial_offset = val_data["Close"][1] - val_data["Close"][0]
for episode in range(1, ep_count + 1):
train_result = train_model(agent, episode, train_data, ep_count=ep_count,
batch_size=batch_size, window_size=window_size)
val_result, _ , actionCollection = evaluate_model(agent, val_data, window_size, debug)
show_train_result(train_result, val_result, initial_offset)
def main(args):
price = []
cur_symbol = args.ticker
quick_train(cur_symbol)
window_size =10
time_now = datetime.datetime.now(tz).time()
for c in range(2):
price.append(Real(cur_symbol))
model_name='model_double-dqn_GOOG_50_50'
initial_offset = price[1] - price[0]
agent = Agent(window_size, pretrained=True, model_name=model_name)
profit, history = evaluate_model(agent, price, window_size,cur_symbol, debug=False)
show_eval_result(model_name, profit, initial_offset)
print("Profit:", profit)
buys = sells = holds = 0
for i in history:
if i[1] == "BUY":
buys += 1
elif i[1] == "SELL":
sells += 1
elif i[1] == "HOLD":
holds += 1
print("BUYS Percentage:", (buys/len(history)) * 100)
print("SELLS Percentage:", (sells/len(history)) * 100)
print("HOLDS Percentage:", (holds/len(history)) * 100)
rpath = 'training_data/' + cur_symbol + '.csv'
os.remove(rpath)
def alpaca_trading_bot(stock_name, window_size=10, model_name='model_debug'):
# Alpaca API
api = tradeapi.REST()
# Create Agent Object
agent = Agent(window_size, pretrained=True, model_name=model_name)
# Get Ticker from last intraday times from Polygon
file = open('ticker.csv', 'w')
file.write('Adj Close\n')
# Check for connection errors and retry 30 times
cnt = 0
while cnt <= 30:
try:
date = api.get_barset(timeframe='minute', symbols=stock_name, limit=1000, end=datetime.datetime.now())
break
except:
logging.warning("Error retrieving initial 1000 prices, retrying in 30s (" + str(cnt) + "/30)")
time.sleep(30)
cnt += 1
continue
# Write ticker csv
for minutes in date.get(stock_name):
file.write(str(minutes.c))
file.write('\n')
file.close()
data = get_stock_data('ticker.csv')
# Call actual buy/sell/hold decisions and print result forever
decisions(agent, data, window_size, debug, stock_name, api)
def main(args):
count = 0
ticker = args.ticker + '.NS'
price = []
time_now = datetime.datetime.now(tz).time()
while (datetime.time(9, 14, tzinfo=tz) < time_now < datetime.time(
19, 31, tzinfo=tz)):
url = 'https://finance.yahoo.com/quote/{}?p={}&.tsrc=fin-srch'.format(
ticker, ticker)
print(count)
live = Real(url, count)
count += 1
price.append(live)
if count < 10:
continue
print(live)
initial_offset = price[1] - price[0]
agent = Agent(state_size=10,
pretrained=True,
model_name='model_debug_50')
profit, _ = evaluate_model(agent, price, window_size=10, debug=False)
show_eval_result(model_name, profit, initial_offset)
def alpaca_trading_bot(stock_name, window_size=10, model_name='model_debug'):
# Alpaca API
api = tradeapi.REST()
# Create Agent Object
agent = Agent(window_size, pretrained=True, model_name=model_name)
# Get Ticker from last intraday times from Polygon
file = open('ticker.csv', 'w')
file.write('Adj Close\n')
# Get date for ticker
date = api.get_barset(timeframe='15Min',
symbols=stock_name,
limit=1000,
end=datetime.datetime.now())
# Write ticker csv
for minutes in date.get(stock_name):
file.write(str(minutes.c))
file.write('\n')
file.close()
data = get_stock_data('ticker.csv')
# Call actual buy/sell/hold decisions and print result forever
decisions(agent, data, window_size, debug, stock_name, api)
def main(train_stock,
val_stock,
window_size,
batch_size,
ep_count,
strategy="t-dqn",
model_name="model_debug",
pretrained=False,
debug=False):
agent = Agent(window_size,
strategy=strategy,
pretrained=pretrained,
model_name=model_name)
train_data = get_stock_data(train_stock)
val_data = get_stock_data(val_stock)
initial_offset = val_data[1] - val_data[0]
for episode in range(1, ep_count + 1):
train_result = train_model(agent,
episode,
