import logging from typing import Any, Dict # , Tuple import numpy as np # import numpy.typing as npt # import pandas as pd import torch as th # from pandas import DataFrame from stable_baselines3 import PPO from stable_baselines3.common.callbacks import EvalCallback from stable_baselines3.common.monitor import Monitor # from stable_baselines3.common.vec_env import SubprocVecEnv from freqtrade.freqai.RL.BaseRLEnv import BaseRLEnv, Actions, Positions from freqtrade.freqai.RL.BaseReinforcementLearningModel import BaseReinforcementLearningModel logger = logging.getLogger(__name__) class ReinforcementLearningPPO(BaseReinforcementLearningModel): """ User created Reinforcement Learning Model prediction model. """ def fit(self, data_dictionary: Dict[str, Any], pair: str = ''): 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"] eval_freq = agent_params["eval_cycles"] * len(test_df) total_timesteps = agent_params["train_cycles"] * len(train_df) # 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 = MyRLEnv(df=train_df, prices=price, window_size=self.CONV_WIDTH, reward_kwargs=reward_params) eval = MyRLEnv(df=test_df, prices=price_test, window_size=self.CONV_WIDTH, reward_kwargs=reward_params) eval_env = Monitor(eval, ".") eval_env.reset() path = self.dk.data_path eval_callback = EvalCallback(eval_env, best_model_save_path=f"{path}/", log_path=f"{path}/ppo/logs/", eval_freq=int(eval_freq), deterministic=True, render=False) # model arch policy_kwargs = dict(activation_fn=th.nn.ReLU, net_arch=[256, 256, 128]) model = PPO('MultiInputPolicy', train_env, policy_kwargs=policy_kwargs, tensorboard_log=f"{path}/ppo/tensorboard/", learning_rate=0.00025, gamma=0.9 ) model.learn( total_timesteps=int(total_timesteps), callback=eval_callback ) print('Training finished!') return model class MyRLEnv(BaseRLEnv): """ User can override any function in BaseRLEnv and gym.Env """ def step(self, action): self._done = False self._current_tick += 1 if self._current_tick == self._end_tick: self._done = True self.update_portfolio_log_returns(action) self._update_profit(action) step_reward = self._calculate_reward(action) self.total_reward += step_reward trade_type = None if self.is_tradesignal(action): """ Action: Neutral, position: Long -> Close Long Action: Neutral, position: Short -> Close Short Action: Long, position: Neutral -> Open Long Action: Long, position: Short -> Close Short and Open Long Action: Short, position: Neutral -> Open Short Action: Short, position: Long -> Close Long and Open Short """ if action == Actions.Neutral.value: self._position = Positions.Neutral trade_type = "neutral" elif action == Actions.Long.value: self._position = Positions.Long trade_type = "long" elif action == Actions.Short.value: self._position = Positions.Short trade_type = "short" else: print("case not defined") # Update last trade tick self._last_trade_tick = self._current_tick if trade_type is not None: self.trade_history.append( {'price': self.current_price(), 'index': self._current_tick, 'type': trade_type}) if self._total_profit < 0.2: self._done = True self._position_history.append(self._position) observation = self._get_observation() info = dict( tick=self._current_tick, total_reward=self.total_reward, total_profit=self._total_profit, position=self._position.value ) self._update_history(info) return observation, step_reward, self._done, info def calculate_reward(self, action): if self._last_trade_tick is None: return 0. # close long if (action == Actions.Short.value or action == Actions.Neutral.value) and self._position == Positions.Long: last_trade_price = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open) current_price = self.add_sell_fee(self.prices.iloc[self._current_tick].open) return float(np.log(current_price) - np.log(last_trade_price)) # close short if (action == Actions.Long.value or action == Actions.Neutral.value) and self._position == Positions.Short: last_trade_price = self.add_sell_fee(self.prices.iloc[self._last_trade_tick].open) current_price = self.add_buy_fee(self.prices.iloc[self._current_tick].open) return float(np.log(last_trade_price) - np.log(current_price)) return 0.