def test_stream_source():
s = Stream.source(range(10))
assert s.forward() == 0
assert s.forward() == 1
s.reset()
assert s.forward() == 0
assert s.forward() == 1
def g():
done = False
i = 0
yield i
while not done:
i += 1
yield i
s = Stream.source(g)
assert s.forward() == 0
assert s.forward() == 1
s.reset()
assert s.forward() == 0
assert s.forward() == 1
def create_env_for_predicting(config):
t = price_history['Close']
p = Stream.source(t.tolist(), dtype="float").rename("USD-BTC")
bitfinex = Exchange("bitfinex", service=execute_order)(Stream.source(
price_history['Close'].tolist(), dtype="float").rename("USD-BTC"))
cash = Wallet(bitfinex, 100000 * USD)
asset = Wallet(bitfinex, 0 * BTC)
portfolio = Portfolio(USD, [cash, asset])
feed = DataFeed([
p,
p.rolling(window=10).mean().rename("fast"),
p.rolling(window=50).mean().rename("medium"),
p.rolling(window=100).mean().rename("slow"),
p.log().diff().fillna(0).rename("lr")
])
reward_scheme = PBR(price=p)
action_scheme = BSH(cash=cash, asset=asset).attach(reward_scheme)
renderer_feed = DataFeed([
Stream.source(price_history['Close'].tolist(),
dtype="float").rename("price"),
Stream.sensor(action_scheme, lambda s: s.action,
dtype="float").rename("action")
])
environment = default.create(feed=feed,
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
renderer_feed=renderer_feed,
renderer=PositionChangeChart(),
window_size=config["window_size"],
max_allowed_loss=0.6)
return environment
def create_env(config):
x = np.arange(0, 2 * np.pi, 2 * np.pi / 1001)
y = 50 * np.sin(3 * x) + 100
x = np.arange(0, 2 * np.pi, 2 * np.pi / 1000)
p = Stream.source(y, dtype="float").rename("USD-TTC")
coinbase = Exchange("coinbase", service=execute_order)(p)
cash = Wallet(coinbase, 100000 * USD)
asset = Wallet(coinbase, 0 * TTC)
portfolio = Portfolio(USD, [cash, asset])
feed = DataFeed([
p,
p.rolling(window=10).mean().rename("fast"),
p.rolling(window=50).mean().rename("medium"),
p.rolling(window=100).mean().rename("slow"),
p.log().diff().fillna(0).rename("lr")
])
reward_scheme = PBR(price=p)
action_scheme = BSH(cash=cash, asset=asset).attach(reward_scheme)
renderer_feed = DataFeed([
Stream.source(y, dtype="float").rename("price"),
Stream.sensor(action_scheme, lambda s: s.action,
dtype="float").rename("action")
])
chart_renderer = PlotlyTradingChart(
display=True, # show the chart on screen (default)
height=
800, # affects both displayed and saved file height. None for 100% height.
save_format="html", # save the chart to an HTML file
auto_open_html=True, # open the saved HTML chart in a new browser tab
)
import uuid
uid = uuid.uuid4()
callback = LoggingCallback(f'/Users/vkrot/callback-{uid}', chart_renderer)
environment = default.create(
feed=feed,
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
renderer_feed=renderer_feed,
# renderer=PositionChangeChart(),
renderer=PositionChangeChart(),
window_size=config["window_size"],
max_allowed_loss=0.6,
callback=callback)
return environment
def test_price_ds():
btc_price = Stream.source([7000, 7500, 8300],
dtype="float").rename("USD-BTC")
eth_price = Stream.source([200, 212, 400], dtype="float").rename("USD-ETH")
feed = DataFeed([btc_price, eth_price])
assert feed.next() == {"USD-BTC": 7000, "USD-ETH": 200}
def test_exchange_feed():
btc_price = Stream.source([7000, 7500, 8300],
dtype="float").rename("USD-BTC")
eth_price = Stream.source([200, 212, 400], dtype="float").rename("USD-ETH")
exchange = Exchange("bitfinex", service=execute_order)(btc_price,
eth_price)
feed = DataFeed(exchange.streams())
assert feed.next() == {"bitfinex:/USD-BTC": 7000, "bitfinex:/USD-ETH": 200}
def create_env(config):
x = np.arange(0, 2 * np.pi, 2 * np.pi / 1000)
p = Stream.source(50 * np.sin(3 * x) + 100,
dtype="float").rename("USD-TTC")
bitfinex = Exchange("bitfinex", service=execute_order)(p)
cash = Wallet(bitfinex, 100000 * USD)
asset = Wallet(bitfinex, 0 * TTC)
portfolio = Portfolio(USD, [cash, asset])
feed = DataFeed([
p,
p.rolling(window=10).mean().rename("fast"),
p.rolling(window=50).mean().rename("medium"),
p.rolling(window=100).mean().rename("slow"),
p.log().diff().fillna(0).rename("lr")
])
reward_scheme = default.rewards.PBR(price=p)
action_scheme = default.actions.BSH(cash=cash,
asset=asset).attach(reward_scheme)
env = default.create(feed=feed,
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
window_size=config["window_size"],
max_allowed_loss=0.6)
return env
def create_env_sin(config):
x = np.arange(0, 2 * np.pi, 2 * np.pi / 1001)
y = 50 * np.sin(3 * x) + 100
x = np.arange(0, 2 * np.pi, 2 * np.pi / 1000)
p = Stream.source(y, dtype="float").rename("USD-TTC")
bitfinex = Exchange("bitfinex", service=execute_order)(p)
cash = Wallet(bitfinex, 10000 * USD)
asset = Wallet(bitfinex, 0 * TTC)
portfolio = Portfolio(USD, [cash, asset])
feed = DataFeed([
p,
p.rolling(window=10).mean().rename("fast"),
p.rolling(window=50).mean().rename("medium"),
p.rolling(window=100).mean().rename("slow"),
p.log().diff().fillna(0).rename("lr")
])
reward_scheme = default.rewards.PBREX(price=p)
#action_scheme = default.actions.BSHEX(
# cash=cash,
# asset=asset
#).attach(reward_scheme)
action_scheme = default.actions.SimpleOrders(
trade_sizes=3).attach(reward_scheme)
renderer_feed = DataFeed([
Stream.source(y, dtype="float").rename("price"),
Stream.sensor(action_scheme, lambda s: s.action,