train_data,
ep_count=ep_count,
batch_size=batch_size,
window_size=window_size)
val_result, _ = evaluate_model(agent, val_data, window_size, debug)
show_train_result(train_result, val_result, initial_offset)
def main(symbol):
price = []
window_size = 10
time_now = datetime.now(tz).time()
model_name = 'model_double-dqn_GOOG_50_10'
agent = Agent(window_size, pretrained=True, model_name=model_name)
profit, history = evaluate_model1(agent, symbol, price, window_size)
print("Profit:", profit)
'''
def main(eval_stock, window_size, model_name, debug):
data = get_stock_data(eval_stock)
initial_offset = data[1] - data[0]
# Single Model Evaluation
if model_name is not None:
agent = Agent(window_size, pretrained=True, model_name=model_name)
profit, _ = evaluate_model(agent, data, window_size, debug)
show_eval_result(model_name, profit, initial_offset)
# Multiple Model Evaluation
else:
for model in os.listdir("models"):
if os.path.isfile(os.path.join("models", model)):
agent = Agent(window_size, pretrained=True, model_name=model)
profit = evaluate_model(agent, data, window_size, debug)
show_eval_result(model, profit, initial_offset)
del agent
def main(train_stock, window_size, batch_size, ep_count, strategy="t-dqn", model_name="model_debug", pretrained=False, debug=False): agent = Agent(window_size, strategy=strategy, pretrained=pretrained, model_name=model_name) train_data = get_stock_data(train_stock) for episode in range(1, ep_count + 1): train_result = train_model(agent, episode, train_data, ep_count=ep_count, batch_size=batch_size, window_size=window_size)
def main(train_stock,
val_stock,
economy,
window_size,
batch_size,
ep_count,
strategy="dqn",
model_name="model_debug",
pretrained=False,
debug=False):
""" Trains the stock trading bot using Deep Q-Learning.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python train.py --help]
"""
print("initialize agent")
agent = Agent(window_size,
strategy=strategy,
pretrained=pretrained,
model_name=model_name)
print('get stock data')
train_data = get_stock_data(train_stock)
print('get economy leading')
economy_data = get_economy_data(economy)
print('get val data')
val_data = get_stock_data(val_stock)
# 첫 째날과 둘 째 날의 종가의 차
initial_offset = val_data[0][1] - val_data[0][0]
last_checkpoint = 0
for episode in range(1, ep_count + 1):
print('train episode : ', episode)
train_result, is_earlystopping = train_model(
agent,
episode,
train_data,
economy_data,
ep_count=ep_count,
batch_size=batch_size,
window_size=window_size,
last_checkpoint=last_checkpoint)
val_result, _ = evaluate_model(agent, val_data, economy_data,
window_size, debug)
show_train_result(train_result, val_result, initial_offset)
if is_earlystopping == False:
last_checkpoint = episode
def main(window_size, batch_size, ep_count, model_name, pretrained, debug):
""" Trains the stock trading bot using Deep Q-Learning.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python train.py --help]
"""
agent = Agent(window_size, pretrained=pretrained, model_name=model_name)
train_data = get_stock_data('data/training.csv')
val_data = get_stock_data('data/test.csv')
initial_offset = val_data[1] - val_data[0]
for episode in range(1, ep_count + 1):
train_result = train_model(agent,
episode,
train_data,
ep_count=ep_count,
batch_size=batch_size,
window_size=window_size)
val_result, _ = evaluate_model(agent, val_data, window_size, debug)
show_train_result(train_result, val_result, initial_offset)
agent.soft_save()
def main(symbol):
price = []
window_size = 10
time_now = datetime.datetime.now(tz).time()
model_name = 'model_double-dqn_GOOG_50_10'
agent = Agent(window_size, pretrained=True, model_name=model_name)
print("[INFO] Model initialised successfully[INFO]")
profit, history = evaluate_model1(agent, symbol, price, window_size)
print("Profit:", profit)
'''
with open("profit.txt", "w") as text_file:
print("Total Profit {}".format(profit), file=text_file)
