class TradingEnvironment(Environment):
'''
A simple environment of financial trading
State: float list (last 5 close prices, SMA10, position value, cash value)
Action: (1, 0, -1) as BUY, HOLD, SELL
Reward: return of total value (position value + cash value)
'''
def __init__(self, **kwargs):
'''
kwargs: {
execution: {single_stock, multi_stocks},
portfolio: {sharpe, dsharpe, ... ...}
valuer: {MarketValuer, SharpeValuer, ... ... }
}
'''
### common variables
self.__sym = kwargs['sym']
self.__start = kwargs['start']
self.__end = kwargs['end']
### market data providers
self.__provider = MarketDataProvider('quandl', self.__sym,
self.__start, self.__end)
self.__OHLCV = self.__provider.getMarketData('OHLCV')
self.__sma10 = self.__provider.getMarketData('close_sma', period=1)
if (kwargs['execution'] == 'single_stock'):
self.__executionservice = SingleStockExecutionSimulator(
self.__sym, self.__start, self.__end, self.__OHLCV)
self.__initial_value = 100000
self.__current_value = self.__initial_value
if (kwargs['portfolio'] == 'basic'):
self.__portfolio = Portfolio(self.__current_value)
if (kwargs['valuer'] == 'market'):
self.__portfolio_valuer = MarketValuer()
self.__oms = OMS(self.__executionservice, self.__portfolio,
self.__portfolio_valuer)
@property
def states(self):
"""
Return the state space. Might include subdicts if multiple states are available simultaneously.
Returns: dict of state properties (shape and type).
"""
return {'type': 'float', 'shape': (8, )}
@property
def actions(self):
"""
Return the action space. Might include subdicts if multiple actions are available simultaneously.
Returns: dict of action properties (continuous, number of actions)
"""
return {'num_actions': 3, 'continuous': False}
def execute(self, action):
"""
Executes action, observes next state and reward.
Args:
action: Action to execute.
1 - BUY, 0 - HOLD, -1 - SELL
Returns: tuple of state (tuple), reward (float), and terminal_state (bool).
"""
if (action[0] > 0):
self.__oms.placeMarket(self.sym, 1, self.__portfolio.cash_value())
elif (action[0] < 0):
self.__oms.placeMarket(self.sym, -1,
self.__portfolio.position_value(self.sym))
else:
self.__oms.no_operation(self.sym)
### time rolls to next period, e.g. next day, then place order
self.__OHLCV.next()
self.__sma10.next()
_, _, _, self.current_price, _ = self.__OHLCV.current()
self.position_value = self.__portfolio.position(
self.__sym) * self.current_price
self.market_value = self.position_value + self.__portfolio.cash
self.reward = (self.market_value -
self.__current_value) / self.__current_value
self.__current_value = self.market_value
self.terminate = False
if (self.market_value < self.__initial_value * 0.8):
self.terminate = True
return (self.current_price, self.__sma10.current, self.position_value,
self.__portfolio.cash, self.reward, self.terminate)
def reset(self):
"""
Reset environment and setup for new episode.
Returns: initial state of resetted environment.
"""
pass
def close(self):
"""
Close environment. No other method calls possible afterwards.
"""
pass
def __str__(self):
return 'TradingEnvironment'
