def forward_v1(self, action_keys):
# Check trader.
self.trader.remove_invalid_positions()
self.trader.reset_reward()
# Init current prices.
stocks_price = []
# Here, action_sheet is like: [-1, 1, ..., -1, 0]
for index, code in enumerate(self.codes):
# Get Stock for current date with code.
action_code = action_keys[index]
action = self.trader.action_dic[ActionCode(action_code)]
try:
stock = self._get_origin_stock_data(code, self.current_date)
stock_next = self._get_origin_stock_data(code, self.next_date)
action(code, stock, 100, stock_next)
stocks_price.append(stock.close)
except KeyError:
stock_market_logger.info(
"Current date cannot trade for code: {}.".format(code))
# Update and return the next state.
self.trader.history_baseline_profits.append(
np.sum(np.multiply(self.stocks_holding_baseline, stocks_price)))
self.trader.history_profits.append(self.trader.profits +
self.trader.initial_cash)
try:
self.current_date, self.next_date = next(self.iter_dates), next(
self.iter_dates)
state_next = self._get_scaled_stock_data_as_state(
self.current_date)
return state_next, self.trader.reward, self.Running, self.trader.cur_action_status
except StopIteration:
state_next = self._get_scaled_stock_data_as_state(
self.current_date)
return state_next, self.trader.reward, self.Done, self.trader.cur_action_status
def buy(self, code, stock, amount, stock_next):
# Check if amount is valid.
amount = amount if self.cash > stock.close * amount else int(
math.floor(self.cash / stock.close))
# If amount > 0, means cash is enough.
if amount > 0:
# Check if position exists.
if not self._exist_position(code):
# Build position if possible.
position = Position(code, stock.close, amount,
stock_next.close)
self.positions.append(position)
else:
# Get position and update if possible.
position = self._get_position(code)
position.add(stock.close, amount, stock_next.close)
# Update cash and holding price.
self.cash -= amount * stock.close
self._update_reward(ActionCode.Buy, ActionStatus.Success, position)
stock_market_logger.info("Code: {0},"
" buy success,"
" cash: {1:.2f},"
" holding value:{2:.2f}".format(
code, self.cash, self.holdings_value))
else:
stock_market_logger.info(
"Code: {}, not enough cash, cannot buy.".format(code))
if self._exist_position(code):
# If position exists, update status.
position = self._get_position(code)
position.update_status(stock.close, stock_next.close)
self._update_reward(ActionCode.Buy, ActionStatus.Failed,
position)
def hold(self, code, stock, _, stock_next):
if not self._exist_position(code):
stock_market_logger.info(
"Code: {}, not exists in Positions, hold failed.")
return self._update_reward(ActionCode.Hold, ActionStatus.Failed,
None)
position = self._get_position(code)
position.update_status(stock.close, stock_next.close)
self._update_reward(ActionCode.Hold, ActionStatus.Success, position)
def hold(self, code, stock, _, stock_next):
if not self._exist_position(code):
stock_market_logger.info(
"Code: {}, not exists in Positions, hold failed.".format(code))
return self._update_reward(ActionCode.Hold, ActionStatus.Failed,
None)
position = self._get_position(code)
position.update_status(stock.close, stock_next.close)
self._update_reward(ActionCode.Hold, ActionStatus.Success, position)
stock_market_logger.info("Code: {0},"
" hold success,"
" cash: {1:.2f},"
" holding value:{2:.2f}".format(
code, self.cash, self.holdings_value))
def sell(self, code, stock, amount, stock_next):
# Check if position exists.
if not self._exist_position(code):
stock_market_logger.info(
"Code: {}, not exists in Positions, sell failed.".format(code))
return self._update_reward(ActionCode.Sell, ActionStatus.Failed,
None)
# Sell position if possible.
position = self._get_position(code)
amount = amount if amount < position.amount else position.amount
position.sub(stock.close, amount, stock_next.close)
# Update cash and holding price.
self.cash += amount * stock.close
self._update_reward(ActionCode.Sell, ActionStatus.Success, position)
def log_reward(self):
stock_market_logger.info("Reward: {}".format(self.reward))