'''
print("Profit:", profit)
'''
def main(eval_stock, window_size, model_name, debug):
""" Evaluates the stock trading bot.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python eval.py --help]
"""
data = get_stock_data(eval_stock)
initial_offset = data["Close"][1] - data["Close"][0]
# Single Model Evaluation
if model_name is not None:
agent = Agent(window_size, pretrained=True, model_name=model_name)
profit, _, actionCollection = evaluate_model(agent, data, window_size,
debug)
show_eval_result(model_name, profit, initial_offset)
return model_name, profit, actionCollection
def main(eval_stock, window_size, model_name, debug):
""" Evaluates the stock trading bot.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python eval.py --help]
"""
df_google = pd.read_csv("data/GOOG_2019.csv")
data = list(df_google['Open'])
data_date = list(df_google['Date'])
initial_offset = data[1] - data[0]
agent = Agent(window_size, current_price=data[0],pretrained=True, model_name=model_name)
total_profit, cash_in_hand, total_share, google_buy, google_sell = evaluate_model(agent, data, data_date, window_size, debug)
show_eval_result(model_name, total_profit, initial_offset)
google_price_buy = []
google_buy_date = []
google_price_sell = []
google_sell_date = []
w = csv.writer(open("dqn.csv", "w"))
for date, price in google_buy:
google_price_buy.append(price)
google_buy_date.append(date)
w.writerow(['Buy', date, price])
for date, price in google_sell:
google_price_sell.append(price)
google_sell_date.append(date)
w.writerow(['Sell', date, price])
fig = px.line(df_google, x='Date', y='Open')
fig.add_trace(go.Scatter(x=google_buy_date, y=google_price_buy, mode="markers", showlegend=True, name="Buy"))
fig.add_trace(go.Scatter(x=google_sell_date, y=google_price_sell, mode="markers", showlegend=True, name="Sell"))
fig.update_layout(title="DQN - Test results on Goog_2019 stock data with profit of " + str(total_profit),font=dict(
size=9,
color="#7f7f7f"
))
fig.show()
def main(train_stock,
window_size,
batch_size,
ep_count,
strategy="dqn",
model_name="dqn",
pretrained=False,
debug=False):
""" Trains the stock trading bot using Deep Q-Learning.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python train.py --help]
"""
train_data = get_stock_data(train_stock)
#val_data = get_stock_data(val_stock)
agent = Agent(window_size,
current_price=train_data[0],
strategy=strategy,
pretrained=pretrained,
model_name=model_name)
#initial_offset = val_data[1] - val_data[0]
cash_in_hand = []
total_profit = []
for episode in range(1, ep_count + 1):
train_result = train_model(agent,
episode,
train_data,
ep_count=ep_count,
batch_size=batch_size,
window_size=window_size)
#val_result, _ = evaluate_model(agent, val_data, window_size, debug)
if episode % 100 == 0:
agent.save(episode)
#show_train_result(train_result)
total_profit.append(train_result[2])
cash_in_hand.append(agent.cash_in_hand)
agent.reset()
plt.plot(np.array(cash_in_hand))
plt.xlabel('cash in hand for each episode')
plt.ylabel('Amount')
plt.show()
plt.plot(np.array(total_profit))
plt.xlabel('total profit for each episode')
plt.ylabel('Amount')
plt.show()
def main(symbol):
price = []
window_size = 10
time_now = datetime.now(tz).time()
model_name='model_double-dqn_GOOG_50_10'
agent = Agent(window_size, pretrained=True, model_name=model_name)
profit, history = evaluate_model1(agent, symbol, price, window_size, debug=True)
print("Profit:", profit)
buys = sells = holds = 0
for i in history:
if i[1] == "BUY":
buys += 1
elif i[1] == "SELL":
sells += 1
elif i[1] == "HOLD":
holds += 1
print("BUYS Percentage:", (buys/len(history)) * 100)
print("SELLS Percentage:", (sells/len(history)) * 100)
print("HOLDS Percentage:", (holds/len(history)) * 100)
from trading_bot.methods import predict_next
import pandas as pd
import numpy as np
import time
parser = argparse.ArgumentParser(description='LiveTrading using Backtrader.')
