def trainAgent(trainDf, backTestDf, genPath, saveAgentDir, saveAgentName):
startTime = datetime.now()
print("Start train time: {}".format(startTime))
openerPriceDiffGenerator = MultiScalerDiffGenerator(featureList=hkFeatList).loadGenerator("{}".format(genPath))
buyerPriceDiffGenerator = MultiScalerDiffGenerator(featureList=hkFeatList).loadGenerator("{}".format(genPath))
sellerPriceDiffGenerator = MultiScalerDiffGenerator(featureList=hkFeatList).loadGenerator("{}".format(genPath))
trainEnv = CompositeEnv(trainDf, openerPriceDiffGenerator, buyerPriceDiffGenerator, sellerPriceDiffGenerator,
startDeposit=300, lotSize=0.1, lotCoef=100000, spread=18, spreadCoef=0.00001,
stoplossPuncts=100, takeprofitPuncts=300,
renderFlag=True, renderDir=saveDir, renderName="trainDealsPlot")
backTestEnv = CompositeEnv(backTestDf, openerPriceDiffGenerator, buyerPriceDiffGenerator, sellerPriceDiffGenerator,
startDeposit=300, lotSize=0.1, lotCoef=100000, spread=18, spreadCoef=0.00001,
stoplossPuncts=100, takeprofitPuncts=300,
renderFlag=True, renderDir=saveDir, renderName="backTestDealsPlot")
# get size of state and action from environment
openerAgent = DQNAgent(trainEnv.observation_space["opener"], trainEnv.action_space["opener"].n,
memorySize=2500, batch_size=100, train_start=200, epsilon_min=0.05, epsilon=1,
epsilon_decay=0.9997, learning_rate=0.0002)
buyerAgent = DQNAgent(trainEnv.observation_space["buyer"], trainEnv.action_space["buyer"].n,
memorySize=5000, batch_size=200, train_start=300, epsilon_min=0.05, epsilon=1,
epsilon_decay=1.0, learning_rate=0.0002)
sellerAgent = DQNAgent(trainEnv.observation_space["seller"], trainEnv.action_space["seller"].n,
memorySize=5000, batch_size=200, train_start=300, epsilon_min=0.05, epsilon=1,
epsilon_decay=1.0, learning_rate=0.0002)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
lastSaveEp = agent.fit_agent(env=trainEnv, backTestEnv=backTestEnv, nEpisodes=4, nWarmUp=0,
uniformEps=False, synEps=True, plotScores=False, saveBest=True, saveFreq=1,
saveDir = saveAgentDir, saveName = saveAgentName)
endTime = datetime.now()
print("Training finished. Total time: {}".format(endTime - startTime))
return lastSaveEp
def collectStatistics(testDf, startDeposit=300, lotSize=0.1, lotCoef=100000, spread=18, spreadCoef=0.00001 ):
openerPriceDiffGenerator = W2VDiffGenerator(featureList=priceFeatList).loadGenerator("./w2vPriceDiffGen.pkl")
buyerPriceDiffGenerator = W2VDiffGenerator(featureList=priceFeatList).loadGenerator("./w2vPriceDiffGen.pkl")
sellerPriceDiffGenerator = W2VDiffGenerator(featureList=priceFeatList).loadGenerator("./w2vPriceDiffGen.pkl")
openerVolumeDiffGenerator = W2VDiffGenerator(featureList=volumeFeatList).loadGenerator("./w2vVolumeDiffGen.pkl")
buyerVolumeDiffGenerator = W2VDiffGenerator(featureList=volumeFeatList).loadGenerator("./w2vVolumeDiffGen.pkl")
sellerVolumeDiffGenerator = W2VDiffGenerator(featureList=volumeFeatList).loadGenerator("./w2vVolumeDiffGen.pkl")
openerPriceDiffGenerator.setFitMode(False)
buyerPriceDiffGenerator.setFitMode(False)
sellerPriceDiffGenerator.setFitMode(False)
openerVolumeDiffGenerator.setFitMode(False)
buyerVolumeDiffGenerator.setFitMode(False)
sellerVolumeDiffGenerator.setFitMode(False)
openerCompositeGenerator = W2VCompositeGenerator( [openerPriceDiffGenerator,openerVolumeDiffGenerator], flatStack=False)
buyerCompositeGenerator = W2VCompositeGenerator( [buyerPriceDiffGenerator,buyerVolumeDiffGenerator], flatStack=False)
