def test_get_reward(self, net_worths):
portfolio = Portfolio(USD)
performance = pd.DataFrame({'net_worth': net_worths})
portfolio._performance = performance
pct_chg = net_worths.pct_change()
reward_scheme = SimpleProfit()
assert reward_scheme.get_reward(portfolio) == pct_chg.iloc[
-1] # default window size 1
reward_scheme.window_size = 3
reward = ((1 + pct_chg.iloc[-1]) * (1 + pct_chg.iloc[-2]) *
(1 + pct_chg.iloc[-3])) - 1
assert reward_scheme.get_reward(portfolio) == reward
def test_reward_invalid_trade_type_input(self):
scheme = SimpleProfit()
scheme.reset()
# Create the first trade
trade_1 = Trade(0, "BTC", 1, 100, 1500)
trade_2 = Trade(2, "BTC", TradeType.LIMIT_SELL, 100, 1300)
scheme.get_reward(0, trade_1)
reward1 = scheme.get_reward(2, trade_2)
assert reward1 == -1015.5908812273915
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 test_raise_reward(self):
scheme = SimpleProfit()
scheme.reset()
# Create the first trade
trade_1 = Trade(0, "BTC", TradeType.LIMIT_BUY, 100, 1000)
trade_2 = Trade(2, "BTC", TradeType.LIMIT_SELL, 100, 1500)
scheme.get_reward(0, trade_1)
reward1 = scheme.get_reward(2, trade_2)
assert reward1 == 1926.0370135765718
def test_init_multiple_exchanges(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)
obs = env.reset()
assert obs.shape == (50, 32)
assert env.observation_space.shape == (50, 32)
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)
normalized_price = MinMaxNormalizer(price_columns)
normalized_volume = MinMaxNormalizer(volume_column)
sma = SimpleMovingAverage(columns=price_columns, window_size=50)
indicators = TAlibIndicator(
indicators=["EMA", "RSI", "CCI", "Stochastic", "MACD"],
lows=[30, -100, 20],
highs=[70, 100, 80])
difference_all = FractionalDifference(difference_order=0.6)
feature_pipeline = FeaturePipeline(steps=[
normalized_price, sma, difference_all, normalized_volume, indicators
])
exchange.feature_pipeline = feature_pipeline
# -------------------------- Action Schemes ------------------------#
action_scheme = DiscreteActions(n_actions=20, instrument='BTC/USD')
# -------------------------- Reward Schemes ------------------------#
reward_scheme = SimpleProfit()
# -------------------------- Live Exchange ------------------------#
# import ccxt
# from tensortrade.exchanges.live import CCXTExchange
# coinbase = ccxt.coinbasepro()
# exchange = CCXTExchange(exchange=coinbase, base_instrument='USD')
# -------------------------- Simulated Exchange ------------------------#
# df = pd.read_csv('./data/Coinbase_BTCUSD_1h.csv')
# exchange = SimulatedExchange(data_frame=df, base_instrument='USD',feature_pipeline=feature_pipeline)
# from tensortrade.exchanges.simulated import FBMExchange
# exchange = FBMExchange(base_instrument='BTC', timeframe='1h', feature_pipeline=feature_pipeline)
# #################### Creating an Environment ######################
environment = TradingEnvironment(exchange=exchange,
action_scheme=action_scheme,