class Broker:
def __init__(self, ticker, starting_balance, trade_pct, fee_pct, tick_size):
self._ticker = ticker
self._tick_size = tick_size
self._starting_balance = starting_balance
self._trade_pct = trade_pct
self._fee_pct = fee_pct
self.reset()
self._ticks_per_state = 14
starting_ticks = self._ticker.get_bulk(self._ticks_per_state, groups=self._tick_size)
self._trader = Trader(starting_ticks, self._starting_balance)
self.num_states = self._trader.num_states
self.num_actions = 4
def reset(self):
self._position = None
self._balance = self._starting_balance
self._closed_trades = []
self._last_tick = self._ticker.last_tick
self._current_reward = 0
def update(self, action):
self._current_reward = 0
self._last_tick, is_complete = self._ticker.get_next(groups=self._tick_size)
price = self._last_tick['Close']
if self._balance < 1 or is_complete:
return True, None, 0, None
if action > 1: # 2=BUY 3=SELL
quantity = (1 / price) * (self._trade_pct * self._balance)
self._trade(quantity, price, 'buy' if action == 2 else 'sell')
elif action == 1: # 1=CLOSE
self._close(price)
elif action == 0: # 2=HOLD
self._hold(price)
state = self._trader.get_state(self._position, self._last_tick, self._balance)
stats = self.get_stats(price)
return False, state, self._current_reward, stats
def get_stats(self, price):
profits = [i.profit for i in self._closed_trades]
pcts = [i.current_profit_pct(i.close) for i in self._closed_trades]
avg_profit = sum(pcts) / len(pcts) if len(pcts) > 0 else 0
max_profit = max(profits) if len(profits) > 0 else 0
min_profit = min(profits) if len(profits) > 0 else 0
current_pct = self._position.current_profit_pct(price) if self._position else 0
currentPos = {
'pos': self._position.buy_sell,
'open': self._position.open,
'quantity': self._position.quantity,
'pnlPct': current_pct
} if self._position else None
return {
'maxWin': max_profit,
'maxLoss': min_profit,
'avgProfitPct': avg_profit,
'balance': self._balance,
'currentPosition': currentPos,
'currentPrice': price
}
def _trade(self, quantity, price, buy_sell):
if self._position:
if self._position.buy_sell != buy_sell:
self._close(price)
else:
self._current_reward = -1.0
return
self._position = Position(quantity, price, buy_sell, self._fee_pct)
self._balance -= self._position.cost
def _close(self, price):
if not self._position:
self._current_reward = -1.0
return
self._current_reward = self._position.current_profit_pct(price) * 100.0
self._position.close_position(price)
self._balance += self._position.revenue
self._closed_trades.append(self._position)
self._position = None
def _hold(self, price):
if not self._position:
return
