import logging from abc import abstractmethod from datetime import datetime, timezone from pathlib import Path from typing import Any, Callable, Dict, Tuple, Type, Union import gym import numpy as np import numpy.typing as npt import pandas as pd import torch as th import torch.multiprocessing from pandas import DataFrame from stable_baselines3.common.callbacks import EvalCallback from stable_baselines3.common.monitor import Monitor from stable_baselines3.common.utils import set_random_seed from stable_baselines3.common.vec_env import SubprocVecEnv from freqtrade.exceptions import OperationalException from freqtrade.freqai.data_kitchen import FreqaiDataKitchen from freqtrade.freqai.freqai_interface import IFreqaiModel from freqtrade.freqai.RL.Base5ActionRLEnv import Actions, Base5ActionRLEnv from freqtrade.freqai.RL.BaseEnvironment import Positions from freqtrade.persistence import Trade logger = logging.getLogger(__name__) torch.multiprocessing.set_sharing_strategy('file_system') SB3_MODELS = ['PPO', 'A2C', 'DQN'] SB3_CONTRIB_MODELS = ['TRPO', 'ARS', 'RecurrentPPO', 'MaskablePPO'] class BaseReinforcementLearningModel(IFreqaiModel): """ User created Reinforcement Learning Model prediction class """ def __init__(self, **kwargs): super().__init__(config=kwargs['config']) self.max_threads = min(self.freqai_info['rl_config'].get( 'cpu_count', 1), max(int(self.max_system_threads / 2), 1)) th.set_num_threads(self.max_threads) self.reward_params = self.freqai_info['rl_config']['model_reward_parameters'] self.train_env: Union[SubprocVecEnv, gym.Env] = None self.eval_env: Union[SubprocVecEnv, gym.Env] = None self.eval_callback: EvalCallback = None self.model_type = self.freqai_info['rl_config']['model_type'] self.rl_config = self.freqai_info['rl_config'] self.continual_learning = self.freqai_info.get('continual_learning', False) if self.model_type in SB3_MODELS: import_str = 'stable_baselines3' elif self.model_type in SB3_CONTRIB_MODELS: import_str = 'sb3_contrib' else: raise OperationalException(f'{self.model_type} not available in stable_baselines3 or ' f'sb3_contrib. please choose one of {SB3_MODELS} or ' f'{SB3_CONTRIB_MODELS}') mod = __import__(import_str, fromlist=[ self.model_type]) self.MODELCLASS = getattr(mod, self.model_type) self.policy_type = self.freqai_info['rl_config']['policy_type'] self.unset_outlier_removal() def unset_outlier_removal(self): """ If user has activated any function that may remove training points, this function will set them to false and warn them """ if self.ft_params.get('use_SVM_to_remove_outliers', False): self.ft_params.update({'use_SVM_to_remove_outliers': False}) logger.warning('User tried to use SVM with RL. Deactivating SVM.') if self.ft_params.get('use_DBSCAN_to_remove_outliers', False): self.ft_params.update({'use_SVM_to_remove_outliers': False}) logger.warning('User tried to use DBSCAN with RL. Deactivating DBSCAN.') if self.freqai_info['data_split_parameters'].get('shuffle', False): self.freqai_info['data_split_parameters'].update('shuffle', False) logger.warning('User tried to shuffle training data. Setting shuffle to False') def train( self, unfiltered_df: DataFrame, pair: str, dk: FreqaiDataKitchen, **kwargs ) -> Any: """ Filter the training data and train a model to it. Train makes heavy use of the datakitchen for storing, saving, loading, and analyzing the data. :param unfiltered_df: Full dataframe for the current training period :param metadata: pair metadata from strategy. :returns: :model: Trained model which can be used to inference (self.predict) """ logger.info("--------------------Starting training " f"{pair} --------------------") features_filtered, labels_filtered = dk.filter_features( unfiltered_df, dk.training_features_list, dk.label_list, training_filter=True, ) data_dictionary: Dict[str, Any] = dk.make_train_test_datasets( features_filtered, labels_filtered) dk.fit_labels() # FIXME useless for now, but just satiating append methods # normalize all data based on train_dataset only prices_train, prices_test = self.build_ohlc_price_dataframes(dk.data_dictionary, pair, dk) data_dictionary = dk.normalize_data(data_dictionary) # data