dtype="float").rename("action")
])
environment = default.create(feed=feed,
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
renderer_feed=renderer_feed,
renderer=PositionChangeChart(),
window_size=config["window_size"],
max_allowed_loss=0.6)
return environment
def create_env(envs_config=None):
features = []
for c in data.columns[5:]:
s = Stream.source(list(data[c][-100:]),
dtype="float").rename(data[c].name)
features += [s]
cp = Stream.select(features, lambda s: s.name == "close")
features = [cp.log().diff().fillna(0).rename("lr")] + features[1:]
feed = DataFeed(features)
feed.compile()
bitstamp = Exchange("bitstamp", service=execute_order)(Stream.source(
list(data["close"]), dtype="float").rename("USD-BTC"))
portfolio = Portfolio(
USD, [Wallet(bitstamp, 10000 * USD),
Wallet(bitstamp, 10 * BTC)])
renderer_feed = DataFeed([
Stream.source(list(data["date"])).rename("date"),
Stream.source(list(data["open"]), dtype="float").rename("open"),
Stream.source(list(data["high"]), dtype="float").rename("high"),
Stream.source(list(data["low"]), dtype="float").rename("low"),
Stream.source(list(data["close"]), dtype="float").rename("close"),
Stream.source(list(data["volume"]), dtype="float").rename("volume")
])
# reward_scheme = RiskAdjustedReturns(
# return_algorithm='sortino',
# risk_free_rate=0.025,
# target_returns=0.1,
# window_size=200
# )
reward_scheme = SimpleProfit(window_size=200) #PBR(price=cp)
# action_scheme = BSH(
# cash=portfolio.wallets[0],
# asset=portfolio.wallets[1]
# ).attach(reward_scheme)
env = default.create(
portfolio=portfolio,
action_scheme="managed-risk",
reward_scheme=reward_scheme, #"risk-adjusted",
feed=feed,
renderer_feed=renderer_feed,
renderer=default.renderers.PlotlyTradingChart(display=False,
save_format='html',
path='./agents/charts/'),
window_size=40)
return env
def create_trade_env(quotes, observations, symbol):
# Add features
features = []
#exclude "date/Column [0]" from observation - start from column 1
for c in data.columns[0:]:
s = Stream.source(list(data[c]), dtype="float").rename(data[c].name)
features += [s]
feed = DataFeed(features)
feed.compile()
# define exchange - needs to specify Price-Quote Stream
exchange = Exchange("sim-exchange", service=execute_order)(
Stream.source(list(quotes["close"]),
dtype="float").rename(str("USD-{}").format(symbol)))
# add current cash, initial-asset
cash = Wallet(exchange, 10000 * USD)
asset = Wallet(exchange, 0 * Instrument(symbol, 2, symbol))
# initialize portfolio - base currency USD
portfolio = Portfolio(base_instrument=USD, wallets=[cash, asset])
# add element for rendered feed
renderer_feed = DataFeed([
Stream.source(list(data.index)).rename("date"),
Stream.source(list(data["open"]), dtype="float").rename("open"),
Stream.source(list(data["high"]), dtype="float").rename("high"),
Stream.source(list(data["low"]), dtype="float").rename("low"),
Stream.source(list(data["close"]), dtype="float").rename("close")
#Stream.source(list(data["volume"]), dtype="float").rename("volume")
])
reward_scheme = default.rewards.SimpleProfit()
action_scheme = default.actions.SimpleOrders(trade_sizes=1)
'''
# define reward-scheme
# define action-scheme
action_scheme = default.actions.BSH(
cash=cash,
asset=asset
)
'''
# create env
env = default.create(
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
feed=feed,
renderer_feed=renderer_feed,
#renderer="screen-log",
#window_size=20,
max_allowed_loss=0.6)
return env
def create_env(config):
df = load_csv('btc_usdt_m5_history.csv')
y = df['close'].tolist()
p = Stream.source(y, dtype="float").rename("USD-TTC")
bitfinex = Exchange("bitfinex", service=execute_order)(p)
cash = Wallet(bitfinex, 100000 * USD)
asset = Wallet(bitfinex, 0 * TTC)
portfolio = Portfolio(USD, [cash, asset])
feed = DataFeed([
p,
p.rolling(window=10).mean().rename("fast"),
p.rolling(window=50).mean().rename("medium"),
p.rolling(window=100).mean().rename("slow"),
p.log().diff().fillna(0).rename("lr")
])
reward_scheme = SimpleProfit(window_size=12)
action_scheme = ManagedRiskOrders()
renderer_feed = DataFeed([
Stream.source(y, dtype="float").rename("price"),
Stream.sensor(action_scheme, lambda s: s.action,
dtype="float").rename("action")
])
environment = default.create(
feed=feed,
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
renderer_feed=renderer_feed,
renderer=default.renderers.PlotlyTradingChart(),
window_size=config["window_size"],
max_allowed_loss=0.6)
return environment
def create_env(config):
x = np.arange(0, 2 * np.pi, 2 * np.pi / 1001)
y = 50 * np.sin(3 * x) + 100
p = Stream.source(y, dtype="float").rename("USD-TTC")
coinbase = Exchange("coinbase", service=execute_order)(p)
cash = Wallet(coinbase, 10000 * USD)
asset = Wallet(coinbase, 0 * TTC)
portfolio = Portfolio(USD, [cash, asset])
feed = DataFeed([
p,
p.ewm(span=10).mean().rename("fast"),
p.ewm(span=50).mean().rename("medium"),
p.ewm(span=100).mean().rename("slow"),
p.log().diff().fillna(0).rename("lr")
])
reward_scheme = PBR(price=p)
action_scheme = BSH(cash=cash, asset=asset).attach(reward_scheme)
renderer_feed = DataFeed([
Stream.source(y, dtype="float").rename("price"),
Stream.sensor(action_scheme, lambda s: s.action,
dtype="float").rename("action")
])
environment = default.create(feed=feed,
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
