diff --git a/freqtrade/freqai/RL/Base3ActionRLEnv.py b/freqtrade/freqai/RL/Base3ActionRLEnv.py index 443ce7025..5e8bff024 100644 --- a/freqtrade/freqai/RL/Base3ActionRLEnv.py +++ b/freqtrade/freqai/RL/Base3ActionRLEnv.py @@ -35,10 +35,12 @@ class Base3ActionRLEnv(gym.Env): metadata = {'render.modes': ['human']} - def __init__(self, df, prices, reward_kwargs, window_size=10, starting_point=True, ): + def __init__(self, df, prices, reward_kwargs, window_size=10, starting_point=True, + id: str = 'baseenv-1', seed: int = 1): assert df.ndim == 2 - self.seed() + self.id = id + self.seed(seed) self.df = df self.signal_features = self.df self.prices = prices diff --git a/freqtrade/freqai/prediction_models/ReinforcementLearningPPO_multiproc.py b/freqtrade/freqai/prediction_models/ReinforcementLearningPPO_multiproc.py new file mode 100644 index 000000000..1b2873334 --- /dev/null +++ b/freqtrade/freqai/prediction_models/ReinforcementLearningPPO_multiproc.py @@ -0,0 +1,114 @@ +import logging +from typing import Any, Dict # , Tuple + +import numpy as np +# import numpy.typing as npt +# import pandas as pd +import torch as th +# from pandas import DataFrame +from typing import Callable +from stable_baselines3 import PPO +from stable_baselines3.common.callbacks import EvalCallback +from stable_baselines3.common.vec_env import SubprocVecEnv +from stable_baselines3.common.utils import set_random_seed +from freqtrade.freqai.RL.Base3ActionRLEnv import Base3ActionRLEnv, Actions, Positions +from freqtrade.freqai.RL.BaseReinforcementLearningModel import BaseReinforcementLearningModel +import gym +logger = logging.getLogger(__name__) + + +def make_env(env_id: str, rank: int, seed: int, train_df, price, + reward_params, window_size) -> Callable: + """ + Utility function for multiprocessed env. + + :param env_id: (str) the environment ID + :param num_env: (int) the number of environment you wish to have in subprocesses + :param seed: (int) the inital seed for RNG + :param rank: (int) index of the subprocess + :return: (Callable) + """ + def _init() -> gym.Env: + + env = MyRLEnv(df=train_df, prices=price, window_size=window_size, + reward_kwargs=reward_params, id=env_id, seed=seed + rank) + return env + set_random_seed(seed) + return _init + + +class ReinforcementLearningPPO_multiproc(BaseReinforcementLearningModel): + """ + User created Reinforcement Learning Model prediction model. + """ + + def fit(self, data_dictionary: Dict[str, Any], pair: str = ''): + + agent_params = self.freqai_info['model_training_parameters'] + reward_params = self.freqai_info['model_reward_parameters'] + train_df = data_dictionary["train_features"] + test_df = data_dictionary["test_features"] + eval_freq = agent_params.get("eval_cycles", 4) * len(test_df) + total_timesteps = agent_params["train_cycles"] * len(train_df) + + # price data for model training and evaluation + price = self.dd.historic_data[pair][f"{self.config['timeframe']}"].tail(len(train_df.index)) + price_test = self.dd.historic_data[pair][f"{self.config['timeframe']}"].tail( + len(test_df.index)) + + env_id = "CartPole-v1" + num_cpu = 4 + train_env = SubprocVecEnv([make_env(env_id, i, 1, train_df, price, reward_params, + self.CONV_WIDTH) for i in range(num_cpu)]) + + eval_env = SubprocVecEnv([make_env(env_id, i, 1, test_df, price_test, reward_params, + self.CONV_WIDTH) for i in range(num_cpu)]) + + path = self.dk.data_path + eval_callback = EvalCallback(eval_env, best_model_save_path=f"{path}/", + log_path=f"{path}/ppo/logs/", eval_freq=int(eval_freq), + deterministic=True, render=False) + + # model arch + policy_kwargs = dict(activation_fn=th.nn.ReLU, + net_arch=[256, 256, 128]) + + model = PPO('MlpPolicy', train_env, policy_kwargs=policy_kwargs, + tensorboard_log=f"{path}/ppo/tensorboard/", learning_rate=0.00025, gamma=0.9, verbose=1 + ) + + model.learn( + total_timesteps=int(total_timesteps), + callback=eval_callback + ) + + print('Training finished!') + + return model + + +class MyRLEnv(Base3ActionRLEnv): + """ + User can override any function in BaseRLEnv and gym.Env + """ + + def calculate_reward(self, action): + + if self._last_trade_tick is None: + return 0. + + # close long + if (action == Actions.Short.value or + action == Actions.Neutral.value) and self._position == Positions.Long: + last_trade_price = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open) + current_price = self.add_sell_fee(self.prices.iloc[self._current_tick].open) + return float(np.log(current_price) - np.log(last_trade_price)) + + # close short + if (action == Actions.Long.value or + action == Actions.Neutral.value) and self._position == Positions.Short: + last_trade_price = self.add_sell_fee(self.prices.iloc[self._last_trade_tick].open) + current_price = self.add_buy_fee(self.prices.iloc[self._current_tick].open) + return float(np.log(last_trade_price) - np.log(current_price)) + + return 0.