sellerCompositeGenerator = W2VCompositeGenerator( [sellerPriceDiffGenerator,sellerVolumeDiffGenerator], flatStack=False)
testEnv = CompositeEnv(testDf, openerCompositeGenerator, buyerCompositeGenerator, sellerCompositeGenerator,
startDeposit=startDeposit, lotSize=lotSize, lotCoef=lotCoef, spread = spread, spreadCoef = spreadCoef, renderFlag=True)
openerAgent = DQNAgent(testEnv.observation_space["opener"], testEnv.action_space["opener"].n)
buyerAgent = DQNAgent(testEnv.observation_space["buyer"], testEnv.action_space["buyer"].n)
sellerAgent = DQNAgent(testEnv.observation_space["seller"], testEnv.action_space["seller"].n)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
agent = agent.load_agent("./", "best_composite")
print("start using agent")
dealsStatistics = agent.use_agent(testEnv)
return dealsStatistics
def useAgent(preprocDf, hkFeatList, saveDir, genPath, agentName,
timeConstraint):
###############################
# use agent on test
###############################
useCpu(nThreads=8, nCores=8)
testDf = preprocDf.tail(232)
openerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator(genPath)
buyerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator(genPath)
sellerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator(genPath)
#openerPriceDiffGenerator.setFitMode(False)
#buyerPriceDiffGenerator.setFitMode(False)
#sellerPriceDiffGenerator.setFitMode(False)
testEnv = CompositeEnv(testDf,
openerPriceDiffGenerator,
buyerPriceDiffGenerator,
sellerPriceDiffGenerator,
startDeposit=300,
lotSize=0.1,
lotCoef=100000,
spread=18,
spreadCoef=0.00001,
renderFlag=True,
renderDir=saveDir,
renderName="testDealsPlot")
# get size of state and action from environment
openerAgent = DQNAgent(testEnv.observation_space["opener"],
testEnv.action_space["opener"].n)
buyerAgent = DQNAgent(testEnv.observation_space["buyer"],
testEnv.action_space["buyer"].n)
sellerAgent = DQNAgent(testEnv.observation_space["seller"],
testEnv.action_space["seller"].n)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
agent = agent.load_agent(saveDir, agentName, dropSupportModel=True)
# agent = agent.load_agent("./", "checkpoint_composite")
print("start using agent")
startTime = datetime.now()
dealsStatistics = agent.use_agent(testEnv, timeConstraint=timeConstraint)
endTime = datetime.now()
print("Use time: {}".format(endTime - startTime))
reset_keras()
sumRew = 0
cumulativeReward = []
for i in range(len(dealsStatistics)):
sumRew += dealsStatistics[i]
cumulativeReward.append(sumRew)
plt.plot([x for x in range(len(cumulativeReward))], cumulativeReward)
plt.show()
def collectStatistics(symbol, nExperiment, trainDf, backTestDf, testDf, startDeposit=300, lotSize=0.1, lotCoef=100000, spread=18, spreadCoef=0.00001):
reset_keras()
openerPriceDiffGenerator = MultiScalerDiffGenerator(featureList=priceFeatList).loadGenerator("./MSDiffGen.pkl")
buyerPriceDiffGenerator = MultiScalerDiffGenerator(featureList=priceFeatList).loadGenerator("./MSDiffGen.pkl")
sellerPriceDiffGenerator = MultiScalerDiffGenerator(featureList=priceFeatList).loadGenerator("./MSDiffGen.pkl")
trainEnv = CompositeEnv(trainDf, openerPriceDiffGenerator, buyerPriceDiffGenerator, sellerPriceDiffGenerator,
startDeposit=startDeposit, lotSize=lotSize, lotCoef=lotCoef, spread=spread, spreadCoef=spreadCoef, renderFlag=True)
backTestEnv = CompositeEnv(backTestDf, openerPriceDiffGenerator, buyerPriceDiffGenerator, sellerPriceDiffGenerator,
startDeposit=startDeposit, lotSize=lotSize, lotCoef=lotCoef, spread=spread, spreadCoef=spreadCoef, renderFlag=True)