renderer_feed=renderer_feed,
renderer=PositionChangeChart(),
window_size=config["window_size"],
max_allowed_loss=0.6)
return environment
def test_exchange_with_wallets_feed():
ex1 = Exchange("bitfinex", service=execute_order)(
Stream.source([7000, 7500, 8300], dtype="float").rename("USD-BTC"),
Stream.source([200, 212, 400], dtype="float").rename("USD-ETH"))
ex2 = Exchange("binance", service=execute_order)(
Stream.source([7005, 7600, 8200], dtype="float").rename("USD-BTC"),
Stream.source([201, 208, 402], dtype="float").rename("USD-ETH"),
Stream.source([56, 52, 60], dtype="float").rename("USD-LTC"))
wallet_btc = Wallet(ex1, 10 * BTC)
wallet_btc_ds = _create_wallet_source(wallet_btc)
wallet_usd = Wallet(ex2, 1000 * USD)
wallet_usd.withdraw(quantity=400 * USD, reason="test")
wallet_usd.deposit(quantity=Quantity(USD, 400, path_id="fake_id"),
reason="test")
wallet_usd_ds = _create_wallet_source(wallet_usd, include_worth=False)
streams = ex1.streams() + ex2.streams() + wallet_btc_ds + wallet_usd_ds
feed = DataFeed(streams)
assert feed.next() == {
"bitfinex:/USD-BTC": 7000,
"bitfinex:/USD-ETH": 200,
"bitfinex:/BTC:/free": 10,
"bitfinex:/BTC:/locked": 0,
"bitfinex:/BTC:/total": 10,
"bitfinex:/BTC:/worth": 70000,
"binance:/USD-BTC": 7005,
"binance:/USD-ETH": 201,
"binance:/USD-LTC": 56,
"binance:/USD:/free": 600,
"binance:/USD:/locked": 400,
"binance:/USD:/total": 1000
}
def _setup_render_stream(self):
"""
Sets up indicator data stream for renderers with OHLC data
:return: tensortrade.feed.core.DataFeed
"""
renderer_feed = DataFeed([
Stream.source(list(self._data["date"])).rename("date"),
Stream.source(list(self._data["open"]), dtype="float").rename("open"),
Stream.source(list(self._data["high"]), dtype="float").rename("high"),
Stream.source(list(self._data["low"]), dtype="float").rename("low"),
Stream.source(list(self._data["close"]), dtype="float").rename("close"),
Stream.source(list(self._data["volume"]), dtype="float").rename("volume")
])
renderer_feed.compile()
return renderer_feed
def _setup_stream(self):
"""
Sets up data stream with indicators and close
:return: tensortrade.feed.core.DataFeed
"""
features = []
for c in self._data.columns[1:]:
s = Stream.source(list(self._data[c]), dtype="float").rename(self._data[c].name)
features += [s]
cp = Stream.select(features, lambda s: s.name == "close")
features = [
cp.log().diff().rename("lr"),
rsi(cp, period=20).rename("rsi"),
macd(cp, fast=10, slow=50, signal=5).rename("macd")
]
feed = DataFeed(features)
feed.compile()
return feed
period).mean()
return 100 * (1 - (1 + rs)**-1)
def macd(price: Stream[float], fast: float, slow: float,
signal: float) -> Stream[float]:
fm = price.ewm(span=fast, adjust=False).mean()
sm = price.ewm(span=slow, adjust=False).mean()
md = fm - sm
signal = md - md.ewm(span=signal, adjust=False).mean()
return signal
features = []
for c in data.columns[1:]:
s = Stream.source(list(data[c]), dtype="float").rename(data[c].name)
features += [s]
cp = Stream.select(features, lambda s: s.name == "close")
op = Stream.select(features, lambda s: s.name == 'open')
hp = Stream.select(features, lambda s: s.name == 'high')
lp = Stream.select(features, lambda s: s.name == 'low')
v = Stream.select(features, lambda s: s.name == 'volume')
features = [
cp.log().diff().rename("lr"),
op.log().diff().rename("op"),
hp.log().diff().rename("hp"),
lp.log().diff().rename("lp"),
v.log().diff().rename("v"),
rsi(cp, period=20).rename("rsi"),
"close",
"volume",
fillna=True)
# convert to pct
#data = quotes_ta.pct_change(fill_method ='ffill')
data = quotes
data = data.replace([np.inf, -np.inf], np.nan)
data = data.fillna(value=0)
data.reset_index(inplace=True)
data.tail()
# %%
features = []
for c in data.columns[1:]:
s = Stream.source(list(data[c]), dtype="float").rename(data[c].name)
features += [s]
feed = DataFeed(features)
feed.compile()
for i in range(5):
print(feed.next())
# %% [markdown]
# ## Setup Trading Environment
# %%
# Make a stream of closing prices to make orders on
exchange = Exchange("sim-exchange", service=execute_order)(Stream.source(
list(data["close"]), dtype="float").rename("USD-AAPL"))
portfolio = Portfolio(
def test_create_internal_data_feed():
ex1 = Exchange("bitfinex", service=execute_order)(
Stream.source([7000, 7500, 8300], dtype="float").rename("USD-BTC"),
Stream.source([200, 212, 400], dtype="float").rename("USD-ETH"))
ex2 = Exchange("binance", service=execute_order)(
Stream.source([7005, 7600, 8200], dtype="float").rename("USD-BTC"),
Stream.source([201, 208, 402], dtype="float").rename("USD-ETH"),
Stream.source([56, 52, 60], dtype="float").rename("USD-LTC"))
portfolio = Portfolio(USD, [
Wallet(ex1, 10000 * USD),
Wallet(ex1, 10 * BTC),
Wallet(ex1, 5 * ETH),
Wallet(ex2, 1000 * USD),
Wallet(ex2, 5 * BTC),
Wallet(ex2, 20 * ETH),
Wallet(ex2, 3 * LTC),
])
feed = DataFeed(_create_internal_streams(portfolio))
data = {
"bitfinex:/USD-BTC": 7000,
"bitfinex:/USD-ETH": 200,
"bitfinex:/USD:/free": 10000,
"bitfinex:/USD:/locked": 0,
"bitfinex:/USD:/total": 10000,
"bitfinex:/BTC:/free": 10,
"bitfinex:/BTC:/locked": 0,
"bitfinex:/BTC:/total": 10,
"bitfinex:/BTC:/worth": 7000 * 10,
"bitfinex:/ETH:/free": 5,
"bitfinex:/ETH:/locked": 0,
"bitfinex:/ETH:/total": 5,
"bitfinex:/ETH:/worth": 200 * 5,
"binance:/USD-BTC": 7005,
