def main():
trading_pair = TradingPair(USD, BTC)
action = DynamicOrders(trading_pair)
exchange = CCXTExchange('bitmex', observation_pairs=[trading_pair],
timeframe='1m')
wallet = Wallet(exchange, .01 * BTC)
portfolio = Portfolio(USD, wallets=[wallet])
env = TradingEnvironment(portfolio, exchange, action, 'simple')
while True:
env.step(0)
env.render('human')
time.sleep(.02)
def test_smoke():
cdd = CryptoDataDownload()
coinbase_btc = cdd.fetch("Coinbase", "USD", "BTC", "1h")
coinbase_eth = cdd.fetch("Coinbase", "USD", "ETH", "1h")
bitstamp_btc = cdd.fetch("Bitstamp", "USD", "BTC", "1h")
bitstamp_eth = cdd.fetch("Bitstamp", "USD", "ETH", "1h")
bitstamp_ltc = cdd.fetch("Bitstamp", "USD", "LTC", "1h")
steps = len(coinbase_btc)
coinbase = Exchange("coinbase", service=execute_order)(
Stream("USD-BTC", list(coinbase_btc['close'][-steps:])),
Stream("USD-ETH", list(coinbase_eth['close'][-steps:])))
bitstamp = Exchange("bitstamp", service=execute_order)(
Stream("USD-BTC", list(bitstamp_btc['close'][-steps:])),
Stream("USD-ETH", list(bitstamp_eth['close'][-steps:])),
Stream("USD-LTC", list(bitstamp_ltc['close'][-steps:])))
portfolio = Portfolio(USD, [
Wallet(coinbase, 200000 * USD),
Wallet(coinbase, 0 * BTC),
Wallet(bitstamp, 10000 * USD),
Wallet(bitstamp, 2 * BTC),
Wallet(bitstamp, 20 * ETH),
Wallet(bitstamp, 30 * LTC)
])
action_scheme = ManagedRiskOrders(
durations=[4, 6, 8, 10],
stop_loss_percentages=[0.01, 0.003, 0.3],
take_profit_percentages=[0.01, 0.003, 0.3],
trade_sizes=[0.99999999999999])
env = TradingEnvironment(action_scheme=action_scheme,
reward_scheme="simple",
portfolio=portfolio)
done = False
n_steps = 0
while not done:
action = env.action_space.sample()
obs, reward, done, info = env.step(action)
n_steps += 1
portfolio.ledger.as_frame().sort_values(["step",
"poid"]).to_clipboard(index=False)
df = portfolio.ledger.as_frame()
frames = []
for poid in df.poid.unique():
frames += [df.loc[df.poid == poid, :]]
pd.concat(frames, ignore_index=True, axis=0).to_clipboard(index=False)
pytest.fail("Failed.")
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 main():
df = load_dataframe()
exchange = SimulatedExchange(df)
wallet_usd = Wallet(exchange, 0 * USD)
wallet_btc = Wallet(exchange, .01 * BTC)
portfolio = Portfolio(BTC, wallets=[wallet_usd, wallet_btc])
trading_pair = TradingPair(USD, BTC)
action = DynamicOrders(trading_pair)
env = TradingEnvironment(portfolio, exchange, action, 'simple',
window_size=20)
times = []
for _ in range(300):
action = 0
if random.random() > .9:
action = int(random.uniform(1, 20))
env.step(action)
t1 = time.time()
env.render('human')
times.append(time.time() - t1)
if len(times) > 120:
times.pop(0)
print(f'FPS: {1 / np.mean(times):.1f}', end='\r')
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)
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)
executed_trade = info['executed_trade']
filled_trade = info['filled_trade']
portfolio = exchange.portfolio
print('Obs: ', obs)
print('Reward: ', reward)
print('Portfolio: ', portfolio)
print('Trade executed: ', executed_trade.trade_type, executed_trade.price,
executed_trade.amount)
print('Trade filled: ', filled_trade.trade_type, filled_trade.price,
filled_trade.amount)
