import logging import random from abc import abstractmethod from enum import Enum from typing import Optional, Type, Union 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 BaseActions(Enum): """ Default action space, mostly used for type handling. """ Neutral = 0 Long_enter = 1 Long_exit = 2 Short_enter = 3 Short_exit = 4 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 = {}, live: bool = False, fee: float = 0.0015): """ Initializes the training/eval environment. :param df: dataframe of features :param prices: dataframe of prices to be used in the training environment :param window_size: size of window (temporal) to pass to the agent :param reward_kwargs: extra config settings assigned by user in `rl_config` :param starting_point: start at edge of window or not :param id: string id of the environment (used in backend for multiprocessed env) :param seed: Sets the seed of the environment higher in the gym.Env object :param config: Typical user configuration file :param live: Whether or not this environment is active in dry/live/backtesting :param fee: The fee to use for environmental interactions. """ self.config = config self.rl_config = config['freqai']['rl_config'] self.add_state_info = self.rl_config.get('add_state_info', False) self.id = id self.max_drawdown = 1 - self.rl_config.get('max_training_drawdown_pct', 0.8) self.compound_trades = config['stake_amount'] == 'unlimited' if self.config.get('fee', None) is not None: self.fee = self.config['fee'] else: self.fee = fee # set here to default 5Ac, but all children envs can override this self.actions: Type[Enum] = BaseActions self.tensorboard_metrics: dict = {} self.live = live if not self.live and self.add_state_info: self.add_state_info = False logger.warning("add_state_info is not available in backtesting. Deactivating.") self.seed(seed) self.reset_env(df, prices, window_size, reward_kwargs, starting_point) def reset_env(self, df: DataFrame, prices: DataFrame, window_size: int, reward_kwargs: dict, starting_point=True): """ Resets the environment when the agent fails (in our case, if the drawdown exceeds the user set max_training_drawdown_pct) :param df: dataframe of features :param prices: dataframe of prices to be used in the training environment :param window_size: size of window (temporal) to pass to the agent :param reward_kwargs: extra config settings assigned by user in `rl_config` :param starting_point: start at edge of window or not """ 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"] # # spaces if self.add_state_info: self.total_features = self.signal_features.shape[1] + 3 else: self.total_features = self.signal_features.shape[1] self.shape = (window_size, self.total_features) self.set_action_space() self.observation_space = spaces.Box( low=-1, high=1, 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 tensorboard_log(self, metric: str, value: Union[int, float] = 1, inc: bool = True): """ Function builds the tensorboard_metrics dictionary to be parsed by the TensorboardCallback. This function is designed for tracking incremented objects, events, actions inside the training environment. For example, a user can call this to track the frequency of occurence of an `is_valid` call in their `calculate_reward()`: def calculate_reward(self, action: int) -> float: if not self._is_valid(action): self.tensorboard_log("is_valid") return -2 :param metric: metric to be tracked and incremented :param value: value to increment `metric` by :param inc: sets whether the `value` is incremented or not """ if not inc or metric not in self.tensorboard_metrics: self.tensorboard_metrics[metric] = value else: self.tensorboard_metrics[metric] += value def reset_tensorboard_log(self): self.tensorboard_metrics = {} def reset(self): """ Reset is called at the beginning of every episode """ self.reset_tensorboard_log() self._done = False if self.starting_point is True: if self.rl_config.get('randomize_starting_position', False): length_of_data = int(self._end_tick / 4) start_tick = random.randint(self.window_size + 1, length_of_data) self._start_tick = start_tick 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] if self.add_state_info: 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 else: return features_window def get_trade_duration(self): """ Get the trade duration if the agent is in a trade """ if self._last_trade_tick is None: return 0 else: return self._current_tick - self._last_trade_tick def get_unrealized_profit(self): """ Get the unrealized profit if the agent is in a trade """ 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) -> bool: """ Determine if the signal is a trade signal. This is unique to the actions in the environment, and therefore must be inherited. """ return True def _is_valid(self, action: int) -> bool: """ Determine if the signal is valid.This is unique to the actions in the environment, and therefore must be inherited. """ return True 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: int) -> float: """ An example reward function. This is the one function that users will likely wish to inject their own creativity into. :param action: int = The action made by the agent for the current candle. :return: float = the reward to give to the agent for current step (used for optimization of weights in NN) """ 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 unit stake and compounding self._total_profit = self._total_profit * (1 + pnl) else: # assumes unit stake and no compounding self._total_profit += pnl def current_price(self) -> float: return self.prices.iloc[self._current_tick].open def get_actions(self) -> Type[Enum]: """ Used by SubprocVecEnv to get actions from initialized env for tensorboard callback """ return self.actions # Keeping around incase we want to start building more complex environment # templates in the future. # def most_recent_return(self): # """ # 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 update_portfolio_log_returns(self, action): # self.portfolio_log_returns[self._current_tick] = self.most_recent_return(action)