stable/freqtrade/freqai/RL/Base3ActionRLEnv.py

import logging
from enum import Enum

from gym import spaces

from freqtrade.freqai.RL.BaseEnvironment import BaseEnvironment, Positions


logger = logging.getLogger(__name__)


class Actions(Enum):
    Neutral = 0
    Buy = 1
    Sell = 2


class Base3ActionRLEnv(BaseEnvironment):
    """
    Base class for a 3 action environment
    """
    def __init__(self, **kwargs):
        super().__init__(**kwargs)
        self.actions = Actions

    def set_action_space(self):
        self.action_space = spaces.Discrete(len(Actions))

    def step(self, action: int):
        """
        Logic for a single step (incrementing one candle in time)
        by the agent
        :param: action: int = the action type that the agent plans
            to take for the current step.
        :returns:
            observation = current state of environment
            step_reward = the reward from `calculate_reward()`
            _done = if the agent "died" or if the candles finished
            info = dict passed back to openai gym lib
        """
        self._done = False
        self._current_tick += 1

        if self._current_tick == self._end_tick:
            self._done = True

        self._update_unrealized_total_profit()
        step_reward = self.calculate_reward(action)
        self.total_reward += step_reward
        self.tensorboard_log(self.actions._member_names_[action], category="actions")

        trade_type = None
        if self.is_tradesignal(action):
            if action == Actions.Buy.value:
                if self._position == Positions.Short:
                    self._update_total_profit()
                self._position = Positions.Long
                trade_type = "long"
                self._last_trade_tick = self._current_tick
            elif action == Actions.Sell.value and self.can_short:
                if self._position == Positions.Long:
                    self._update_total_profit()
                self._position = Positions.Short
                trade_type = "short"
                self._last_trade_tick = self._current_tick
            elif action == Actions.Sell.value and not self.can_short:
                self._update_total_profit()
                self._position = Positions.Neutral
                trade_type = "exit"
                self._last_trade_tick = None
            else:
                print("case not defined")

            if trade_type is not None:
                self.trade_history.append(
                    {'price': self.current_price(), 'index': self._current_tick,
                     'type': trade_type, 'profit': self.get_unrealized_profit()})

        if (self._total_profit < self.max_drawdown or
                self._total_unrealized_profit < self.max_drawdown):
            self._done = True

        self._position_history.append(self._position)

        info = dict(
            tick=self._current_tick,
            action=action,
            total_reward=self.total_reward,
            total_profit=self._total_profit,
            position=self._position.value,
            trade_duration=self.get_trade_duration(),
            current_profit_pct=self.get_unrealized_profit()
        )

        observation = self._get_observation()

        self._update_history(info)

        return observation, step_reward, self._done, info

    def is_tradesignal(self, action: int) -> bool:
        """
        Determine if the signal is a trade signal
        e.g.: agent wants a Actions.Buy while it is in a Positions.short
        """
        return (
            (action == Actions.Buy.value and self._position == Positions.Neutral)
            or (action == Actions.Sell.value and self._position == Positions.Long)
            or (action == Actions.Sell.value and self._position == Positions.Neutral
                and self.can_short)
            or (action == Actions.Buy.value and self._position == Positions.Short
                and self.can_short)
        )

    def _is_valid(self, action: int) -> bool:
        """
        Determine if the signal is valid.
        e.g.: agent wants a Actions.Sell while it is in a Positions.Long
        """
        if self.can_short:
            return action in [Actions.Buy.value, Actions.Sell.value, Actions.Neutral.value]
        else:
            if action == Actions.Sell.value and self._position != Positions.Long:
                return False
            return True