import logging from typing import Any, Dict, Tuple import numpy as np import numpy.typing as npt import pandas as pd from pandas import DataFrame from freqtrade.freqai.data_kitchen import FreqaiDataKitchen from freqtrade.freqai.freqai_interface import IFreqaiModel from freqtrade.freqai.prediction_models.RL.RLPrediction_agent import RLPrediction_agent from freqtrade.freqai.prediction_models.RL.RLPrediction_agent_v2 import TDQN #from freqtrade.freqai.prediction_models.RL.RLPrediction_env import GymAnytrading from freqtrade.freqai.prediction_models.RL.RLPrediction_env import DEnv from freqtrade.persistence import Trade from stable_baselines3.common.vec_env import SubprocVecEnv from stable_baselines3.common.monitor import Monitor import torch as th from stable_baselines3.common.callbacks import CallbackList, CheckpointCallback, EvalCallback, StopTrainingOnRewardThreshold from stable_baselines3.common.buffers import ReplayBuffer from stable_baselines3 import PPO logger = logging.getLogger(__name__) class ReinforcementLearningModel(IFreqaiModel): """ User created Reinforcement Learning Model prediction model. """ def train( self, unfiltered_dataframe: DataFrame, pair: str, dk: FreqaiDataKitchen ) -> 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_dataframe: 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} --------------------") # filter the features requested by user in the configuration file and elegantly handle NaNs features_filtered, labels_filtered = dk.filter_features( unfiltered_dataframe, 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() # useless for now, but just satiating append methods # normalize all data based on train_dataset only data_dictionary = dk.normalize_data(data_dictionary) # optional additional data cleaning/analysis self.data_cleaning_train(dk) logger.info( f'Training model on {len(dk.data_dictionary["train_features"].columns)}' " features" ) logger.info(f'Training model on {len(data_dictionary["train_features"])} data points') model = self.fit(data_dictionary, pair) if pair not in self.dd.historic_predictions: self.set_initial_historic_predictions( data_dictionary['train_features'], model, dk, pair) self.dd.save_historic_predictions_to_disk() logger.info(f"--------------------done training {pair}--------------------") return model def fit(self, data_dictionary: Dict[str, Any], pair: str = ''): # train_df = data_dictionary["train_features"] # # train_labels = data_dictionary["train_labels"] # test_df = data_dictionary["test_features"] # # test_labels = data_dictionary["test_labels"] # # sep = '/' # # coin = pair.split(sep, 1)[0] # # price = train_df[f"%-{coin}raw_price_{self.config['timeframe']}"] # # price.reset_index(inplace=True, drop=True) # # price = price.to_frame() # 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)) # #train_env = GymAnytrading(train_df, price, self.CONV_WIDTH) # agent_params = self.freqai_info['model_training_parameters'] # reward_params = self.freqai_info['model_reward_parameters'] # train_env = DEnv(df=train_df, prices=price, window_size=self.CONV_WIDTH, reward_kwargs=reward_params) # #eval_env = DEnv(df=test_df, prices=price_test, window_size=self.CONV_WIDTH, reward_kwargs=reward_params) # #env_instance = SubprocVecEnv([DEnv(df=train_df, prices=price, window_size=self.CONV_WIDTH, reward_kwargs=reward_params)]) # #train_env.reset() # #eval_env.reset() # # model # #policy_kwargs = dict(net_arch=[512, 512, 512]) # policy_kwargs = dict(activation_fn=th.nn.Tanh, # net_arch=[256, 256, 256]) # agent = RLPrediction_agent(train_env) # #eval_agent = RLPrediction_agent(eval_env) # # PPO # model_name = 'ppo' # model = agent.get_model(model_name, model_kwargs=agent_params, policy_kwargs=policy_kwargs) # trained_model = agent.train_model(model=model, # tb_log_name=model_name, # model_kwargs=agent_params, # train_df=train_df, # test_df=test_df, # price=price, # price_test=price_test, # window_size=self.CONV_WIDTH) # # best_model = eval_agent.train_model(model=model, # # tb_log_name=model_name, # # model_kwargs=agent_params, # # eval=eval_env) # # TDQN # # model_name = 'TDQN' # # model = TDQN('TMultiInputPolicy', train_env, policy_kwargs=policy_kwargs, tensorboard_log='./tensorboard_log/', # # learning_rate=agent_params["learning_rate"], gamma=0.9, # # target_update_interval=5000, buffer_size=50000, # # exploration_initial_eps=1, exploration_final_eps=0.1, # # replay_buffer_class=ReplayBuffer # # ) # # trained_model = agent.train_model(model=model, # # tb_log_name=model_name, # # model_kwargs=agent_params) # #model.learn( # # total_timesteps=5000, # # callback=callback # # ) 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"] # 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)) # environments train_env = DEnv(df=train_df, prices=price, window_size=self.CONV_WIDTH, reward_kwargs=reward_params) eval = DEnv(df=test_df, prices=price_test, window_size=self.CONV_WIDTH, reward_kwargs=reward_params) eval_env = Monitor(eval, ".") eval_env.reset() # this should be in config - TODO agent_type = 'tdqn' path = self.dk.data_path eval_callback = EvalCallback(eval_env, best_model_save_path=f"{path}/", log_path=f"{path}/{agent_type}/logs/", eval_freq=10000, deterministic=True, render=False) # model arch policy_kwargs = dict(activation_fn=th.nn.Tanh, net_arch=[512, 512, 512]) if agent_type == 'tdqn': model = TDQN('TMultiInputPolicy', train_env, policy_kwargs=policy_kwargs, tensorboard_log=f"{path}/{agent_type}/tensorboard/", learning_rate=0.00025, gamma=0.9, target_update_interval=5000, buffer_size=50000, exploration_initial_eps=1, exploration_final_eps=0.1, replay_buffer_class=ReplayBuffer ) elif agent_type == 'ppo': model = PPO('MultiInputPolicy', train_env, policy_kwargs=policy_kwargs, tensorboard_log=f"{path}/{agent_type}/tensorboard/", learning_rate=0.00025, gamma=0.9 ) model.learn( total_timesteps=agent_params["total_timesteps"], callback=eval_callback ) print('Training finished!') return model def get_state_info(self, pair): open_trades = Trade.get_trades(trade_filter=Trade.is_open.is_(True)) market_side = 0.5 current_profit = 0 for trade in open_trades: if trade.pair == pair: current_value = trade.open_trade_value openrate = trade.open_rate if 'long' in trade.enter_tag: market_side = 1 else: market_side = 0 current_profit = current_value / openrate -1 total_profit = 0 closed_trades = Trade.get_trades(trade_filter=[Trade.is_open.is_(False), Trade.pair == pair]) for trade in closed_trades: total_profit += trade.close_profit return market_side, current_profit, total_profit def predict( self, unfiltered_dataframe: DataFrame, dk: FreqaiDataKitchen, first: bool = False ) -> 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_dataframe) filtered_dataframe, _ = dk.filter_features( unfiltered_dataframe, 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, filtered_dataframe) 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: output = pd.DataFrame(np.full((len(dataframe), 1), 2), columns=dk.label_list) def _predict(window): observations = dataframe.iloc[window.index] res, _ = model.predict(observations, deterministic=True) return res output = output.rolling(window=self.CONV_WIDTH).apply(_predict) return output def set_initial_historic_predictions( self, df: DataFrame, model: Any, dk: FreqaiDataKitchen, pair: str ) -> None: pred_df = self.rl_model_predict(df, dk, model) pred_df.fillna(0, inplace=True) self.dd.historic_predictions[pair] = pred_df hist_preds_df = self.dd.historic_predictions[pair] for label in hist_preds_df.columns: if hist_preds_df[label].dtype == object: continue hist_preds_df[f'{label}_mean'] = 0 hist_preds_df[f'{label}_std'] = 0 hist_preds_df['do_predict'] = 0 if self.freqai_info['feature_parameters'].get('DI_threshold', 0) > 0: hist_preds_df['DI_values'] = 0 for return_str in dk.data['extra_returns_per_train']: hist_preds_df[return_str] = 0