def _send_to_broker_and_get_reward(self, action):
reward = 0.0
discouragement = 0.000000000001
if action == 0: # do nothing
reward += discouragement
elif action == 1: # buy
price_fee_adjusted = self.midpoint + (PriceJump.fee *
self.midpoint)
if self.broker.short_inventory_count > 0:
order = Order(ccy=self.sym,
side='short',
price=price_fee_adjusted,
step=self.local_step_number)
self.broker.remove(order=order)
reward += self.broker.get_reward(side=order.side)
elif self.broker.long_inventory_count >= 0:
order = Order(ccy=self.sym,
side='long',
price=price_fee_adjusted,
step=self.local_step_number)
if self.broker.add(order=order) is False:
reward -= discouragement
else:
logger.info(
('gym_trading.get_reward() ' + 'Error for action #{} - ' +
'unable to place an order with broker').format(action))
elif action == 2: # sell
price_fee_adjusted = self.midpoint - (PriceJump.fee *
self.midpoint)
if self.broker.long_inventory_count > 0:
order = Order(ccy=self.sym,
side='long',
price=price_fee_adjusted,
step=self.local_step_number)
self.broker.remove(order=order)
reward += self.broker.get_reward(side=order.side)
elif self.broker.short_inventory_count >= 0:
order = Order(ccy=self.sym,
side='short',
price=price_fee_adjusted,
step=self.local_step_number)
if self.broker.add(order=order) is False:
reward -= discouragement
else:
logger.info(
'gym_trading.get_reward() ' + 'Error for action #{} - ' +
'unable to place an order with broker'.format(action))
else:
logger.info(
('Unknown action to take in get_reward(): ' +
'action={} | midpoint={}').format(action, self.midpoint))
return reward
def test_case_three(self):
print('\nTest_Case_Three')
test_position = Broker(5)
midpoint = 100.
for i in range(10):
order_open = Order(ccy='BTC-USD',
side='long',
price=midpoint - i,
step=i)
test_position.add(order=order_open)
self.assertEqual(5, test_position.long_inventory.position_count)
self.assertEqual(0, test_position.short_inventory.position_count)
print('Confirm we have 5 positions: %i' %
test_position.long_inventory.position_count)
for i in range(10):
order_open = Order(ccy='BTC-USD',
side='long',
price=midpoint + i,
step=i)
test_position.remove(order=order_open)
self.assertEqual(0, test_position.long_inventory.position_count)
self.assertEqual(0, test_position.short_inventory.position_count)
def test_case_one(self):
print('\nTest_Case_One')
test_position = Broker()
midpoint = 100.
fee = .003
order_open = Order(ccy='BTC-USD', side='long', price=midpoint, step=1)
test_position.add(order=order_open)
self.assertEqual(1, test_position.long_inventory.position_count)
print('LONG Unrealized_pnl: %f' %
test_position.long_inventory.get_unrealized_pnl())
self.assertEqual(0, test_position.short_inventory.position_count)
self.assertEqual(0.,
test_position.short_inventory.get_unrealized_pnl())
order_close = Order(ccy='BTC-USD',
side='long',
price=midpoint + (midpoint * fee * 5),
step=100)
test_position.remove(order=order_close)
self.assertEqual(0, test_position.long_inventory.position_count)
print('LONG Unrealized_pnl: %f' %
test_position.long_inventory.get_unrealized_pnl())
self.assertEqual(test_position.short_inventory.position_count, 0)
self.assertEqual(test_position.short_inventory.get_unrealized_pnl(),
0.)
print('LONG Realized_pnl: %f' % test_position.get_realized_pnl())
def test_case_two(self):
print('\nTest_Case_Two')
test_position = Broker()
midpoint = 100.
