Chapter 16: Finance

Author: ebilgin

Chapter16/tt_example.py

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+"""
+This code is taken and slightly modified from:
+https://www.tensortrade.org/en/latest/agents/overview.html#ray
+"""
+import numpy as np
+from ray import tune
+from ray.tune.registry import register_env
+import tensortrade.env.default as default
+from tensortrade.feed.core import DataFeed, Stream
+from tensortrade.oms.instruments import Instrument
+from tensortrade.oms.exchanges import Exchange
+from tensortrade.oms.services.execution.simulated import execute_order
+from tensortrade.oms.wallets import Wallet, Portfolio
+
+
+USD = Instrument("USD", 2, "U.S. Dollar")
+TTC = Instrument("TTC", 8, "TensorTrade Coin")
+
+
+def create_env(config):
+    x = np.arange(0, 2*np.pi, 2*np.pi / 1000)
+    p = Stream.source(50*np.sin(3*x) + 100,
+                      dtype="float").rename("USD-TTC")
+
+    coinbase = Exchange("coinbase", service=execute_order)(
+        p
+    )
+
+    cash = Wallet(coinbase, 100000 * USD)
+    asset = Wallet(coinbase, 0 * TTC)
+
+    portfolio = Portfolio(USD, [
+        cash,
+        asset
+    ])
+
+    feed = DataFeed([
+        p,
+        p.rolling(window=10).mean().rename("fast"),
+        p.rolling(window=50).mean().rename("medium"),
+        p.rolling(window=100).mean().rename("slow"),
+        p.log().diff().fillna(0).rename("lr")
+    ])
+
+    reward_scheme = default.rewards.SimpleProfit()
+
+    action_scheme = default.actions.BSH(
+        cash=cash,
+        asset=asset
+    )
+
+    env = default.create(
+        feed=feed,
+        portfolio=portfolio,
+        action_scheme=action_scheme,
+        reward_scheme=reward_scheme,
+        window_size=config["window_size"],
+        max_allowed_loss=0.6
+    )
+    return env
+
+register_env("TradingEnv", create_env)
+
+
+analysis = tune.run(
+    "PPO",
+    stop={
+      "episode_reward_mean": 500
+    },
+    config={
+        "env": "TradingEnv",
+        "env_config": {
+            "window_size": 25
+        },
+        "ignore_worker_failures": True,
+        "num_workers": 60,
+        "num_gpus": 0,
+        "observation_filter": "MeanStdFilter",
+    },
+    checkpoint_freq=5
+)