"binance:/USD-ETH": 201,
"binance:/USD-LTC": 56,
"binance:/USD:/free": 1000,
"binance:/USD:/locked": 0,
"binance:/USD:/total": 1000,
"binance:/BTC:/free": 5,
"binance:/BTC:/locked": 0,
"binance:/BTC:/total": 5,
"binance:/BTC:/worth": 7005 * 5,
"binance:/ETH:/free": 20,
"binance:/ETH:/locked": 0,
"binance:/ETH:/total": 20,
"binance:/ETH:/worth": 201 * 20,
"binance:/LTC:/free": 3,
"binance:/LTC:/locked": 0,
"binance:/LTC:/total": 3,
"binance:/LTC:/worth": 56 * 3,
}
bitfinex_net_worth = 10000 + (10 * 7000) + (5 * 200)
binance_net_worth = 1000 + (5 * 7005) + (20 * 201) + (3 * 56)
data['net_worth'] = sum(
data[k] if k.endswith("worth") or k.endswith("USD:/total") else 0
for k in data.keys())
assert feed.next() == data
df_USD = df_USD[df_USD['close'].notnull()]
dataset = ta.add_all_ta_features(df_USD, 'open', 'high', 'low', 'close', 'volume', fillna=True)
price_history = dataset[['date', 'open', 'high', 'low', 'close', 'volume']] # chart data
dataset.drop(columns=['date', 'open', 'high', 'low', 'close', 'volume'], inplace=True)
micex = Exchange("MICEX",
service=execute_order,
options=ExchangeOptions(commission = 0.0003, #0.003,
min_trade_size = 1e-6,
max_trade_size = 1e6,
min_trade_price = 1e-8,
max_trade_price= 1e8,
is_live=False) )(
Stream.source(price_history['close'].tolist(), dtype="float").rename("RUR-USD"))
portfolio = Portfolio(RUR, [
Wallet(micex, 0 * USD),
Wallet(micex, 73000 * RUR),
])
with NameSpace("MICEX"):
streams = [Stream.source(dataset[c].tolist(), dtype="float").rename(c) for c in dataset.columns]
feed = DataFeed(streams)
feed.next()
env = default.create(
portfolio=portfolio,
action_scheme="simple",#"managed-risk", simpleBuy
downside = r.clamp_max(0).abs()
rs = upside.ewm(alpha=1 / period).mean() / downside.ewm(alpha=1 / period).mean()
return 100*(1 - (1 + rs) ** -1)
def macd(price: Stream[float], fast: float, slow: float, signal: float) -> Stream[float]:
fm = price.ewm(span=fast, adjust=False).mean()
sm = price.ewm(span=slow, adjust=False).mean()
md = fm - sm
signal = md - md.ewm(span=signal, adjust=False).mean()
return signal
features = []
for c in data.columns[1:]:
s = Stream.source(list(data[c]), dtype="float").rename(data[c].name)
features += [s]
cp = Stream.select(features, lambda s: s.name == "close")
op = Stream.select(features, lambda s: s.name == 'open')
hp = Stream.select(features, lambda s: s.name == 'high')
lp = Stream.select(features, lambda s: s.name == 'low')
v = Stream.select(features, lambda s: s.name == 'volume')
features = [
cp.log().diff().rename("lr"),
op.log().diff().rename("op"),
hp.log().diff().rename("hp"),
lp.log().diff().rename("lp"),
v.log().diff().rename("v"),
rsi(cp, period=20).rename("rsi"),
def create_env(config):
df = load_csv('btc_usdt_m5_history.csv')
from ta.trend import (
MACD,
ADXIndicator,
AroonIndicator,
CCIIndicator,
DPOIndicator,
EMAIndicator,
IchimokuIndicator,
KSTIndicator,
MassIndex,
PSARIndicator,
SMAIndicator,
STCIndicator,
TRIXIndicator,
VortexIndicator,
)
colprefix = ""
# MACD
indicator_macd = MACD(close=df['close'],
window_slow=26,
window_fast=12,
window_sign=9,
fillna=True)
df[f"{colprefix}trend_macd"] = indicator_macd.macd()
df[f"{colprefix}trend_macd_signal"] = indicator_macd.macd_signal()
df[f"{colprefix}trend_macd_diff"] = indicator_macd.macd_diff()
#df = ta.add_trend_ta(df,'high', 'low', 'close', fillna=True)
#df = ta.add_volume_ta(df,'high', 'low', 'close', 'volume', fillna=True)
#df = ta.add_volume_ta(df, 'high', 'low', 'close', 'volume', fillna=True)
#df = ta.add_volatility_ta(df, 'high', 'low', 'close', fillna=True)
price_history = df[['date', 'open', 'high', 'low', 'close',
'volume']] # chart data
df.drop(columns=['date', 'open', 'high', 'low', 'close', 'volume'],
inplace=True)
print(df.head(5))
with NameSpace("bitfinex"):
streams = [
Stream.source(df[c].tolist(), dtype="float").rename(c)
for c in df.columns
]
feed_ta_features = DataFeed(streams)
price_list = price_history['close'].tolist()
p = Stream.source(price_list, dtype="float").rename("USD-BTC")
bitfinex = Exchange("bitfinex", service=execute_order)(p)
cash = Wallet(bitfinex, 10000 * USD)
asset = Wallet(bitfinex, 0 * BTC)
portfolio = Portfolio(USD, [cash, asset])
reward_scheme = default.rewards.SimpleProfit(window_size=1)
#action_scheme = default.actions.BSHEX(
# cash=cash,
# asset=asset
#).attach(reward_scheme)
action_scheme = default.actions.SimpleOrders(trade_sizes=3)
renderer_feed_ptc = DataFeed([
Stream.source(list(price_history["date"])).rename("date"),
Stream.source(list(price_history["open"]),
dtype="float").rename("open"),
Stream.source(list(price_history["high"]),
dtype="float").rename("high"),
Stream.source(list(price_history["low"]), dtype="float").rename("low"),
Stream.source(list(price_history["close"]),
dtype="float").rename("close"),
Stream.source(list(price_history["volume"]),
dtype="float").rename("volume")
])
env = default.create(
feed=feed_ta_features,
portfolio=portfolio,
#renderer=PositionChangeChart(),
renderer=default.renderers.PlotlyTradingChart(),
action_scheme=action_scheme,
reward_scheme=reward_scheme,
renderer_feed=renderer_feed_ptc,
window_size=config["window_size"],
max_allowed_loss=0.1)
return env
'Volume',
fillna=True)
price_history = dataset[['Date', 'Open', 'High', 'Low', 'Close',
'Volume']] # chart
dataset.drop(columns=['Date', 'Open', 'High', 'Low', 'Close', 'Volume'],