cleaning/analysis self.data_cleaning_train(dk) logger.info( f'Training model on {len(dk.data_dictionary["train_features"].columns)}' f' features and {len(data_dictionary["train_features"])} data points' ) self.set_train_and_eval_environments(data_dictionary, prices_train, prices_test, dk) model = self.fit(data_dictionary, dk) logger.info(f"--------------------done training {pair}--------------------") return model def set_train_and_eval_environments(self, data_dictionary: Dict[str, DataFrame], prices_train: DataFrame, prices_test: DataFrame, dk: FreqaiDataKitchen): """ User can override this if they are using a custom MyRLEnv :params: data_dictionary: dict = common data dictionary containing train and test features/labels/weights. prices_train/test: DataFrame = dataframe comprised of the prices to be used in the environment during training or testing dk: FreqaiDataKitchen = the datakitchen for the current pair """ train_df = data_dictionary["train_features"] test_df = data_dictionary["test_features"] self.train_env = self.MyRLEnv(df=train_df, prices=prices_train, window_size=self.CONV_WIDTH, reward_kwargs=self.reward_params, config=self.config) self.eval_env = Monitor(self.MyRLEnv(df=test_df, prices=prices_test, window_size=self.CONV_WIDTH, reward_kwargs=self.reward_params, config=self.config)) self.eval_callback = EvalCallback(self.eval_env, deterministic=True, render=False, eval_freq=len(train_df), best_model_save_path=str(dk.data_path)) @abstractmethod def fit(self, data_dictionary: Dict[str, Any], dk: FreqaiDataKitchen, **kwargs): """ Agent customizations and abstract Reinforcement Learning customizations go in here. Abstract method, so this function must be overridden by user class. """ return def get_state_info(self, pair: str) -> Tuple[float, float, int]: """ State info during dry/live/backtesting which is fed back into the model. :param: pair: str = COIN/STAKE to get the environment information for :returns: market_side: float = representing short, long, or neutral for pair trade_duration: int = the number of candles that the trade has been open for """ open_trades = Trade.get_trades_proxy(is_open=True) market_side = 0.5 current_profit: float = 0 trade_duration = 0 for trade in open_trades: if trade.pair == pair: if self.strategy.dp._exchange is None: # type: ignore logger.error('No exchange available.') else: current_value = self.strategy.dp._exchange.get_rate( # type: ignore pair, refresh=False, side="exit", is_short=trade.is_short) openrate = trade.open_rate now = datetime.now(timezone.utc).timestamp() trade_duration = int((now - trade.open_date.timestamp()) / self.base_tf_seconds) if 'long' in str(trade.enter_tag): market_side = 1 current_profit = (current_value - openrate) / openrate else: market_side = 0 current_profit = (openrate - current_value) / openrate return market_side, current_profit, int(trade_duration) def predict( self, unfiltered_df: DataFrame, dk: FreqaiDataKitchen, **kwargs ) -> Tuple[DataFrame, npt.NDArray[np.int_]]: """ Filter the prediction features data and predict with it. :param: unfiltered_dataframe: Full dataframe for the current backtest period. :return: :pred_df: dataframe containing the predictions :do_predict: np.array of 1s and 0s to indicate places where freqai needed to remove data (NaNs) or felt uncertain about data (PCA and DI index) """ dk.find_features(unfiltered_df) filtered_dataframe, _ = dk.filter_features( unfiltered_df, dk.training_features_list, training_filter=False ) filtered_dataframe = dk.normalize_data_from_metadata(filtered_dataframe) dk.data_dictionary["prediction_features"] = filtered_dataframe # optional additional data cleaning/analysis self.data_cleaning_predict(dk) pred_df = self.rl_model_predict( dk.data_dictionary["prediction_features"], dk, self.model) pred_df.fillna(0, inplace=True) return (pred_df, dk.do_predict) def rl_model_predict(self, dataframe: DataFrame, dk: FreqaiDataKitchen, model: Any) -> DataFrame: """ A helper function to make predictions in the Reinforcement learning module. :params: dataframe: DataFrame = the dataframe of features to make the predictions on dk: FreqaiDatakitchen = data kitchen for the current