fee = .003
order_open = Order(ccy='BTC-USD', side='short', price=midpoint, step=1)
test_position.add(order=order_open)
self.assertEqual(1, test_position.short_inventory.position_count)
self.assertEqual(0, test_position.long_inventory.position_count)
self.assertEqual(0., test_position.long_inventory.get_unrealized_pnl())
print('SHORT Unrealized_pnl: %f' %
test_position.short_inventory.get_unrealized_pnl())
order_close = Order(ccy='BTC-USD',
side='short',
price=midpoint - (midpoint * fee * 15),
step=100)
test_position.remove(order=order_close)
self.assertEqual(0, test_position.short_inventory.position_count)
self.assertEqual(0, test_position.long_inventory.position_count)
self.assertEqual(0., test_position.long_inventory.get_unrealized_pnl())
print('SHORT Unrealized_pnl: %f' %
test_position.short_inventory.get_unrealized_pnl())
print('SHORT Realized_pnl: %f' % test_position.get_realized_pnl())
def step(self, action: int):
for current_step in range(self.action_repeats):
if self.done:
self.reset()
return self.observation, self.reward, self.done
# reset the reward if there ARE action repeats
if current_step == 0:
self.reward = 0.
step_action = action
else:
step_action = 0
# Get current step's midpoint
self.midpoint = self.prices_[self.local_step_number]
# Pass current time step midpoint to broker to calculate PnL,
# or if any open orders are to be filled
buy_volume = self._get_book_data(PriceJump.buy_trade_index)
sell_volume = self._get_book_data(PriceJump.sell_trade_index)
self.tns.step(buys=buy_volume, sells=sell_volume)
self.rsi.step(price=self.midpoint)
self.broker.step(midpoint=self.midpoint)
self.reward += self._send_to_broker_and_get_reward(
action=step_action)
step_observation = self._get_step_observation(action=action)
self.data_buffer.append(step_observation)
if len(self.data_buffer) > self.window_size:
del self.data_buffer[0]
self.local_step_number += self.step_size
self.observation = self._get_observation()
if self.local_step_number > self.max_steps:
self.done = True
order = Order(ccy=self.sym,
side=None,
price=self.midpoint,
step=self.local_step_number)
self.reward = self.broker.flatten_inventory(order=order)
return self.observation, self.reward, self.done, {}
def _send_to_broker_and_get_reward(self, action: int):
"""
Create or adjust orders per a specified action and adjust for penalties.
:param action: (int) current step's action
:return: (float) reward
"""
reward = 0.0
discouragement = 0.000000000001
if action == 0: # do nothing
reward += discouragement
elif action == 1: # buy
price_fee_adjusted = self.midpoint + (PriceJump.fee *
self.midpoint)
if self.broker.short_inventory_count > 0:
order = Order(ccy=self.sym,
side='short',
price=price_fee_adjusted,
step=self.local_step_number)
self.broker.remove(order=order)
reward += self.broker.get_reward(side=order.side) / \
self.broker.reward_scale # scale realized PnL
elif self.broker.long_inventory_count >= 0:
order = Order(ccy=self.sym,
side='long',
price=price_fee_adjusted,
step=self.local_step_number)
if self.broker.add(order=order) is False:
reward -= discouragement
else:
logger.info(
('gym_trading.get_reward() ' + 'Error for action #{} - ' +
'unable to place an order with broker').format(action))
elif action == 2: # sell
price_fee_adjusted = self.midpoint - (PriceJump.fee *
self.midpoint)
if self.broker.long_inventory_count > 0:
order = Order(ccy=self.sym,
side='long',
price=price_fee_adjusted,
step=self.local_step_number)
self.broker.remove(order=order)
reward += self.broker.get_reward(side=order.side) / \
self.broker.reward_scale # scale realized PnL
elif self.broker.short_inventory_count >= 0:
order = Order(ccy=self.sym,
side='short',
price=price_fee_adjusted,
step=self.local_step_number)
if self.broker.add(order=order) is False:
reward -= discouragement
else:
logger.info(
('gym_trading.get_reward() ' + 'Error for action #{} - ' +
'unable to place an order with broker').format(action))
else:
logger.info(
('Unknown action to take in get_reward(): ' +
'action={} | midpoint={}').format(action, self.midpoint))
return reward