stable/freqtrade/freqai/RL/BaseEnvironment.py

import logging
from abc import abstractmethod
from enum import Enum
from typing import Optional

import gym
import numpy as np
import pandas as pd
from gym import spaces
from gym.utils import seeding
from pandas import DataFrame


logger = logging.getLogger(__name__)


class Positions(Enum):
    Short = 0
    Long = 1
    Neutral = 0.5

    def opposite(self):
        return Positions.Short if self == Positions.Long else Positions.Long


class BaseEnvironment(gym.Env):
    """
    Base class for environments. This class is agnostic to action count.
    Inherited classes customize this to include varying action counts/types,
    See RL/Base5ActionRLEnv.py and RL/Base4ActionRLEnv.py
    """

    def __init__(self, df: DataFrame = DataFrame(), prices: DataFrame = DataFrame(),
                 reward_kwargs: dict = {}, window_size=10, starting_point=True,
                 id: str = 'baseenv-1', seed: int = 1, config: dict = {}):

        self.rl_config = config['freqai']['rl_config']
        self.id = id
        self.seed(seed)
        self.reset_env(df, prices, window_size, reward_kwargs, starting_point)
        self.max_drawdown = 1 - self.rl_config.get('max_training_drawdown_pct', 0.8)
        self.compound_trades = config['stake_amount'] == 'unlimited'

    def reset_env(self, df: DataFrame, prices: DataFrame, window_size: int,
                  reward_kwargs: dict, starting_point=True):
        self.df = df
        self.signal_features = self.df
        self.prices = prices
        self.window_size = window_size
        self.starting_point = starting_point
        self.rr = reward_kwargs["rr"]
        self.profit_aim = reward_kwargs["profit_aim"]

        self.fee = 0.0015

        # # spaces
        self.shape = (window_size, self.signal_features.shape[1] + 3)
        self.set_action_space()
        self.observation_space = spaces.Box(
            low=-np.inf, high=np.inf, shape=self.shape, dtype=np.float32)

        # episode
        self._start_tick: int = self.window_size
        self._end_tick: int = len(self.prices) - 1
        self._done: bool = False
        self._current_tick: int = self._start_tick
        self._last_trade_tick: Optional[int] = None
        self._position = Positions.Neutral
        self._position_history: list = [None]
        self.total_reward: float = 0
        self._total_profit: float = 1
        self._total_unrealized_profit: float = 1
        self.history: dict = {}
        self.trade_history: list = []

    @abstractmethod
    def set_action_space(self):
        """
        Unique to the environment action count. Must be inherited.
        """

    def seed(self, seed: int = 1):
        self.np_random, seed = seeding.np_random(seed)
        return [seed]

    def reset(self):

        self._done = False

        if self.starting_point is True:
            self._position_history = (self._start_tick * [None]) + [self._position]
        else:
            self._position_history = (self.window_size * [None]) + [self._position]

        self._current_tick = self._start_tick
        self._last_trade_tick = None
        self._position = Positions.Neutral

        self.total_reward = 0.
        self._total_profit = 1.  # unit
        self.history = {}
        self.trade_history = []
        self.portfolio_log_returns = np.zeros(len(self.prices))

        self._profits = [(self._start_tick, 1)]
        self.close_trade_profit = []
        self._total_unrealized_profit = 1

        return self._get_observation()

    @abstractmethod
    def step(self, action: int):
        """
        Step depeneds on action types, this must be inherited.
        """
        return

    def _get_observation(self):
        """
        This may or may not be independent of action types, user can inherit
        this in their custom "MyRLEnv"
        """
        features_window = self.signal_features[(
            self._current_tick - self.window_size):self._current_tick]
        features_and_state = DataFrame(np.zeros((len(features_window), 3)),
                                       columns=['current_profit_pct', 'position', 'trade_duration'],
                                       index=features_window.index)

        features_and_state['current_profit_pct'] = self.get_unrealized_profit()
        features_and_state['position'] = self._position.value
        features_and_state['trade_duration'] = self.get_trade_duration()
        features_and_state = pd.concat([features_window, features_and_state], axis=1)
        return features_and_state

    def get_trade_duration(self):
        if self._last_trade_tick is None:
            return 0
        else:
            return self._current_tick - self._last_trade_tick

    def get_unrealized_profit(self):

        if self._last_trade_tick is None:
            return 0.

