A toolkit for training and backtesting the reinforcement learning algorithms

TradingGym

TradingGym is a toolkit for training and backtesting the reinforcement learning algorithms. This was inspired by OpenAI Gym and imitated the framework form. Not only traning env but also has backtesting and in the future will implement realtime trading env with Interactivate Broker API and so on.

This training env originally design for tickdata, but also support for ohlc data format. WIP.

Installation

git clone https://github.com/Yvictor/TradingGym.git
cd TradingGym
python setup.py install

Getting Started

import random
import numpy as np
import pandas as pd
import trading_env

df = pd.read_hdf('dataset/SGXTW.h5', 'STW')

env = trading_env.make(env_id='training_v1', obs_data_len=256, step_len=128,
                       df=df, fee=0.1, max_position=5, deal_col_name='Price', 
                       feature_names=['Price', 'Volume', 
                                      'Ask_price','Bid_price', 
                                      'Ask_deal_vol','Bid_deal_vol',
                                      'Bid/Ask_deal', 'Updown'])

env.reset()
env.render()

state, reward, done, info = env.step(random.randrange(3))

### randow choice action and show the transaction detail
for i in range(500):
    print(i)
    state, reward, done, info = env.step(random.randrange(3))
    print(state, reward)
    env.render()
    if done:
        break
env.transaction_details

• obs_data_len: observation data length
• step_len: when call step rolling windows will + step_len
• df exmaple

index	datetime	bid	ask	price	volume	serial_number	dealin
0	2010-05-25 08:45:00	7188.0	7188.0	7188.0	527.0	0.0	0.0
1	2010-05-25 08:45:00	7188.0	7189.0	7189.0	1.0	1.0	1.0
2	2010-05-25 08:45:00	7188.0	7189.0	7188.0	1.0	2.0	-1.0
3	2010-05-25 08:45:00	7188.0	7189.0	7188.0	4.0	3.0	-1.0
4	2010-05-25 08:45:00	7188.0	7189.0	7188.0	2.0	4.0	-1.0

• df: dataframe that contain data for trading

serial_number -> serial num of deal at each day recalculating

• fee: when each deal will pay the fee, set with your product.
• max_position: the max market position for you trading share.
• deal_col_name: the column name for cucalate reward used.
• feature_names: list contain the feature columns to use in trading status.

Training

simple dqn

• WIP

policy gradient

• WIP

actor-critic

• WIP

A3C with RNN

• WIP

Backtesting

• loading env just like training

env = trading_env.make(env_id='backtest_v1', obs_data_len=1024, step_len=512,
                       df=df, fee=0.1, max_position=5, deal_col_name='Price', 
                        feature_names=['Price', 'Volume', 
                                       'Ask_price','Bid_price', 
                                       'Ask_deal_vol','Bid_deal_vol',
                                       'Bid/Ask_deal', 'Updown'])

• load your own agent

class YourAgent:
    def __init__(self):
        # build your network and so on
        pass
    def choice_action(self, state):
        ## your rule base conditon or your max Qvalue action or Policy Gradient action
         # action=0 -> do nothing
         # action=1 -> buy 1 share
         # action=2 -> sell 1 share
        ## in this testing case we just build a simple random policy 
        return np.random.randint(3)

• start to backtest

agent = YourAgent()

transactions = []
while not env.backtest_done:
    state = env.backtest()
    done = False
    while not done:
        state, reward, done, info = env.step(agent.choice_action(state))
        #print(state, reward)
        #env.render()
        if done:
            transactions.append(info)
            break
transaction = pd.concate(transactions)
transaction

exmaple of rule base usage

• ma crossover and crossunder

env = trading_env.make(env_id='backtest_v1', obs_data_len=10, step_len=1,
                       df=df, fee=0.1, max_position=5, deal_col_name='Price', 
                       feature_names=['Price', 'MA'])
class MaAgent:
    def __init__(self):
        pass
        
    def choice_action(self, state):
        if state[-1][0] > state[-1][1] and state[-2][0] <= state[-2][1]:
            return 1
        elif state[-1][0] < state[-1][1] and state[-2][0] >= state[-2][1]:
            return 2
        else:
            return 0
# then same as above

GitHub

https://github.com/Yvictor/TradingGym