import logging from enum import Enum from gym import spaces from freqtrade.freqai.RL.BaseEnvironment import BaseEnvironment, Positions logger = logging.getLogger(__name__) class Actions(Enum): Neutral = 0 Buy = 1 Sell = 2 class Base3ActionRLEnv(BaseEnvironment): """ Base class for a 3 action environment """ def __init__(self, **kwargs): super().__init__(**kwargs) self.actions = Actions def set_action_space(self): self.action_space = spaces.Discrete(len(Actions)) def step(self, action: int): """ Logic for a single step (incrementing one candle in time) by the agent :param: action: int = the action type that the agent plans to take for the current step. :returns: observation = current state of environment step_reward = the reward from `calculate_reward()` _done = if the agent "died" or if the candles finished info = dict passed back to openai gym lib """ self._done = False self._current_tick += 1 if self._current_tick == self._end_tick: self._done = True self._update_unrealized_total_profit() step_reward = self.calculate_reward(action) self.total_reward += step_reward self.tensorboard_log(self.actions._member_names_[action], category="actions") trade_type = None if self.is_tradesignal(action): if action == Actions.Buy.value: if self._position == Positions.Short: self._update_total_profit() self._position = Positions.Long trade_type = "long" self._last_trade_tick = self._current_tick elif action == Actions.Sell.value and self.can_short: if self._position == Positions.Long: self._update_total_profit() self._position = Positions.Short trade_type = "short" self._last_trade_tick = self._current_tick elif action == Actions.Sell.value and not self.can_short: self._update_total_profit() self._position = Positions.Neutral trade_type = "exit" self._last_trade_tick = None else: print("case not defined") if trade_type is not None: self.trade_history.append( {'price': self.current_price(), 'index': self._current_tick, 'type': trade_type, 'profit': self.get_unrealized_profit()}) if (self._total_profit < self.max_drawdown or self._total_unrealized_profit < self.max_drawdown): self._done = True self._position_history.append(self._position) info = dict( tick=self._current_tick, action=action, total_reward=self.total_reward, total_profit=self._total_profit, position=self._position.value, trade_duration=self.get_trade_duration(), current_profit_pct=self.get_unrealized_profit() ) observation = self._get_observation() self._update_history(info) return observation, step_reward, self._done, info def is_tradesignal(self, action: int) -> bool: """ Determine if the signal is a trade signal e.g.: agent wants a Actions.Buy while it is in a Positions.short """ return ( (action == Actions.Buy.value and self._position == Positions.Neutral) or (action == Actions.Sell.value and self._position == Positions.Long) or (action == Actions.Sell.value and self._position == Positions.Neutral and self.can_short) or (action == Actions.Buy.value and self._position == Positions.Short and self.can_short) ) def _is_valid(self, action: int) -> bool: """ Determine if the signal is valid. e.g.: agent wants a Actions.Sell while it is in a Positions.Long """ if self.can_short: return action in [Actions.Buy.value, Actions.Sell.value, Actions.Neutral.value] else: if action == Actions.Sell.value and self._position != Positions.Long: return False return True