forwardTestEnv = CompositeEnv(testDf, openerPriceDiffGenerator, buyerPriceDiffGenerator, sellerPriceDiffGenerator,
startDeposit=startDeposit, lotSize=lotSize, lotCoef=lotCoef, spread=spread, spreadCoef=spreadCoef, renderFlag=True)
# get size of state and action from environment
openerAgent = DQNAgent(trainEnv.observation_space["opener"], trainEnv.action_space["opener"].n,
memorySize=2500, batch_size=100, train_start=200, epsilon_min=0.05, epsilon=1,
epsilon_decay=0.9995, learning_rate=0.0005)
buyerAgent = DQNAgent(trainEnv.observation_space["buyer"], trainEnv.action_space["buyer"].n,
memorySize=5000, batch_size=200, train_start=300, epsilon_min=0.05, epsilon=1,
epsilon_decay=1.0, learning_rate=0.0005)
sellerAgent = DQNAgent(trainEnv.observation_space["seller"], trainEnv.action_space["seller"].n,
memorySize=5000, batch_size=200, train_start=300, epsilon_min=0.05, epsilon=1,
epsilon_decay=1.0, learning_rate=0.0005)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
continueFit = False
trainDealsStatistics = []
testDealsStatistics = []
backDealsStatistics = []
for i in range(20):
agent.fit_agent(env=trainEnv, backTestEnv=None, nEpisodes=1, nWarmUp=0,
uniformEps=False, synEps=True, plotScores=True, saveBest=False, saveFreq=111, continueFit=continueFit)
continueFit = True
trainDealsStatistics.append( agent.use_agent(trainEnv) )
testDealsStatistics.append( agent.use_agent(forwardTestEnv) )
backDealsStatistics.append( agent.use_agent(backTestEnv) )
with open("./" + "trainDealsStatistics_{}_{}.pkl".format(symbol, nExperiment), mode="wb") as dealsFile:
joblib.dump(trainDealsStatistics, dealsFile)
with open("./" + "testDealsStatistics_{}_{}.pkl".format(symbol, nExperiment), mode="wb") as dealsFile:
joblib.dump(testDealsStatistics, dealsFile)
with open("./" + "backDealsStatistics_{}_{}.pkl".format(symbol, nExperiment), mode="wb") as dealsFile:
joblib.dump(backDealsStatistics, dealsFile)
pass
def evaluateAgent(backTestDf, genPath, agentDir, agentName):
openerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("{}".format(genPath))
buyerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("{}".format(genPath))
sellerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("{}".format(genPath))
testEnv = CompositeEnv(backTestDf,
openerPriceDiffGenerator,
buyerPriceDiffGenerator,
sellerPriceDiffGenerator,
startDeposit=300,
lotSize=0.1,
lotCoef=100000,
spread=18,
spreadCoef=0.00001,
stoplossPuncts=100,
takeprofitPuncts=300,
renderFlag=True,
renderDir=saveDir,
renderName="testDealsPlot")
# get size of state and action from environment
openerAgent = DQNAgent(testEnv.observation_space["opener"],
testEnv.action_space["opener"].n)
buyerAgent = DQNAgent(testEnv.observation_space["buyer"],
testEnv.action_space["buyer"].n)
sellerAgent = DQNAgent(testEnv.observation_space["seller"],
testEnv.action_space["seller"].n)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
agent = agent.load_agent(agentDir, agentName)
# agent = agent.load_agent("./", "checkpoint_composite")
print("start using agent")
dealsStatistics = agent.use_agent(testEnv)
sumRew = 0
for i in range(len(dealsStatistics)):
sumRew += dealsStatistics[i]
return sumRew
def collectStatistics(testDf,
startDeposit=300,
lotSize=0.1,
lotCoef=100000,
spread=18,
spreadCoef=0.00001):
openerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=priceFeatList).loadGenerator("./MSDiffGen.pkl")
buyerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=priceFeatList).loadGenerator("./MSDiffGen.pkl")
sellerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=priceFeatList).loadGenerator("./MSDiffGen.pkl")
#openerPriceDiffGenerator.setFitMode(False)
#buyerPriceDiffGenerator.setFitMode(False)
#sellerPriceDiffGenerator.setFitMode(False)
testEnv = CompositeEnv(testDf,
openerPriceDiffGenerator,
buyerPriceDiffGenerator,
sellerPriceDiffGenerator,
startDeposit=startDeposit,
lotSize=lotSize,
lotCoef=lotCoef,
spread=spread,
spreadCoef=spreadCoef,
renderFlag=True)
openerAgent = DQNAgent(testEnv.observation_space["opener"],
testEnv.action_space["opener"].n)
buyerAgent = DQNAgent(testEnv.observation_space["buyer"],
testEnv.action_space["buyer"].n)
sellerAgent = DQNAgent(testEnv.observation_space["seller"],
testEnv.action_space["seller"].n)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
#agent = agent.load_agent("./", "best_composite")
agent = agent.load_agent("./", "checkpoint_composite")
print("start using agent")
dealsStatistics = agent.use_agent(testEnv)
return dealsStatistics
def trainAgent(trainDf, startDeposit=300, lotSize=0.1, lotCoef=100000, spread=18, spreadCoef=0.00001 ):
openerPriceDiffGenerator = W2VDiffGenerator(featureList=priceFeatList).loadGenerator("./w2vPriceDiffGen.pkl")
buyerPriceDiffGenerator = W2VDiffGenerator(featureList=priceFeatList).loadGenerator("./w2vPriceDiffGen.pkl")
sellerPriceDiffGenerator = W2VDiffGenerator(featureList=priceFeatList).loadGenerator("./w2vPriceDiffGen.pkl")
openerVolumeDiffGenerator = W2VDiffGenerator(featureList=volumeFeatList).loadGenerator("./w2vVolumeDiffGen.pkl")
buyerVolumeDiffGenerator = W2VDiffGenerator(featureList=volumeFeatList).loadGenerator("./w2vVolumeDiffGen.pkl")
sellerVolumeDiffGenerator = W2VDiffGenerator(featureList=volumeFeatList).loadGenerator("./w2vVolumeDiffGen.pkl")
openerCompositeGenerator = W2VCompositeGenerator( [openerPriceDiffGenerator,openerVolumeDiffGenerator], flatStack=False)
buyerCompositeGenerator = W2VCompositeGenerator( [buyerPriceDiffGenerator,buyerVolumeDiffGenerator], flatStack=False)
sellerCompositeGenerator = W2VCompositeGenerator( [sellerPriceDiffGenerator,sellerVolumeDiffGenerator], flatStack=False)
trainEnv = CompositeEnv(trainDf, openerCompositeGenerator, buyerCompositeGenerator, sellerCompositeGenerator,
startDeposit=startDeposit, lotSize=lotSize, lotCoef=lotCoef, spread = spread, spreadCoef = spreadCoef, renderFlag=True)
openerAgent = DQNAgent(trainEnv.observation_space["opener"], trainEnv.action_space["opener"].n,
memorySize=500, batch_size=100, train_start=200, epsilon_min=0.1, epsilon=1, epsilon_decay=0.9994)
buyerAgent = DQNAgent(trainEnv.observation_space["buyer"], trainEnv.action_space["buyer"].n,
memorySize=1000, batch_size=200, train_start=300, epsilon_min=0.1, epsilon=1, epsilon_decay=0.9999)
sellerAgent = DQNAgent(trainEnv.observation_space["seller"], trainEnv.action_space["seller"].n,
memorySize=1000, batch_size=200, train_start=300, epsilon_min=0.1, epsilon=1, epsilon_decay=0.9999)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
agent.fit_agent(env=trainEnv, nEpisodes=15, nWarmUp = 0, uniformEps = False, plotScores=True, saveBest=True, saveFreq=2)
def evaluateAgent(backTestDf):
openerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
buyerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
sellerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
testEnv = CompositeEnv(backTestDf,
openerPriceDiffGenerator,
buyerPriceDiffGenerator,
sellerPriceDiffGenerator,