inplace=True)
from tensortrade.oms.instruments import USD, BTC, ETH
from tensortrade.feed.core import Stream, DataFeed, NameSpace
from tensortrade.oms.exchanges import Exchange
from tensortrade.oms.services.execution.simulated import execute_order
from tensortrade.oms.instruments import USD, BTC
from tensortrade.oms.wallets import Wallet, Portfolio
bitfinex = Exchange("bitfinex", service=execute_order)(Stream.source(
price_history['Close'].tolist(), dtype="float").rename("USD-BTC"))
portfolio = Portfolio(USD, [
Wallet(bitfinex, 10000 * USD),
Wallet(bitfinex, 10 * BTC),
])
with NameSpace("bitfinex"):
streams = [
Stream.source(dataset[c].tolist(), dtype="float").rename(c)
for c in dataset.columns
]
feed = DataFeed(streams)
feed.next()
def create_env(config):
p = Stream.source(price_history['Close'].tolist(),
def create_env(data, config):
features = []
for c in data.columns[1:]:
s = Stream.source(list(data[c]), dtype="float").rename(data[c].name)
features += [s]
cp = Stream.select(features, lambda s: s.name == "close")
high_price = data['high']
low_price = data['low']
close_price = data['close']
# print(data['volume'])
try:
data['date']
except KeyError:
data['date'] = data.index
features = [
cp.rename('USD/BTC'),
cp.log().diff().rename("lr"),
rsi(cp, period=14).rename("rsi"),
macd(cp, fast=10, slow=50, signal=5).rename("macd"),
Stream.source(ta.cci(high_price, low_price, close_price)).rename('cci')
# cp.rolling(window=10).mean().rename("fast"),
# cp.rolling(window=50).mean().rename("medium"),
# cp.rolling(window=100).mean().rename("slow")
]
feed = DataFeed(features)
feed.compile()
# for i in range(5):
# print(feed.next())
coinbase = Exchange("coinbase", service=execute_order)(cp)
cash = Wallet(coinbase, 100000 * USD)
asset = Wallet(coinbase, 10 * BTC)
portfolio = Portfolio(USD, [cash, asset])
# reward_scheme = PBR(price=cp)
reward_scheme = RiskAdjustedReturns()
# action_scheme = BSH(cash=cash, asset=asset).attach(reward_scheme)
action_scheme = ManagedRiskOrders()
renderer_feed = DataFeed([
Stream.source(list(data["date"])).rename("date"),
Stream.source(list(data["open"]), dtype="float").rename("open"),
Stream.source(list(data["high"]), dtype="float").rename("high"),
Stream.source(list(data["low"]), dtype="float").rename("low"),
Stream.source(list(data["close"]), dtype="float").rename("close"),
Stream.source(list(data["volume"]), dtype="float").rename("volume"),
#Stream.sensor(action_scheme, lambda s: s.action, dtype="float").rename("action")
])
renderer = PlotlyTradingChart()
environment = default.create(
feed=feed,
portfolio=portfolio,
action_scheme=action_scheme, # The DQN example uses action_scheme="managed-risk"
reward_scheme=reward_scheme, # The DQN uses reward_scheme="risk-adjusted"
renderer_feed=renderer_feed,
renderer=renderer,
window_size=config["window_size"],
max_allowed_loss=0.6
)
return environment
def create_env(config):
# Use config param to decide which data set to use
# Reserve 50 rows of data to fill in NaN values
if config["train"] == True:
df = data[50:-dataEnd]
envData = candles[50:-dataEnd]
taData = data[:-dataEnd]
else:
df = data[-dataEnd:]
envData = candles[-dataEnd:]
taData = data[-dataEnd - 50:]
# === OBSERVER ===
p = Stream.source(df[(coin + ':close')].tolist(),
dtype="float").rename(("USD-" + coin))
# === EXCHANGE ===
# Commission on Binance is 0.075% on the lowest level, using BNB (https://www.binance.com/en/fee/schedule)
binance_options = ExchangeOptions(commission=0.0075,
min_trade_price=10.0)
binance = Exchange("binance",
service=execute_order,
options=binance_options)(p)
# === ORDER MANAGEMENT SYSTEM ===
# Start with 100.000 usd and 0 assets
cash = Wallet(binance, 100000 * USD)
asset = Wallet(binance, 0 * coinInstrument)
portfolio = Portfolio(USD, [cash, asset])
# === OBSERVER ===
dataset = pd.DataFrame()
# Use log-returns instead of raw OHLCV. This is a refined version of naive standarization
# log(current_price / previous_price) = log(current_price) - log(previous_price)
# If log value below 0 current_price > previous_price
# Above 0 means current_price < previous_price
dataset['log_open'] = np.log(taData[(coin + ':open')]) - np.log(
taData[(coin + ':open')].shift(1))
dataset['log_low'] = np.log(taData[(coin + ':low')]) - np.log(
taData[(coin + ':low')].shift(1))
dataset['log_high'] = np.log(taData[(coin + ':high')]) - np.log(
taData[(coin + ':high')].shift(1))
dataset['log_close'] = np.log(taData[(coin + ':close')]) - np.log(
taData[(coin + ':close')].shift(1))
dataset['log_vol'] = np.log(taData[(coin + ':volume')]) - np.log(
taData[(coin + ':volume')].shift(1))
# === TECHNICAL ANALYSIS ===
# Extra features not described in research, therefore not used.
#BB_low = ta.volatility.BollingerBands(close = taData[(coin + ':close')], window = 20).bollinger_lband()
#BB_mid = ta.volatility.BollingerBands(close = taData[(coin + ':close')], window = 20).bollinger_mavg()
#BB_high = ta.volatility.BollingerBands(close = taData[(coin + ':close')], window = 20).bollinger_hband()
# Difference between close price and bollinger band
#dataset['BB_low'] = np.log(BB_low) - np.log(taData[(coin + ':close')])
#dataset['BB_mid'] = np.log(BB_mid) - np.log(taData[(coin + ':close')])
#dataset['BB_high'] = np.log(BB_high) - np.log(taData[(coin + ':close')])