pair model: Any = the trained model used to inference the features. """ output = pd.DataFrame(np.zeros(len(dataframe)), columns=dk.label_list) def _predict(window): market_side, current_profit, trade_duration = self.get_state_info(dk.pair) observations = dataframe.iloc[window.index] observations['current_profit_pct'] = current_profit observations['position'] = market_side observations['trade_duration'] = trade_duration res, _ = model.predict(observations, deterministic=True) return res output = output.rolling(window=self.CONV_WIDTH).apply(_predict) return output def build_ohlc_price_dataframes(self, data_dictionary: dict, pair: str, dk: FreqaiDataKitchen) -> Tuple[DataFrame, DataFrame]: """ Builds the train prices and test prices for the environment. """ coin = pair.split('/')[0] train_df = data_dictionary["train_features"] test_df = data_dictionary["test_features"] # price data for model training and evaluation tf = self.config['timeframe'] ohlc_list = [f'%-{coin}raw_open_{tf}', f'%-{coin}raw_low_{tf}', f'%-{coin}raw_high_{tf}', f'%-{coin}raw_close_{tf}'] rename_dict = {f'%-{coin}raw_open_{tf}': 'open', f'%-{coin}raw_low_{tf}': 'low', f'%-{coin}raw_high_{tf}': ' high', f'%-{coin}raw_close_{tf}': 'close'} prices_train = train_df.filter(ohlc_list, axis=1) prices_train.rename(columns=rename_dict, inplace=True) prices_train.reset_index(drop=True) prices_test = test_df.filter(ohlc_list, axis=1) prices_test.rename(columns=rename_dict, inplace=True) prices_test.reset_index(drop=True) return prices_train, prices_test def load_model_from_disk(self, dk: FreqaiDataKitchen) -> Any: """ Can be used by user if they are trying to limit_ram_usage *and* perform continual learning. For now, this is unused. """ exists = Path(dk.data_path / f"{dk.model_filename}_model").is_file() if exists: model = self.MODELCLASS.load(dk.data_path / f"{dk.model_filename}_model") else: logger.info('No model file on disk to continue learning from.') return model # Nested class which can be overridden by user to customize further class MyRLEnv(Base5ActionRLEnv): """ User can override any function in BaseRLEnv and gym.Env. Here the user sets a custom reward based on profit and trade duration. """ 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. :params: action: int = The action made by the agent for the current candle. :returns: float = the reward to give to the agent for current step (used for optimization of weights in NN) """ # first, penalize if the action is not valid if not self._is_valid(action): return -2 pnl = self.get_unrealized_profit() factor = 100. # reward agent for entering trades if (action in (Actions.Long_enter.value, Actions.Short_enter.value) and self._position == Positions.Neutral): return 25 # discourage agent from not entering trades if action == Actions.Neutral.value and self._position == Positions.Neutral: return -1 max_trade_duration = self.rl_config.get('max_trade_duration_candles', 300) if self._last_trade_tick: trade_duration = self._current_tick - self._last_trade_tick else: trade_duration = 0 if trade_duration <= max_trade_duration: factor *= 1.5 elif trade_duration > max_trade_duration: factor *= 0.5 # discourage sitting in position if (self._position in (Positions.Short, Positions.Long) and action == Actions.Neutral.value): return -1 * trade_duration / max_trade_duration # close long if action == Actions.Long_exit.value and self._position == Positions.Long: if pnl > self.profit_aim * self.rr: factor *= self.rl_config['model_reward_parameters'].get('win_reward_factor', 2) return float(pnl * factor) # close short if action == Actions.Short_exit.value and self._position == Positions.Short: if pnl > self.profit_aim * self.rr: factor *= self.rl_config['model_reward_parameters'].get('win_reward_factor', 2) return float(pnl * factor) return 0. def make_env(MyRLEnv: Type[gym.Env], env_id: str, rank: int, seed: int, train_df: DataFrame, price: DataFrame, reward_params: Dict[str, int], window_size: int, monitor: bool = False, config: Dict[str, Any] = {}) -> 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, config=config) if monitor: env = Monitor(env) return env set_random_seed(seed) return _init