122 lines
4.7 KiB
Python
122 lines
4.7 KiB
Python
import logging
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from typing import Any, Dict # , Tuple
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import numpy as np
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# import numpy.typing as npt
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# import pandas as pd
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import torch as th
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# from pandas import DataFrame
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from typing import Callable
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from stable_baselines3 import PPO
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from stable_baselines3.common.callbacks import EvalCallback
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from stable_baselines3.common.vec_env import SubprocVecEnv
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from stable_baselines3.common.utils import set_random_seed
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from freqtrade.freqai.RL.Base3ActionRLEnv import Base3ActionRLEnv, Actions, Positions
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from freqtrade.freqai.RL.BaseReinforcementLearningModel import BaseReinforcementLearningModel
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from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
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import gym
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logger = logging.getLogger(__name__)
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def make_env(env_id: str, rank: int, seed: int, train_df, price,
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reward_params, window_size) -> Callable:
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"""
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Utility function for multiprocessed env.
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:param env_id: (str) the environment ID
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:param num_env: (int) the number of environment you wish to have in subprocesses
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:param seed: (int) the inital seed for RNG
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:param rank: (int) index of the subprocess
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:return: (Callable)
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"""
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def _init() -> gym.Env:
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env = MyRLEnv(df=train_df, prices=price, window_size=window_size,
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reward_kwargs=reward_params, id=env_id, seed=seed + rank)
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return env
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set_random_seed(seed)
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return _init
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class ReinforcementLearningPPO_multiproc(BaseReinforcementLearningModel):
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"""
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User created Reinforcement Learning Model prediction model.
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"""
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def fit_rl(self, data_dictionary: Dict[str, Any], pair: str, dk: FreqaiDataKitchen):
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agent_params = self.freqai_info['model_training_parameters']
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reward_params = self.freqai_info['model_reward_parameters']
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train_df = data_dictionary["train_features"]
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test_df = data_dictionary["test_features"]
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eval_freq = agent_params.get("eval_cycles", 4) * len(test_df)
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total_timesteps = agent_params["train_cycles"] * len(train_df)
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learning_rate = agent_params["learning_rate"]
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# price data for model training and evaluation
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price = self.dd.historic_data[pair][f"{self.config['timeframe']}"].tail(len(train_df.index))
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price_test = self.dd.historic_data[pair][f"{self.config['timeframe']}"].tail(
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len(test_df.index))
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env_id = "train_env"
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num_cpu = int(dk.thread_count / 2)
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train_env = SubprocVecEnv([make_env(env_id, i, 1, train_df, price, reward_params,
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self.CONV_WIDTH) for i in range(train_num_cpu)])
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eval_env_id = 'eval_env'
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eval_env = SubprocVecEnv([make_env(eval_env_id, i, 1, test_df, price_test, reward_params,
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self.CONV_WIDTH) for i in range(num_cpu)])
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path = dk.data_path
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eval_callback = EvalCallback(eval_env, best_model_save_path=f"{path}/",
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log_path=f"{path}/ppo/logs/", eval_freq=int(eval_freq),
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deterministic=True, render=False)
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# model arch
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policy_kwargs = dict(activation_fn=th.nn.ReLU,
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net_arch=[512, 512, 512])
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model = PPO('MlpPolicy', train_env, policy_kwargs=policy_kwargs,
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tensorboard_log=f"{path}/ppo/tensorboard/", learning_rate=learning_rate, gamma=0.9, verbose=1
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)
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model.learn(
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total_timesteps=int(total_timesteps),
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callback=eval_callback
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)
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# TODO get callback working so the best model is saved. For now we save last model
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# best_model = PPO.load(dk.data_path / "best_model.zip")
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print('Training finished!')
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eval_env.close()
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return model # best_model
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class MyRLEnv(Base3ActionRLEnv):
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"""
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User can override any function in BaseRLEnv and gym.Env
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"""
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def calculate_reward(self, action):
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if self._last_trade_tick is None:
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return 0.
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# close long
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if (action == Actions.Short.value or
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action == Actions.Neutral.value) and self._position == Positions.Long:
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last_trade_price = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open)
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current_price = self.add_sell_fee(self.prices.iloc[self._current_tick].open)
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return float(np.log(current_price) - np.log(last_trade_price))
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# close short
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if (action == Actions.Long.value or
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action == Actions.Neutral.value) and self._position == Positions.Short:
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last_trade_price = self.add_sell_fee(self.prices.iloc[self._last_trade_tick].open)
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current_price = self.add_buy_fee(self.prices.iloc[self._current_tick].open)
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return float(np.log(last_trade_price) - np.log(current_price))
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return 0.
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