# Take log-returns to standardize
# Log-returns can not be used if value is 0 or smaller.
# Use pct_change() instead
# IDEA: Maybe use volume or close to standardize
# This line is necessary otherwise read only errors shows up
taData = taData.copy()
# For some reasons there are erros when using pct_change() for these indicators
adi = ta.volume.AccDistIndexIndicator(
high=taData[(coin + ':high')],
low=taData[(coin + ':low')],
close=taData[(coin + ':close')],
volume=taData[(coin + ':volume')]).acc_dist_index()
dataset['adi'] = adi.pct_change()
fi = ta.volume.ForceIndexIndicator(
close=taData[(coin + ':close')],
volume=taData[(coin + ':volume')]).force_index()
dataset['fi'] = fi.pct_change()
macd_diff = ta.trend.MACD(close=taData[(coin + ':close')]).macd_diff()
dataset['macd_diff'] = macd_diff.pct_change()
dpo = ta.trend.DPOIndicator(close=taData[(coin + ':close')]).dpo()
dataset['dpo'] = dpo.pct_change()
# Too many outliers in the dataset
#vpt = ta.volume.VolumePriceTrendIndicator(close=taData[(coin + ':close')], volume=taData[(coin + ':volume')]).volume_price_trend()
#dataset['vpt'] = vpt.pct_change()
#em = ta.volume.EaseOfMovementIndicator(high=taData[(coin + ':high')], low=taData[(coin + ':low')], volume=taData[(coin + ':volume')]).ease_of_movement()
#dataset['em'] = em.pct_change()
kst_sig = ta.trend.KSTIndicator(close=taData[(coin +
':close')]).kst_sig()
dataset['kst_sig'] = kst_sig.pct_change()
kst_diff = ta.trend.KSTIndicator(close=taData[(coin +
':close')]).kst_diff()
dataset['kst_diff'] = kst_diff.pct_change()
nvi = ta.volume.NegativeVolumeIndexIndicator(
close=taData[(coin + ':close')],
volume=taData[(coin + ':volume')]).negative_volume_index()
dataset['nvi'] = np.log(nvi) - np.log(nvi.shift(1))
bbw = ta.volatility.BollingerBands(
close=taData[(coin + ':close')]).bollinger_wband()
dataset['bbw'] = np.log(bbw) - np.log(bbw.shift(1))
kcw = ta.volatility.KeltnerChannel(
high=taData[(coin + ':high')],
low=taData[(coin + ':low')],
close=taData[(coin + ':close')]).keltner_channel_wband()
dataset['kcw'] = np.log(kcw) - np.log(kcw.shift(1))
dcw = ta.volatility.DonchianChannel(
high=taData[(coin + ':high')],
low=taData[(coin + ':low')],
close=taData[(coin + ':close')]).donchian_channel_wband()
dataset['dcw'] = np.log(dcw) - np.log(dcw.shift(1))
psar_up = ta.trend.PSARIndicator(high=taData[(coin + ':high')],
low=taData[(coin + ':low')],
close=taData[(coin +
':close')]).psar_up()
dataset['psar_up'] = np.log(psar_up) - np.log(psar_up.shift(1))
# These indicators have a mean independent of the OHLCV data
# IDEA: Use log-returns on these as an extra indicator
# Has a mean of 0
dataset['cmf'] = ta.volume.ChaikinMoneyFlowIndicator(
high=taData[(coin + ':high')],
low=taData[(coin + ':low')],
close=taData[(coin + ':close')],
volume=taData[(coin + ':volume')]).chaikin_money_flow()
dataset['ppo'] = ta.momentum.PercentagePriceOscillator(
close=taData[(coin + ':close')]).ppo()
dataset['ppo_signal'] = ta.momentum.PercentagePriceOscillator(
close=taData[(coin + ':close')]).ppo_signal()
dataset['ppo_hist'] = ta.momentum.PercentagePriceOscillator(
close=taData[(coin + ':close')]).ppo_hist()
dataset['ui'] = ta.volatility.UlcerIndex(
close=taData[(coin + ':close')]).ulcer_index()
dataset['aroon_ind'] = ta.trend.AroonIndicator(
close=taData[(coin + ':close')]).aroon_indicator()
# Indicator, so has value 0 or 1
dataset['bbhi'] = ta.volatility.BollingerBands(
close=taData[(coin + ':close')]).bollinger_hband_indicator()
dataset['bbli'] = ta.volatility.BollingerBands(
close=taData[(coin + ':close')]).bollinger_lband_indicator()
dataset['kchi'] = ta.volatility.KeltnerChannel(
high=taData[(coin + ':high')],
low=taData[(coin + ':low')],
close=taData[(coin + ':close')]).keltner_channel_hband_indicator()
dataset['kcli'] = ta.volatility.KeltnerChannel(
high=taData[(coin + ':high')],
low=taData[(coin + ':low')],
close=taData[(coin + ':close')]).keltner_channel_lband_indicator()
# Has a mean of 50
dataset['stoch_rsi'] = ta.momentum.StochRSIIndicator(
close=taData[(coin + ':close')]).stochrsi()
dataset['stoch_rsi_d'] = ta.momentum.StochRSIIndicator(
close=taData[(coin + ':close')]).stochrsi_d()
dataset['stoch_rsi_k'] = ta.momentum.StochRSIIndicator(
close=taData[(coin + ':close')]).stochrsi_k()
dataset['uo'] = ta.momentum.UltimateOscillator(
high=taData[(coin + ':high')],
low=taData[(coin + ':low')],
close=taData[(coin + ':close')]).ultimate_oscillator()
dataset['adx'] = ta.trend.ADXIndicator(high=taData[(coin + ':high')],
low=taData[(coin + ':low')],
close=taData[(coin +
':close')]).adx()
dataset['mass_index'] = ta.trend.MassIndex(
high=taData[(coin + ':high')],
low=taData[(coin + ':low')]).mass_index()
dataset['aroon_up'] = ta.trend.AroonIndicator(
close=taData[(coin + ':close')]).aroon_up()
dataset['aroon_down'] = ta.trend.AroonIndicator(
close=taData[(coin + ':close')]).aroon_down()
dataset['stc'] = ta.trend.STCIndicator(close=taData[(coin +
':close')]).stc()
# Lot of NaN values
#ta.trend.PSARIndicator(high=df[(coin + ':high')], low=df[(coin + ':low')], close=df[(coin + ':close')]).psar_down()
dataset = dataset.add_prefix(coin + ":")
# Drop first 50 rows from dataset
dataset = dataset.iloc[50:]
with NameSpace("binance"):
streams = [
Stream.source(dataset[c].tolist(), dtype="float").rename(c)
for c in dataset.columns
]
# This is everything the agent gets to see, when making decisions
feed = DataFeed(streams)
# Compiles all the given stream together
feed.compile()
# Print feed for debugging
#print(feed.next())
#print(feed.next())
#print(feed.next())
