Facebook Salina – Gym_AnyTrading
Slight modification of Facebook Salina Reinforcement Learning – A2C GPU example for financial series.
The gym FOREX data are provided by gym_anytrading library GitHub Page
With respect to the traditional CartPole-V0 gym, the stock_func is designed to provide in input a
FOREX trading gym:
def stock_func(max_episode_steps,seed=123, window_size=10, size_sample=100):
df = FOREX_EURUSD_1H_ASK.copy()
start_index = window_size
if size_sample < 0: ### put size_sample=-1 to consider the whole dataset.
end_index = len(df)
else:
end_index = size_sample
env = TimeLimit(gym.make('forex-v0', df=df, window_size=window_size, frame_bound=(start_index, end_index)), max_episode_steps=max_episode_steps)
env.seed(seed)
return env
A double tensor with diff close and relative gains are given in the gen_state function.
The latter transforms the ‘env/obs’ tensors collected from AutoResetGymAgent
into suitable tensors for Policy/Critic agent neural networks.
def _gen_state(observation):
index = torch.tensor([0])
diff_close = torch.transpose(torch.index_select(observation[0], 1, index), 1, 0)
index2 = torch.tensor([1])
buy_sell = torch.transpose(torch.index_select(observation[0], 1, index2), 1, 0)
observation = torch.squeeze(torch.stack([diff_close, buy_sell], dim=1))
return observation
I take no responsibility for the use of the code.
It is a simple test of SALINA’s potential for financial problems.
The software license remains the one indicated in the source code and respectively linked to the official Facebook SALINA repository GitHub Page
Francesco Bardozzo, PhD
[email protected] – NeuroneLab – University of Salerno – Italy
Pravesh Kriplani, PhD
[email protected] – NeuroneLab – University of Salerno – Italy
