2022-08-15 08:26:44 +00:00
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import logging
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from typing import Any, Dict, Tuple
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import numpy as np
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import numpy.typing as npt
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import pandas as pd
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from pandas import DataFrame
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from abc import abstractmethod
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from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
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from freqtrade.freqai.freqai_interface import IFreqaiModel
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2022-08-15 10:13:37 +00:00
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from freqtrade.freqai.RL.Base3ActionRLEnv import Base3ActionRLEnv, Actions, Positions
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2022-08-15 08:26:44 +00:00
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from freqtrade.persistence import Trade
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2022-08-17 10:51:14 +00:00
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import torch.multiprocessing
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import torch as th
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2022-08-15 08:26:44 +00:00
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logger = logging.getLogger(__name__)
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2022-08-17 10:51:14 +00:00
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th.set_num_threads(8)
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torch.multiprocessing.set_sharing_strategy('file_system')
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2022-08-15 08:26:44 +00:00
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class BaseReinforcementLearningModel(IFreqaiModel):
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"""
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User created Reinforcement Learning Model prediction model.
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"""
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def train(
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self, unfiltered_dataframe: DataFrame, pair: str, dk: FreqaiDataKitchen
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) -> Any:
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"""
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Filter the training data and train a model to it. Train makes heavy use of the datakitchen
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for storing, saving, loading, and analyzing the data.
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:param unfiltered_dataframe: Full dataframe for the current training period
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:param metadata: pair metadata from strategy.
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:returns:
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:model: Trained model which can be used to inference (self.predict)
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"""
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logger.info("--------------------Starting training " f"{pair} --------------------")
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# filter the features requested by user in the configuration file and elegantly handle NaNs
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features_filtered, labels_filtered = dk.filter_features(
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unfiltered_dataframe,
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dk.training_features_list,
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dk.label_list,
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training_filter=True,
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)
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data_dictionary: Dict[str, Any] = dk.make_train_test_datasets(
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features_filtered, labels_filtered)
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dk.fit_labels() # useless for now, but just satiating append methods
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# normalize all data based on train_dataset only
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prices_train, prices_test = self.build_ohlc_price_dataframes(dk.data_dictionary, pair, dk)
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data_dictionary = dk.normalize_data(data_dictionary)
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# optional additional data cleaning/analysis
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self.data_cleaning_train(dk)
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logger.info(
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f'Training model on {len(dk.data_dictionary["train_features"].columns)}' " features"
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)
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logger.info(f'Training model on {len(data_dictionary["train_features"])} data points')
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2022-08-17 10:51:14 +00:00
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model = self.fit_rl(data_dictionary, pair, dk, prices_train, prices_test)
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if pair not in self.dd.historic_predictions:
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self.set_initial_historic_predictions(
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data_dictionary['train_features'], model, dk, pair)
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self.dd.save_historic_predictions_to_disk()
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logger.info(f"--------------------done training {pair}--------------------")
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return model
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@abstractmethod
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def fit_rl(self, data_dictionary: Dict[str, Any], pair: str, dk: FreqaiDataKitchen,
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prices_train: DataFrame, prices_test: DataFrame):
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2022-08-15 08:26:44 +00:00
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"""
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Agent customizations and abstract Reinforcement Learning customizations
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go in here. Abstract method, so this function must be overridden by
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user class.
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"""
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return
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def get_state_info(self, pair):
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open_trades = Trade.get_trades(trade_filter=Trade.is_open.is_(True))
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market_side = 0.5
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current_profit = 0
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for trade in open_trades:
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if trade.pair == pair:
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current_value = trade.open_trade_value
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openrate = trade.open_rate
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if 'long' in trade.enter_tag:
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market_side = 1
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else:
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market_side = 0
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current_profit = current_value / openrate - 1
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total_profit = 0
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closed_trades = Trade.get_trades(
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trade_filter=[Trade.is_open.is_(False), Trade.pair == pair])
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for trade in closed_trades:
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total_profit += trade.close_profit
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return market_side, current_profit, total_profit
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def predict(
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self, unfiltered_dataframe: DataFrame, dk: FreqaiDataKitchen, first: bool = False
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) -> Tuple[DataFrame, npt.NDArray[np.int_]]:
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"""
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Filter the prediction features data and predict with it.
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:param: unfiltered_dataframe: Full dataframe for the current backtest period.