# === REWARDSCHEME ===
# RiskAdjustedReturns rewards depends on return_algorithm and its parameters.
# The risk-free rate is the return that you can expect from taking on zero risk.
# A target return is what an investor would want to make from any capital invested in the asset.
# SimpleProfit() or RiskAdjustedReturns() or PBR()
#reward_scheme = RiskAdjustedReturns(return_algorithm='sortino')#, risk_free_rate=0, target_returns=0)
#reward_scheme = RiskAdjustedReturns(return_algorithm='sharpe', risk_free_rate=0, target_returns=0, window_size=config["window_size"])
reward_scheme = SimpleProfit(window_size=config["window_size"])
#reward_scheme = PBR(price=p)
# === ACTIONSCHEME ===
# SimpleOrders() or ManagedRiskOrders() or BSH()
# ManagedRiskOrders is bad, with default settings!
# To use ManagedRiskOrders use settings like these:
# ManagedRiskOrders(stop = [0.02], take = [0.03], trade_sizes=2,)
action_scheme = ManagedRiskOrders(durations=[100])
#action_scheme = SimpleOrders()
#BSH only works with PBR as reward_scheme
#action_scheme = BSH(cash=cash,asset=asset).attach(reward_scheme)
# === RENDERER ===
# Uses the OHCLV data passed to envData
renderer_feed = DataFeed([
Stream.source(envData[c].tolist(), dtype="float").rename(c)
for c in envData
])
# === RESULT ===
environment = default.create(
feed=feed,
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
renderer_feed=renderer_feed,
renderer=PlotlyTradingChart(), #PositionChangeChart()
window_size=config["window_size"], #part of OBSERVER
max_allowed_loss=config["max_allowed_loss"] #STOPPER
)
return environment
def create_env(config, save_path='./agents/charts/', is_eval=False):
# Load data
k = -3000
w = -200
if is_eval:
k = -200
w = None
y = data['Close'][k:w].to_numpy()
features = []
for c in data.columns[5:]:
s = Stream.source(list(data[c][k:w]),
dtype="float").rename(data[c].name)
features += [s]
cp = Stream.source(y, dtype="float").rename("EUR-USD")
coinbase = Exchange("coinbase",
service=execute_order,
options=ExchangeOptions(commission=0.00005))(cp)
feature_add = [
cp,
cp.ewm(span=10).mean().rename("fast"),
cp.ewm(span=50).mean().rename("medium"),
cp.ewm(span=100).mean().rename("slow"),
cp.log().diff().fillna(0).rename("lr")
]
features = features + feature_add
feed = DataFeed(features)
feed.compile()
cash = Wallet(coinbase, 10000 * EUR)
asset = Wallet(coinbase, 10000 * USD)
portfolio = Portfolio(EUR, [cash, asset])
reward_scheme = PBR(price=cp)
# reward_scheme = SimpleProfit(window_size=500)
action_scheme = BSH(cash=cash, asset=asset).attach(reward_scheme)
# renderer_feed = DataFeed([
# Stream.source(y, dtype="float").rename("price"),
# Stream.sensor(action_scheme, lambda s: s.action, dtype="float").rename("action")
# ])
renderer_feed = DataFeed([
Stream.source(list(data["Date"][k:w])).rename("date"),
Stream.source(list(data["Open"][k:w]), dtype="float").rename("open"),
Stream.source(list(data["High"][k:w]), dtype="float").rename("high"),
Stream.source(list(data["Low"][k:w]), dtype="float").rename("low"),
Stream.source(list(data["Close"][k:w]), dtype="float").rename("close"),
Stream.source(list(data["Volume"][k:w]),
dtype="float").rename("volume")
])
environment = default.create(
feed=feed,
portfolio=portfolio,
action_scheme=action_scheme, #"managed-risk",
reward_scheme=reward_scheme,
renderer_feed=renderer_feed,
renderer=default.renderers.PlotlyTradingChart(display=False,
save_format='html',
path=save_path),
# renderer=PositionChangeChart(),
window_size=config["window_size"],
max_allowed_loss=0.6)
return environment
bitstamp_eth = cdd.fetch("Bitstamp", "USD", "ETH", "1h")
bitstamp_ltc = cdd.fetch("Bitstamp", "USD", "LTC", "1h")
bitstamp_btc.to_csv("data/bitstamp_btc_hourly.csv")
bitstamp_eth.to_csv("data/bitstamp_eth_hourly.csv")
bitstamp_ltc.to_csv("data/bitstamp_ltc_hourly.csv")
bitstamp_btc = pandas.read_csv("data/bitstamp_btc_hourly.csv")
bitstamp_eth = pandas.read_csv("data/bitstamp_eth_hourly.csv")
bitstamp_ltc = pandas.read_csv("data/bitstamp_ltc_hourly.csv")
# Inspec transactions of Simple orders
bitstamp = Exchange("bitstamp",
service=execute_order)(
Stream.source(list(bitstamp_btc["close"][-100:]),
dtype="float").rename("USD-BTC"),
Stream.source(list(bitstamp_eth["close"][-100:]),
dtype="float").rename("USD-ETH"),
Stream.source(list(bitstamp_ltc["close"][-100:]),
dtype="float").rename("USD-LTC"),
)
portfolio = Portfolio(
USD,
[
Wallet(bitstamp, 1000 * USD),
Wallet(bitstamp, 5 * BTC),
Wallet(bitstamp, 20 * ETH),
Wallet(bitstamp, 3 * LTC),
],
)
float(key['open_price']),
'high':
float(key['high_price']),
'low':
float(key['low_price']),
'close':
float(key['close_price']),
'volume':
float(key['volume'])
}
btc_data.append(data)
data = pd.DataFrame.from_dict(btc_data)
robinhood_btc_data = data.add_prefix('BTC:')
robinhood = Exchange("robinhood", service=execute_order)(Stream.source(
list(robinhood_btc_data['BTC:close']), dtype="float").rename("USD-BTC"))
robinhood_btc = robinhood_btc_data.loc[:, [
name.startswith("BTC") for name in robinhood_btc_data.columns
]]
ta.add_all_ta_features(
robinhood_btc,
colprefix="BTC:",
**{k: "BTC:" + k
for k in ['open', 'high', 'low', 'close', 'volume']})
with NameSpace("robinhood"):
robinhood_stream = [
Stream.source(list(robinhood_btc[c]), dtype="float").rename(c)
for c in robinhood_btc.columns
def create_env(config, train="train"):