startDeposit=300,
lotSize=0.1,
lotCoef=100000,
spread=18,
spreadCoef=0.00001,
renderFlag=True)
# get size of state and action from environment
openerAgent = DQNAgent(testEnv.observation_space["opener"],
testEnv.action_space["opener"].n)
buyerAgent = DQNAgent(testEnv.observation_space["buyer"],
testEnv.action_space["buyer"].n)
sellerAgent = DQNAgent(testEnv.observation_space["seller"],
testEnv.action_space["seller"].n)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
agent = agent.load_agent("./", "best_composite")
# agent = agent.load_agent("./", "checkpoint_composite")
print("start using agent")
dealsStatistics = agent.use_agent(testEnv)
sumRew = 0
for i in range(len(dealsStatistics)):
sumRew += dealsStatistics[i]
return sumRew
genList.append( gen )
compositeGenerator = CompositeGenerator( genList=genList, flatStack=False)
compositeGenerator.setFitMode(True)
compositeGenerator.globalFit(modDf)
compositeGenerator.saveGenerator("./CompositeMSDiffGen.pkl")
################################
# train agent
################################
openerPriceDiffGenerator = CompositeGenerator().loadGenerator("./CompositeMSDiffGen.pkl")
buyerPriceDiffGenerator = CompositeGenerator().loadGenerator("./CompositeMSDiffGen.pkl")
sellerPriceDiffGenerator = CompositeGenerator().loadGenerator("./CompositeMSDiffGen.pkl")
trainDf = modDf.tail(7200).head(5200)
trainEnv = CompositeEnv(trainDf, openerPriceDiffGenerator, buyerPriceDiffGenerator, sellerPriceDiffGenerator,
startDeposit=300, lotSize=0.1, lotCoef=100000, spread=18, spreadCoef=0.00001, renderFlag=True)
backTestDf = modDf.tail(9200).head(2200)
backTestEnv = CompositeEnv(backTestDf, openerPriceDiffGenerator, buyerPriceDiffGenerator, sellerPriceDiffGenerator,
startDeposit=300, lotSize=0.1, lotCoef=100000, spread=18, spreadCoef=0.00001, renderFlag=True)
# get size of state and action from environment
openerAgent = DQNAgent(trainEnv.observation_space["opener"], trainEnv.action_space["opener"].n,
memorySize=2500, batch_size=100, train_start=200, epsilon_min=0.05, epsilon=1,
epsilon_decay=0.9999, learning_rate=0.0001)
buyerAgent = DQNAgent(trainEnv.observation_space["buyer"], trainEnv.action_space["buyer"].n,
memorySize=5000, batch_size=200, train_start=300, epsilon_min=0.05, epsilon=1,
epsilon_decay=1.0, learning_rate=0.0001)
sellerAgent = DQNAgent(trainEnv.observation_space["seller"], trainEnv.action_space["seller"].n,
memorySize=5000, batch_size=200, train_start=300, epsilon_min=0.05, epsilon=1,
epsilon_decay=1.0, learning_rate=0.0001)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
#agent = agent.load_agent("./", "best_composite")
sellerFeatureFactory = CompositeGenerator(
genList=[sellerScaleGen, sellerDiffGen], flatStack=True)
openerFeatureFactory.globalFit(df[:int(len(df) * 0.9)])
buyerFeatureFactory.globalFit(df[:int(len(df) * 0.9)])
sellerFeatureFactory.globalFit(df[:int(len(df) * 0.9)])
print("data updated")
print("start train")
################################
# train agent
################################
trainDf = df[:int(len(df) * 0.9)]
trainEnv = CompositeEnv(trainDf,
openerFeatureFactory,
buyerFeatureFactory,
sellerFeatureFactory,
startDeposit=300,
lotSize=0.01,
lotCoef=100000,
renderFlag=True)
# get size of state and action from environment
openerAgent = DQNAgent(trainEnv.observation_space["opener"][0],
trainEnv.action_space["opener"].n,
memorySize=2000,
batch_size=1000,
train_start=1200,
epsilon_decay=0.999)
buyerAgent = DQNAgent(trainEnv.observation_space["buyer"][0],