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:return:
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:pred_df: dataframe containing the predictions
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:do_predict: np.array of 1s and 0s to indicate places where freqai needed to remove
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data (NaNs) or felt uncertain about data (PCA and DI index)
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"""
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dk.find_features(unfiltered_dataframe)
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filtered_dataframe, _ = dk.filter_features(
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unfiltered_dataframe, dk.training_features_list, training_filter=False
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)
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filtered_dataframe = dk.normalize_data_from_metadata(filtered_dataframe)
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dk.data_dictionary["prediction_features"] = filtered_dataframe
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# optional additional data cleaning/analysis
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self.data_cleaning_predict(dk, filtered_dataframe)
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pred_df = self.rl_model_predict(dk.data_dictionary["prediction_features"], dk, self.model)
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pred_df.fillna(0, inplace=True)
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return (pred_df, dk.do_predict)
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def rl_model_predict(self, dataframe: DataFrame,
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dk: FreqaiDataKitchen, model: Any) -> DataFrame:
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output = pd.DataFrame(np.full((len(dataframe), 1), 2), columns=dk.label_list)
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def _predict(window):
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observations = dataframe.iloc[window.index]
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res, _ = model.predict(observations, deterministic=True)
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return res
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output = output.rolling(window=self.CONV_WIDTH).apply(_predict)
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return output
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2022-08-17 10:51:14 +00:00
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def build_ohlc_price_dataframes(self, data_dictionary: dict,
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pair: str, dk: FreqaiDataKitchen) -> Tuple[DataFrame,
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DataFrame]:
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"""
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Builds the train prices and test prices for the environment.
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"""
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coin = pair.split('/')[0]
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train_df = data_dictionary["train_features"]
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test_df = data_dictionary["test_features"]
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# price data for model training and evaluation
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tf = self.config['timeframe']
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ohlc_list = [f'%-{coin}raw_open_{tf}', f'%-{coin}raw_low_{tf}',
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f'%-{coin}raw_high_{tf}', f'%-{coin}raw_close_{tf}']
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rename_dict = {f'%-{coin}raw_open_{tf}': 'open', f'%-{coin}raw_low_{tf}': 'low',
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f'%-{coin}raw_high_{tf}': ' high', f'%-{coin}raw_close_{tf}': 'close'}
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prices_train = train_df.filter(ohlc_list, axis=1)
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prices_train.rename(columns=rename_dict, inplace=True)
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prices_train.reset_index(drop=True)
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prices_test = test_df.filter(ohlc_list, axis=1)
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prices_test.rename(columns=rename_dict, inplace=True)
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prices_test.reset_index(drop=True)
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return prices_train, prices_test
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def set_initial_historic_predictions(
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self, df: DataFrame, model: Any, dk: FreqaiDataKitchen, pair: str
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) -> None:
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pred_df = self.rl_model_predict(df, dk, model)
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pred_df.fillna(0, inplace=True)
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self.dd.historic_predictions[pair] = pred_df
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hist_preds_df = self.dd.historic_predictions[pair]
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for label in hist_preds_df.columns:
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if hist_preds_df[label].dtype == object:
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continue
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hist_preds_df[f'{label}_mean'] = 0
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hist_preds_df[f'{label}_std'] = 0
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hist_preds_df['do_predict'] = 0
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if self.freqai_info['feature_parameters'].get('DI_threshold', 0) > 0:
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hist_preds_df['DI_values'] = 0
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for return_str in dk.data['extra_returns_per_train']:
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hist_preds_df[return_str] = 0
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2022-08-15 16:01:15 +00:00
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# TODO take care of this appendage. Right now it needs to be called because FreqAI enforces it.
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# But FreqaiRL needs more objects passed to fit() (like DK) and we dont want to go refactor
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# all the other existing fit() functions to include dk argument. For now we instantiate and
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# leave it.
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def fit(self, data_dictionary: Dict[str, Any], pair: str = '') -> Any:
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"""
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Most regressors use the same function names and arguments e.g. user
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can drop in LGBMRegressor in place of CatBoostRegressor and all data
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management will be properly handled by Freqai.
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:param data_dictionary: Dict = the dictionary constructed by DataHandler to hold
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all the training and test data/labels.
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"""
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return
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2022-08-15 10:13:37 +00:00
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class MyRLEnv(Base3ActionRLEnv):
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def step(self, action):
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self._done = False
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self._current_tick += 1
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if self._current_tick == self._end_tick:
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self._done = True
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self.update_portfolio_log_returns(action)
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self._update_profit(action)
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step_reward = self._calculate_reward(action)
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self.total_reward += step_reward
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trade_type = None
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if self.is_tradesignal(action): # exclude 3 case not trade
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# Update position
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"""
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Action: Neutral, position: Long -> Close Long
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Action: Neutral, position: Short -> Close Short
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Action: Long, position: Neutral -> Open Long
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Action: Long, position: Short -> Close Short and Open Long
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Action: Short, position: Neutral -> Open Short
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Action: Short, position: Long -> Close Long and Open Short
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"""
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if action == Actions.Neutral.value:
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self._position = Positions.Neutral
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trade_type = "neutral"
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elif action == Actions.Long.value:
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self._position = Positions.Long
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trade_type = "long"
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elif action == Actions.Short.value:
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self._position = Positions.Short
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trade_type = "short"
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else:
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print("case not defined")
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# Update last trade tick
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self._last_trade_tick = self._current_tick
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if trade_type is not None:
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self.trade_history.append(
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{'price': self.current_price(), 'index': self._current_tick,
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'type': trade_type})
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if self._total_profit < 0.2:
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self._done = True
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self._position_history.append(self._position)
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observation = self._get_observation()
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info = dict(
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tick=self._current_tick,
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total_reward=self.total_reward,
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total_profit=self._total_profit,
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position=self._position.value
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)
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self._update_history(info)
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return observation, step_reward, self._done, info
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