cdd = CryptoDataDownload()
data = cdd.fetch("Bitstamp", "USD", "BTC", "1h")
if False:
data.close = data.close / 20 + range(len(data))
print("genenrating fake increase")
if train == "train":
data = data[0:int(len(data) / 2)] # training
print("using first half for training")
elif train == "eval":
data = data[int(len(data) / 2):] # validation
print("using second half for eval")
else:
print("using all data")
pclose = Stream.source(list(data.close), dtype="float").rename("USD-BTC")
pmin = Stream.source(list(data.low), dtype="float").rename("USD-BTClow")
pmax = Stream.source(list(data.high), dtype="float").rename("USD-BTChigh")
pmin = Stream.source(list(data.low), dtype="float").rename("USD-BTClow")
pmax = Stream.source(list(data.high), dtype="float").rename("USD-BTChigh")
pmin3 = pmin.rolling(window=3).min()
pmin10 = pmin.rolling(window=10).min()
pmin20 = pmin.rolling(window=20).min()
pmax3 = pmax.rolling(window=3).max()
pmax10 = pmax.rolling(window=10).max()
pmax20 = pmax.rolling(window=20).max()
eo = ExchangeOptions(commission=0.002) #
coinbase = Exchange("coinbase", service=execute_order, options=eo)(
pclose
)
cash = Wallet(coinbase, 100000 * USD)
asset = Wallet(coinbase, 0 * BTC)
portfolio = Portfolio(USD, [
cash,
asset
])
feed = DataFeed([
(pclose.log() - pmin3.log()).fillna(0).rename("relmin3"),
(pclose.log() - pmin10.log()).fillna(0).rename("relmin10"),
(pclose.log() - pmin20.log()).fillna(0).rename("relmin20"),
(pclose.log() - pmax3.log()).fillna(0).rename("relmax3"),
(pclose.log() - pmax10.log()).fillna(0).rename("relmax10"),
(pclose.log() - pmax20.log()).fillna(0).rename("relmax20"),
])
action_scheme = BSH(cash=cash, asset=asset)
renderer_feed = DataFeed([
Stream.source(list(data.close), dtype="float").rename("price"),
Stream.sensor(action_scheme, lambda s: s.action, dtype="float").rename("action") # only works for BSH
])
environment = default.create(
feed=feed,
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme="simple",
renderer_feed=renderer_feed,
renderer=PositionChangeChart(),
window_size=config["window_size"],
min_periods=20,
max_allowed_loss=0.6
)
return environment
def build_env(config):
worker_index = 1
if hasattr(config, 'worker_index'):
worker_index = config.worker_index
raw_data = pd.read_csv(btc_usd_file, sep=';')
raw_data['date'] = pd.to_datetime(raw_data['time'], unit='ms')
data = compute_features(raw_data)
features = []
for c in data.columns:
if c not in raw_data.columns:
s = Stream.source(list(data[c]),
dtype="float").rename(data[c].name)
features += [s]
comm = 0.00001
coinbase = Exchange("coinbase",
service=execute_order,
options=ExchangeOptions(commission=comm))(
Stream.source(list(data["close"]),
dtype="float").rename("USD-BTC"))
cash = Wallet(coinbase, 10000 * USD)
asset = Wallet(coinbase, 0 * BTC)
portfolio = Portfolio(USD, [cash, asset])
renderer_feed = DataFeed([
Stream.source(list(data["date"])).rename("date"),
Stream.source(list(data["open"]), dtype="float").rename("open"),
Stream.source(list(data["high"]), dtype="float").rename("high"),
Stream.source(list(data["low"]), dtype="float").rename("low"),
Stream.source(list(data["close"]), dtype="float").rename("close"),
Stream.source(list(data["volume"]), dtype="float").rename("volume")
])
# reward_scheme = rewards.SimpleProfit()
rsi = Stream.select(features, lambda x: x.name == "rsi")
reward_scheme = SparseReward(rsi=rsi, window_size=10)
action_scheme = BuySellHoldActionSchemes(cash, asset)
action_scheme.attach(reward_scheme)
plotly = PlotlyTradingChart(display=True, height=700, save_format="html")
class EpisodeStopper(Stopper):
def stop(self, env: 'TradingEnv') -> bool:
return env.clock.num_steps > 1000
open_position = Stream.sensor(asset,
lambda a: asset.total_balance.as_float() > 0)
# open_position = Stream.sensor(
# action_scheme, lambda action_scheme: action_scheme.has_asset
# )
features.append(open_position)
feed = DataFeed(features)
feed.compile()
env = default.create(
portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
feed=feed,
renderer_feed=renderer_feed,
renderer=plotly,
window_size=20,
max_allowed_loss=0.5,
stopper=EpisodeStopper(),
callback=(LoggingCallback('http://165.227.193.153:8050', plotly)
if worker_index == 1 else None))
import logging
import os
LOGGER = logging.getLogger(__name__)
logging.basicConfig(
level=logging.INFO,
format=
'%(asctime)s - %(name)s [%(threadName)s] - %(levelname)s - %(message)s',
)
LOGGER.info('env created logger')
LOGGER.info(f'env: {os.environ}')
print(f'env: {os.environ}')
print('env created')
return env
"high",
"low",
"close",
"volume",
fillna=True)
df = df + 1 - 2 * df.min() # Make positive
log_and_diff(df, df.columns)
df.drop(0, inplace=True)
prices.drop(0, inplace=True)
# df.plot()
# plt.show()
# Process
# print(df[["open", "high", "low", "volume"]].head())
# # Setup trading env
coinbase = Exchange("coinbase", service=execute_order)(Stream.source(
prices["close"].tolist(), dtype="float").rename("USD-BTC"))
portfolio = Portfolio(
USD,
[Wallet(coinbase, 10000 * USD)],
)
with NameSpace("coinbase"):
streams = [
Stream.source(df[c].tolist(), dtype="float").rename(c)
for c in df.columns
]
feed = DataFeed(streams)
print(feed.next())
# # Screen log
def BinanceExchange(data):
exchange = Exchange("binance", service=execute_order)(Stream.source(
list(data['close']), dtype="float").rename("USD-BTC"))
return exchange
