from pythia.core.agents.analytical_agent import AnalyticalAgent
from pythia.core.environment.exchange_trading_environment import ExchangeTradingEnvironment
from pythia.core.sessions.rates_exchange_session import RatesExchangeSession
from pythia.core.streams.shape_shift_rates import ShapeShiftRates, SUPPORTED_COINS
from pythia.core.utils.profiling import clock_block
from pythia.core.visualization.coin_exchange_visualizer import CoinExchangeVisualizer
targets = list(SUPPORTED_COINS)
targets.remove("BTC")
agent = AnalyticalAgent('0.1', '0', 2, targets)
if __name__ == '__main__':
path = "../data/recordings/2018-02-28-shapeshift-exchange-records.json" if len(
sys.argv) == 1 else sys.argv[0]
with open(path) as stream:
with clock_block("Initialization"):
rates = ShapeShiftRates(stream, preload=True)
vis = CoinExchangeVisualizer(rates)
env = ExchangeTradingEnvironment(rates, "BTC", "0.1")
env.register_listener(vis.record_exchange)
sess = RatesExchangeSession(env, agent)
with clock_block("Running"):
sess.run()
print("The analytical agent crated a token difference of: {0}".format(
sess.difference()))
print("Current balance: {0} {1}".format(env.amount, env.token))
print("Exchange actions: {0}".format(vis.actions))
rates.reset()
def run_shares_dqn_regression_model(holding_tokens,
buying_tokens,
starting_balance,
window,
hidden_layers,
learning_rate,
memory_size,
epsilon_episode_start,
num_steps,
gamma,
alpha,
episodes,
output_dir=None):
token_h = "CURRENCY" if holding_tokens is None else os.path.basename(holding_tokens)
token_b = os.path.basename(buying_tokens)
open_fn = open
if buying_tokens.startswith("gs://"):
open_fn = lambda name: file_io.FileIO(name, 'r')
with open_fn(buying_tokens) as stream, tf.Session() as sess:
with clock_block("Initialization"):
rates = ShareRates(Symbol(token_b, stream))
env = ExchangeTradingAiEnvironment(rates, token_h, starting_balance, window, {1: token_h, 2: token_b},
TotalBalanceReward())
model = QRegressionModel(3 + window * 2, hidden_layers, learning_rate)
saver, ckpt = None, None
if output_dir is not None:
saver, ckpt = tf.train.Saver(), os.path.join(output_dir, "model.ckpt")
if ckpt is not None and tf.train.checkpoint_exists(ckpt):
saver.restore(sess, ckpt)
Q = QNeuronal(model, n=3, memory_size=memory_size)
episode = 0
policy = NormalEpsilonGreedyPolicy(lambda: epsilon_episode_start / (episode + 1), ActionFilter(env))
agent = TDAgent(policy, Q, num_steps, gamma, alpha)
rates_sess = RatesExchangeSession(env, agent)
for e in range(episodes):
episode = e
with clock_block("Running"):
rates_sess.run()
print("Episode {} finished.".format(episode))
print("The td agent crated a token difference of: {0}".format(rates_sess.difference()))
if output_dir is not None:
saver.save(sess, ckpt)
with clock_block("Evaluation"):
diff = 0.0
for _ in range(EVAL_STEPS):
rates_sess.run()
diff += float(rates_sess.difference())
effectiveness = diff / float(EVAL_STEPS)
if output_dir is not None:
summary = Summary(value=[Summary.Value(tag="effectiveness", simple_value=effectiveness)])
eval_path = os.path.join(output_dir, "effectiveness")
summary_writer = tf.summary.FileWriter(eval_path)
summary_writer.add_summary(summary)
summary_writer.flush()
print("Current balance: {0} {1}".format(env.amount, env.token))
print("Effectiveness: {0}".format(effectiveness))
rates = DataFrameStream(train, name=TOKEN)
vis = CoinExchangeVisualizer(rates)
env_train = ExchangeTradingEnvironment(
rates,
CASH_TOKEN,
start_amount=1000,
window=201,
state_transform=DQTRatioStateTransformer(exchange),
reward_calculator=DQTRewardCalc(100, exchange))
env_train.register_listener(vis.record_exchange)
agent = DQTAgent(build_model, [CASH_TOKEN, None, TOKEN], 1, 0.85, 64, 64,
tau)
sess_train = RatesExchangeSession(env_train, agent)
for e in range(TRAIN_EPISODES):
with clock_block("Running"):
sess_train.run()
print("Training episode {} finished.".format(e))
print("Token difference after training: {0}".format(
sess_train.difference()))
#vis.render(exchange)
env_test = ExchangeTradingEnvironment(
DataFrameStream(test, name=TOKEN),
CASH_TOKEN,
start_amount=1000,
window=201,
state_transform=DQTRatioStateTransformer(exchange),
reward_calculator=DQTRewardCalc(100, exchange))
sess_test = RatesExchangeSession(env_test, agent)
with clock_block("Testing"):
def test_clocking_time_in_with_block():
log = PrintSpy()
with clock_block("Block name", log):
time.sleep(0.1)
assert log.received_string.startswith("Block name execution time: 0.")