parser.add_argument('--model-name',
dest="modelname",
help='the name of the model as in models/',
required=True)
args = parser.parse_args()
print("using model: ", args.modelname)
window_size = 10
agent = Agent(window_size, pretrained=True, model_name=args.modelname)
#act = predict_next(agent, data, window_size)
class rebot(bt.Strategy):
params = (('allowshorts', 1), ('printLog', False))
def __init__(self):
self.pos = 0
self.data_live = False
self.isShort = False
def next(self):
#for d in self.datas:
d = self.datas[1]
def fn(ticker,strategy,ep_count,year):
stock = '{}'.format(ticker)
model_name = '{}_{}_{}'.format(ticker,strategy,ep_count)
test_stock = 'data/Nifty50/Split/{}_{}.csv'.format(ticker,year)
window_size = 10
debug = True
tf.keras.backend.clear_session()
K.clear_session()
agent = Agent(window_size, pretrained=True, model_name=model_name)
# read csv into dataframe
df = pd.read_csv(test_stock)
# df = df.iloc[:55]
# filter out the desired features
df = df[['Date', 'Adj Close']]
# rename feature column names
df = df.rename(columns={'Adj Close': 'actual', 'Date': 'date'})
# convert dates from object to DateTime type
dates = df['date']
dates = pd.to_datetime(dates, infer_datetime_format=True)
df['date'] = dates
df.head()
coloredlogs.install(level='DEBUG')
switch_k_backend_device()
test_data = get_stock_data(test_stock)
initial_offset = test_data[1] - test_data[0]
test_result, history = evaluate_model(agent, test_data, window_size, debug)
show_eval_result(model_name, test_result, initial_offset)
def visualize(df, history, title="trading session"):
# add history to dataframe
position = [history[0][0]] + [x[0] for x in history]
actions = ['HOLD'] + [x[1] for x in history]
df['position'] = position
df['action'] = actions
# specify y-axis scale for stock prices
scale = alt.Scale(domain=(min(min(df['actual']), min(df['position'])) - 50, max(max(df['actual']), max(df['position'])) + 50), clamp=True)
# plot a line chart for stock positions
actual = alt.Chart(df).mark_line(
color='green',
opacity=0.5
).encode(
x='date:T',
y=alt.Y('position', axis=alt.Axis(format='$.2f', title='Price'), scale=scale)
).interactive(
bind_y=False
)
# plot the BUY and SELL actions as points
points = alt.Chart(df).transform_filter(
alt.datum.action != 'HOLD'
).mark_point(
filled=True
).encode(
x=alt.X('date:T', axis=alt.Axis(title='Date')),
y=alt.Y('position', axis=alt.Axis(format='$.2f', title='Price'), scale=scale),
color='action'
).interactive(bind_y=False)
# merge the two charts
chart = alt.layer(actual, points, title=title).properties(height=300, width=1000)
return chart
chart = visualize(df, history, title=test_stock)
cap = [0]
inv = 0
ret = 0
b = 0
for i in range(len(df)):
if df.iloc[i]['action']=='BUY':
cap.append(cap[-1]+df.iloc[i]['actual'])
inv+=df.iloc[i]['actual']
b+=1
if df.iloc[i]['action']=='SELL' and b>0:
cap.append(cap[-1]-df.iloc[i]['actual'])
ret += df.iloc[i]['actual']
b-=1
req_cap = max(cap)
prof = ret+(df['action'].value_counts().get('BUY',0)-df['action'].value_counts().get('SELL',0))*df.iloc[-1]['actual']-inv
return pd.DataFrame([[ticker,strategy,ep_count,year,inv,ret,req_cap, prof, (prof/req_cap)*100]],columns=['ticker','strategy','ep_count','year','investment','returns','required capital','profit','profit percentage'])
def main(eval_stock, model_name, period, money, waitTime):
""" Evaluates the stock trading bot.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python eval.py --help]
"""
LEVERAGE = 20
pos = getPositions()
print("crnt positions", pos)
# todo get current portfolio
run = True
boughtAT = 0
prof = 0
isShort = False
while run:
try:
resp = None
pos = getPositions()
print("current positions: ", pos)
prof = 0
app.reqHistoricalData(1, eurusd_contract, '', '60 S', '1 min',
'BID', 0, 2, False, [])
time.sleep(5)
data = pd.DataFrame(
app.data, columns=['Datetime', 'Open', "High", "Low", "Close"])
data['Datetime'] = pd.to_datetime(data['Datetime'], unit='s')
if len(data) == 0:
print(data)
raise Exception("NO DATAAAA")
# need to change data for input
print(data)
data = data[data.columns[1:]] # leave out datetime
window_size = 10
# Single Model Evaluation
print("Modelname: ", model_name)
agent = Agent(window_size, pretrained=True, model_name=model_name)
act = predict_next(agent, data, window_size)
# act on decision
print(type(data["Close"]))
crntPrice = data["Close"][len(data["Close"]) - 1] # wtf not -1?
