def test_runs_with__external_feed_only(portfolio):
df = pd.read_csv("tests/data/input/coinbase_(BTC,ETH)USD_d.csv").tail(100)
df = df.rename({"Unnamed: 0": "date"}, axis=1)
df = df.set_index("date")
coinbase_btc = df.loc[:, [name.startswith("BTC") for name in df.columns]]
coinbase_eth = df.loc[:, [name.startswith("ETH") for name in df.columns]]
ta.add_all_ta_features(
coinbase_btc,
colprefix="BTC:",
**{k: "BTC:" + k for k in ['open', 'high', 'low', 'close', 'volume']}
)
ta.add_all_ta_features(
coinbase_eth,
colprefix="ETH:",
**{k: "ETH:" + k for k in ['open', 'high', 'low', 'close', 'volume']}
)
nodes = []
with Module("coinbase") as coinbase:
for name in coinbase_btc.columns:
nodes += [Stream(name, list(coinbase_btc[name]))]
for name in coinbase_eth.columns:
nodes += [Stream(name, list(coinbase_eth[name]))]
feed = DataFeed()(coinbase)
action_scheme = ManagedRiskOrders()
reward_scheme = SimpleProfit()
env = TradingEnvironment(
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
feed=feed,
window_size=50,
use_internal=False,
enable_logger=False
)
done = False
obs = env.reset()
while not done:
action = env.action_space.sample()
obs, reward, done, info = env.step(action)
n_features = coinbase_btc.shape[1] + coinbase_eth.shape[1]
assert obs.shape == (50, n_features)
def test_init_multiple_exchanges(portfolio):
action_scheme = ManagedRiskOrders()
reward_scheme = SimpleProfit()
env = TradingEnvironment(portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
window_size=50,
enable_logger=False)
obs = env.reset()
assert obs.shape == (50, 32)
assert env.observation_space.shape == (50, 32)
def test_runs_with_only_internal_data_feed(portfolio):
action_scheme = ManagedRiskOrders()
reward_scheme = SimpleProfit()
env = TradingEnvironment(portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
window_size=50,
enable_logger=False)
done = False
obs = env.reset()
while not done:
action = env.action_space.sample()
obs, reward, done, info = env.step(action)
assert obs.shape == (50, 32)
sys.path.append(os.path.dirname(os.path.abspath('')))
from tensortrade.environments import TradingEnvironment
from tensortrade.exchanges.simulated import FBMExchange
from tensortrade.actions import DiscreteActionStrategy
from tensortrade.rewards import SimpleProfitStrategy
exchange = FBMExchange()
action_strategy = DiscreteActionStrategy()
reward_strategy = SimpleProfitStrategy()
env = TradingEnvironment(exchange=exchange,
action_strategy=action_strategy,
reward_strategy=reward_strategy)
obs = env.reset()
sell_price = 1e9
stop_price = -1
print('Initial portfolio: ', exchange.portfolio)
for i in range(1000):
action = 0 if obs['close'] < sell_price else 18
action = 19 if obs['close'] < stop_price else action
if i == 0 or portfolio['BTC'] == 0:
action = 16
sell_price = obs['close'] + (obs['close'] / 50)
stop_price = obs['close'] - (obs['close'] / 50)
obs, reward, done, info = env.step(action)