        if self._position == Positions.Neutral:
            return 0.
        elif self._position == Positions.Short:
            current_price = self.add_entry_fee(self.prices.iloc[self._current_tick].open)
            last_trade_price = self.add_exit_fee(self.prices.iloc[self._last_trade_tick].open)
            return (last_trade_price - current_price) / last_trade_price
        elif self._position == Positions.Long:
            current_price = self.add_exit_fee(self.prices.iloc[self._current_tick].open)
            last_trade_price = self.add_entry_fee(self.prices.iloc[self._last_trade_tick].open)
            return (current_price - last_trade_price) / last_trade_price
        else:
            return 0.

    @abstractmethod
    def is_tradesignal(self, action: int):
        # trade signal
        """
        Determine if the signal is a trade signal. This is
        unique to the actions in the environment, and therefore must be
        inherited.
        """
        return

    def _is_valid(self, action: int):
        # trade signal
        """
        Determine if the signal is valid.This is
        unique to the actions in the environment, and therefore must be
        inherited.
        """
        return

    def add_entry_fee(self, price):
        return price * (1 + self.fee)

    def add_exit_fee(self, price):
        return price / (1 + self.fee)

    def _update_history(self, info):
        if not self.history:
            self.history = {key: [] for key in info.keys()}

        for key, value in info.items():
            self.history[key].append(value)

    @abstractmethod
    def calculate_reward(self, action):
        """
        Reward is created by BaseReinforcementLearningModel and can
        be inherited/edited by the user made ReinforcementLearner file.
        """

        return 0.

    def _update_unrealized_total_profit(self):
        """
        Update the unrealized total profit incase of episode end.
        """
        if self._position in (Positions.Long, Positions.Short):
            pnl = self.get_unrealized_profit()
            if self.compound_trades:
                # assumes unit stake and compounding
                unrl_profit = self._total_profit * (1 + pnl)
            else:
                # assumes unit stake and no compounding
                unrl_profit = self._total_profit + pnl
            self._total_unrealized_profit = unrl_profit

    def _update_total_profit(self):
        pnl = self.get_unrealized_profit()
        if self.compound_trades:
            # assumes unite stake and compounding
            self._total_profit = self._total_profit * (1 + pnl)
        else:
            # assumes unit stake and no compounding
            self._total_profit += pnl

    def most_recent_return(self, action: int):
        """
        Calculate the tick to tick return if in a trade.
        Return is generated from rising prices in Long
        and falling prices in Short positions.
        The actions Sell/Buy or Hold during a Long position trigger the sell/buy-fee.
        """
        # Long positions
        if self._position == Positions.Long:
            current_price = self.prices.iloc[self._current_tick].open
            previous_price = self.prices.iloc[self._current_tick - 1].open

            if (self._position_history[self._current_tick - 1] == Positions.Short
                    or self._position_history[self._current_tick - 1] == Positions.Neutral):
                previous_price = self.add_entry_fee(previous_price)

            return np.log(current_price) - np.log(previous_price)

        # Short positions
        if self._position == Positions.Short:
            current_price = self.prices.iloc[self._current_tick].open
            previous_price = self.prices.iloc[self._current_tick - 1].open
            if (self._position_history[self._current_tick - 1] == Positions.Long
                    or self._position_history[self._current_tick - 1] == Positions.Neutral):
                previous_price = self.add_exit_fee(previous_price)

            return np.log(previous_price) - np.log(current_price)

        return 0

    def get_portfolio_log_returns(self):
        return self.portfolio_log_returns[1:self._current_tick + 1]

    def update_portfolio_log_returns(self, action):
        self.portfolio_log_returns[self._current_tick] = self.most_recent_return(action)

    def current_price(self) -> float:
        return self.prices.iloc[self._current_tick].open

    def prev_price(self) -> float:
        return self.prices.iloc[self._current_tick - 1].open

    def sharpe_ratio(self):
        if len(self.close_trade_profit) == 0:
            return 0.
        returns = np.array(self.close_trade_profit)
        reward = (np.mean(returns) - 0. + 1e-9) / (np.std(returns) + 1e-9)
        return reward