print("current price is: ", crntPrice)
def createOrder(money, crntPrice):
order = Order()
order.action = None
order.orderType = "MKT"
order.totalQuantity = int(money / crntPrice)
return order
allowShort = False
if act == 1: # buy
if eval_stock.lower() not in pos.columns:
order = createOrder(money, crntPrice)
order.action = "SELL"
print("Long Buy bc no position: ", pos, eval_stock.lower())
print("TYPE OF DAMN ORDERID", type(orderIds))
if orderIds.get(eval_stock.lower()) == None:
# should be case in first episode
orderIds[eval_stock.lower()] = 1
else:
orderIds[eval_stock.lower(
)] = orderIds[eval_stock.lower()] + 1 # add one
saveOrderIds(orderIds)
resp = app.placeOrder(orderIds[eval_stock.lower()],
eurusd_contract, order)
print(resp)
pos[name] = order.totalQuantity
print(order.totalQuantity, money, crntPrice)
writePositions(pos)
boughtAT = crntPrice
isShort = False
elif eval_stock.lower(
) in pos.columns and isShort and allowShort:
prof = -(boughtAT - crntPrice)
print("Short SELLINGGGG ", eval_stock, " profit: ", prof)
boughtAT = 0
#resp = eh.close(eval_stock.lower())
else:
resp = " buy, but have position, so stay"
elif act == 2: # sell
if eval_stock.lower() in pos and not isShort:
prof = boughtAT - crntPrice
print("Long SELLINGGGG ", eval_stock, " profit: ", prof)
boughtAT = 0
order = createOrder(money, crntPrice)
order.action = "BUY"
print("Long sell", pos, eval_stock.lower())
id = orderIds[eval_stock.lower()]
resp = app.placeOrder(id, eurusd_contract, order)
print(resp)
pos[name] = 0
writePositions(pos)
elif eval_stock.lower() not in pos.columns and allowShort:
print("Short Buy bc no position: ", pos,
eval_stock.lower())
#resp = eh.sell(eval_stock.lower(),money,LEVERAGE,crntPrice*.8,crntPrice*1.1)
print(resp)
boughtAT = crntPrice
isShort = True
else: # we have a short position
print("not selling bc position not thjere ", eval_stock)
resp = "not selling bc i have no positions in ", eval_stock
else:
print("HOLD")
with open('logs/%s_log.txt' % eval_stock, 'a') as f:
txt = "stock:%s, action:%s, profit:%.2f , api-response:%s, time:%s\n" % (
eval_stock, act, prof, resp, datetime.datetime.now())
f.write(txt)
print(waitTime, "s waiting... ")
time.sleep(waitTime - 3)
except KeyboardInterrupt:
print('Interrupted')
run = False
try:
sys.exit(0)
except SystemExit:
os._exit(0)
def main(eval_stock, model_name, period, money, waitTime):
""" Evaluates the stock trading bot.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python eval.py --help]
"""
eh = etoroHandler()
LEVERAGE = 20
pos = eh.getPositionDict()
print(pos)
# todo get current portfolio
run = True
boughtAT = 0
prof = 0
isShort = False
while run:
try:
pos = eh.getPositionDict()
prof = 0
yfname = eval_stock
if "EUR" in eval_stock: # if forex
yfname = eval_stock #+ "=X"
data = get_live_stock_data(yfname, period)
window_size = 10
# Single Model Evaluation
if model_name is not None:
print("Modelname: ", model_name)
agent = Agent(window_size,
pretrained=True,
model_name=model_name)
act = predict_next(agent, data, window_size)
# show_eval_result(model_name, profit, initial_offset)
# Multiple Model Evaluation
else:
raise Exception("MODEL NAME MISSISNg")
# act on decision
crntPrice = data["realprice"].values[-1]
resp = None
eh.updateHandler()
tmpstock = eval_stock
if "btc" in eval_stock.lower(): # dirty fix for btc
tmpstock = "btc"
if "eur" in eval_stock.lower(): # wtf
tmpstock = eval_stock.split("=X")[0].lower()
allowShort = False
if act == 1: # buy
if tmpstock.lower() not in pos:
print("Long Buy bc no position: ", pos, tmpstock.lower())
resp = eh.buy(tmpstock.lower(), money, LEVERAGE,