trainEnv.action_space["buyer"].n,
memorySize=2000,
batch_size=1000,
train_start=1200,
sellerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
trainDf = modDf.tail(30000).head(25000)
trainEnv = CompositeEnv(trainDf,
openerPriceDiffGenerator,
buyerPriceDiffGenerator,
sellerPriceDiffGenerator,
startDeposit=300,
lotSize=0.1,
lotCoef=100000,
spread=18,
spreadCoef=0.00001,
stopType="const",
takeType="const",
stopPos=2,
takePos=1,
maxLoss=20000,
maxTake=20000,
stoplossPuncts=20000,
takeprofitPuncts=20000,
riskPoints=110,
riskLevels=5,
parallelOpener=False,
renderFlag=True,
renderDir="./",
renderName="train_plot")
backTestDf = modDf.tail(30000).tail(5000)
#backTestDf = modDf.head(50000).tail(3192).head(1192)
backTestEnv = CompositeEnv(backTestDf,
openerPriceDiffGenerator,
sellerPriceScalerGenerator.setFitMode(False)
openerPriceDiffGenerator.setFitMode(False)
buyerPriceDiffGenerator.setFitMode(False)
sellerPriceDiffGenerator.setFitMode(False)"""
openerCompositeGenerator = W2VCompositeGenerator(
[openerEnergyScalerGenerator, openerEnergyDiffGenerator], flatStack=False)
buyerCompositeGenerator = W2VCompositeGenerator(
[buyerEnergyScalerGenerator, buyerEnergyDiffGenerator], flatStack=False)
sellerCompositeGenerator = W2VCompositeGenerator(
[sellerEnergyScalerGenerator, sellerEnergyDiffGenerator], flatStack=False)
testEnv = CompositeEnv(testDf,
openerCompositeGenerator,
buyerCompositeGenerator,
sellerCompositeGenerator,
startDeposit=300,
lotSize=0.01,
lotCoef=100000,
renderFlag=True)
# get size of state and action from environment
openerAgent = DQNAgent(testEnv.observation_space["opener"],
testEnv.action_space["opener"].n)
buyerAgent = DQNAgent(testEnv.observation_space["buyer"],
testEnv.action_space["buyer"].n)
sellerAgent = DQNAgent(testEnv.observation_space["seller"],
testEnv.action_space["seller"].n)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
agent = agent.load_agent("./", "best_composite")
print("start using agent")
agent.use_agent(testEnv)
"""realEnv = RealEnv( symbol=symbol, timeframe=timeframe,
#priceDiffGenerator = RelativeDiffGenerator(featureList=hkFeatList, nDiffs=1, nPoints = 512, flatStack = False, fitOnStep = False)
#priceDiffGenerator.setFitMode(True)
#priceDiffGenerator = priceDiffGenerator.globalFit(modDf)
#priceDiffGenerator.saveGenerator("./RDiffGen.pkl")
################################
# train agent
################################
openerPriceDiffGenerator = MultiScalerDiffGenerator(featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
buyerPriceDiffGenerator = MultiScalerDiffGenerator(featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
sellerPriceDiffGenerator = MultiScalerDiffGenerator(featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
trainDf = modDf.tail(470000).tail(120000).tail(100000)
trainEnv = CompositeEnv(trainDf, openerPriceDiffGenerator, buyerPriceDiffGenerator, sellerPriceDiffGenerator,
startDeposit=300, lotSize=0.1, lotCoef=100000, spread=20, spreadCoef=0.00001,
stoplossPuncts=100, takeprofitPuncts=200, renderFlag=True, renderDir="./", renderName="train_plot")
backTestDf = modDf.tail(4700000).tail(120000).head(20000)
#backTestDf = modDf.head(50000).tail(3192).head(1192)
backTestEnv = CompositeEnv(backTestDf, openerPriceDiffGenerator, buyerPriceDiffGenerator, sellerPriceDiffGenerator,
startDeposit=300, lotSize=0.1, lotCoef=100000, spread=20, spreadCoef=0.00001,
stoplossPuncts=100, takeprofitPuncts=200, renderFlag=True,
renderDir="./", renderName="back_plot")