crntPrice * 1.2, crntPrice * 0.9)
print(resp)
boughtAT = crntPrice
isShort = False
elif tmpstock.lower() in pos and isShort and allowShort:
prof = -(boughtAT - crntPrice)
print("Short SELLINGGGG ", tmpstock, " profit: ", prof)
boughtAT = 0
resp = eh.close(tmpstock.lower())
else:
resp = " buy, but have position, so stay"
elif act == 2: # sell
if tmpstock.lower() in pos and not isShort:
prof = boughtAT - crntPrice
print("Long SELLINGGGG ", tmpstock, " profit: ", prof)
boughtAT = 0
resp = eh.close(tmpstock.lower())
elif tmpstock.lower() not in pos and allowShort:
print("Short Buy bc no position: ", pos, tmpstock.lower())
resp = eh.sell(tmpstock.lower(), money, LEVERAGE,
crntPrice * .8, crntPrice * 1.1)
print(resp)
boughtAT = crntPrice
isShort = True
else: # we have a short position
print("not selling bc position not thjere ", tmpstock)
resp = "not selling bc i have no positions in ", tmpstock
else:
print("HOLD")
with open('logs/%s_log.txt' % tmpstock, 'a') as f:
txt = "stock:%s, action:%s, profit:%.2f , api-response:%s, time:%s\n" % (
eval_stock, act, prof, resp, datetime.datetime.now())
f.write(txt)
print(waitTime, "s waiting... ")
time.sleep(waitTime - 3)
except KeyboardInterrupt:
print('Interrupted')
run = False
try:
sys.exit(0)
except SystemExit:
os._exit(0)
except Exception:
#resp = eh.close(tmpstock.lower())
print("EERROR: try to close positions before exit")
raise
def main(train_stock,
val_stock,
window_size,
batch_size,
ep_count,
strategy="t-dqn",
model_name="model_debug",
pretrained=False,
debug=False):
""" Trains the stock trading bot using Deep Q-Learning.
Please see https://arxiv.org/abs/1312.5602 for more details.
Args: [python train.py --help]
"""
agent = Agent(window_size,
strategy=strategy,
pretrained=pretrained,
model_name=model_name)
train_data = get_stock_data(train_stock)
val_data = get_stock_data(val_stock)
final_rewards = []
train_roi = []
valid_roi = []
train_loss = []
rewards = []
initial_offset = val_data[1] - val_data[0]
for episode in range(1, ep_count + 1):
train_result, rewards = train_model(agent,
episode,
train_data,
ep_count=ep_count,
batch_size=batch_size,
window_size=window_size)
final_rewards.extend(rewards)
train_roi.append(train_result[2])
train_loss.append(train_result[3])
val_result, _ = evaluate_model(agent, val_data, window_size, debug)
valid_roi.append(val_result)
show_train_result(train_result, val_result, initial_offset)
gs = gridspec.GridSpec(2, 2)
fig = plt.figure(figsize=(20, 9))
# To be shifted to Axis 1
ax1 = fig.add_subplot(gs[0, 0])
ax1.plot(range(len(train_loss)), train_loss, color='purple', label='loss')
ax1.legend(loc=0,
ncol=2,
prop={'size': 20},
fancybox=True,
borderaxespad=0.)
ax1.set_xlabel('Epochs', size=20)
ax1.set_ylabel('Train Loss', size=20)
ax1.set_title('Loss w.r.t. Epochs', size=20)
# To be shifted to Axis 2
ax2 = fig.add_subplot(gs[0, 1])
ax2.plot(range(len(train_roi)), train_roi, color='crimson', label='train')
ax2.plot(range(len(valid_roi)), valid_roi, color='olive', label='val')
ax2.legend(loc=0,
ncol=2,
prop={'size': 20},
fancybox=True,
borderaxespad=0.)
ax2.set_ylabel('Return of Investment($)', size=20)
ax2.set_xlabel('Epochs', size=20)
ax2.set_title('Train and Valid ROI w.r.t. Epochs', size=20)
# To be shifted to Axis 3
ax3 = fig.add_subplot(gs[1, :])
ax3.plot(range(len(final_rewards)),
final_rewards,
color='red',
label='Reward of Rainbow DQN')
ax3.set_xlabel('Episodes', size=20)
ax3.set_ylabel('Rewards', size=20)
ax3.set_title('Reward w.r.t. episodes', size=20)
ax3.legend(loc=0,
ncol=2,
prop={'size': 20},
fancybox=True,
borderaxespad=0.)
plt.show()