# get size of state and action from environment.
openerAgent = DQNAgent(trainEnv.observation_space["opener"], trainEnv.action_space["opener"].n,
memorySize=5000, batch_size=200, train_start=1200, epsilon_min=0.66, epsilon=1,
epsilon_decay=0.999, learning_rate=0.001, discount_factor=0.0)
buyerAgent = StubAgent(trainEnv.observation_space["buyer"], trainEnv.action_space["buyer"].n,
memorySize=10, batch_size=1, train_start=2, epsilon_min=0.01, epsilon=1,
epsilon_decay=0.999, learning_rate=0.0001)
sellerAgent = StubAgent(trainEnv.observation_space["seller"], trainEnv.action_space["seller"].n,
def trainAgent(trainDf,
backTestDf,
startDeposit=300,
lotSize=0.1,
lotCoef=100000,
spread=18,
spreadCoef=0.00001):
openerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=priceFeatList).loadGenerator("./MSDiffGen.pkl")
buyerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=priceFeatList).loadGenerator("./MSDiffGen.pkl")
sellerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=priceFeatList).loadGenerator("./MSDiffGen.pkl")
trainEnv = CompositeEnv(trainDf,
openerPriceDiffGenerator,
buyerPriceDiffGenerator,
sellerPriceDiffGenerator,
startDeposit=startDeposit,
lotSize=lotSize,
lotCoef=lotCoef,
spread=spread,
spreadCoef=spreadCoef,
renderFlag=True)
backTestEnv = CompositeEnv(backTestDf,
openerPriceDiffGenerator,
buyerPriceDiffGenerator,
sellerPriceDiffGenerator,
startDeposit=startDeposit,
lotSize=lotSize,
lotCoef=lotCoef,
spread=spread,
spreadCoef=spreadCoef,
renderFlag=True)
# get size of state and action from environment
openerAgent = DQNAgent(trainEnv.observation_space["opener"],
trainEnv.action_space["opener"].n,
memorySize=2500,
batch_size=100,
train_start=200,
epsilon_min=0.05,
epsilon=1,
epsilon_decay=0.9999,
learning_rate=0.0002)
buyerAgent = DQNAgent(trainEnv.observation_space["buyer"],
trainEnv.action_space["buyer"].n,
memorySize=5000,
batch_size=200,
train_start=300,
epsilon_min=0.05,
epsilon=1,
epsilon_decay=1.0,
learning_rate=0.0002)
sellerAgent = DQNAgent(trainEnv.observation_space["seller"],
trainEnv.action_space["seller"].n,
memorySize=5000,
batch_size=200,
train_start=300,
epsilon_min=0.05,
epsilon=1,
epsilon_decay=1.0,
learning_rate=0.0002)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
lastSaveEp = agent.fit_agent(env=trainEnv,
backTestEnv=backTestEnv,
nEpisodes=3,
nWarmUp=0,
uniformEps=False,
synEps=True,
plotScores=True,
saveBest=False,
saveFreq=1)
return lastSaveEp
def trainAgent(trainDf, backTestDf):
openerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
buyerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
sellerPriceDiffGenerator = MultiScalerDiffGenerator(
featureList=hkFeatList).loadGenerator("./MSDiffGen.pkl")
trainEnv = CompositeEnv(trainDf,
openerPriceDiffGenerator,
buyerPriceDiffGenerator,
sellerPriceDiffGenerator,
startDeposit=300,
lotSize=0.1,
lotCoef=100000,
spread=18,
spreadCoef=0.00001,
renderFlag=True)
backTestEnv = CompositeEnv(backTestDf,
openerPriceDiffGenerator,
buyerPriceDiffGenerator,
sellerPriceDiffGenerator,
startDeposit=300,
lotSize=0.1,
lotCoef=100000,
spread=18,
spreadCoef=0.00001,
renderFlag=True)
# get size of state and action from environment
openerAgent = DQNAgent(trainEnv.observation_space["opener"],
trainEnv.action_space["opener"].n,
memorySize=2500,
batch_size=100,
train_start=200,
epsilon_min=0.05,
epsilon=1,
epsilon_decay=0.9994,
learning_rate=0.001)
buyerAgent = DQNAgent(trainEnv.observation_space["buyer"],
trainEnv.action_space["buyer"].n,
memorySize=5000,
batch_size=200,
train_start=300,
epsilon_min=0.05,
epsilon=1,
epsilon_decay=0.9999,
learning_rate=0.001)
sellerAgent = DQNAgent(trainEnv.observation_space["seller"],
trainEnv.action_space["seller"].n,
memorySize=5000,
batch_size=200,
train_start=300,
epsilon_min=0.05,
epsilon=1,
epsilon_decay=0.9999,
learning_rate=0.001)
agent = CompositeAgent(openerAgent, buyerAgent, sellerAgent)
# agent = agent.load_agent("./", "best_composite")
# agent = agent.load_agent("./", "checkpoint_composite")
lastSaveEp = agent.fit_agent(env=trainEnv,
backTestEnv=backTestEnv,
nEpisodes=5,
nWarmUp=0,
uniformEps=False,
synEps=True,
plotScores=True,
saveBest=True,
saveFreq=1)
endTime = datetime.now()
print("Training finished. Total time: {}".format(endTime - startTime))
return lastSaveEp