Coverage for source/environment/trading_environment.py: 81%
220 statements
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1# environment/trading environment.py
3# global imports
4import copy
5import logging
6import math
7import numpy as np
8import pandas as pd
9import random
10from enum import Enum
11from gym import Env
12from gym.spaces import Box, Discrete
13from sklearn.preprocessing import StandardScaler
14from sklearn.model_selection import train_test_split
15from tensorflow.keras.utils import to_categorical
16from types import SimpleNamespace
17from typing import Any, Optional
19# local imports
20from source.environment import Broker, LabelAnnotatorBase, LabeledDataBalancer, RewardValidatorBase
22class TradingEnvironment(Env):
23 """
24 Implements stock market environment that actor can perform actions (place orders) in.
25 It is used to train various models using various approaches. Can be
26 configured to award points and impose a penalty in several ways.
27 """
29 class TradingMode(Enum):
30 """
31 Enumeration for the different trading modes.
32 """
34 IMPLICIT_ORDER_CLOSING = 0
35 EXPLICIT_ORDER_CLOSING = 1
37 # global class constants
38 TRAIN_MODE = 'train'
39 TEST_MODE = 'test'
41 def __init__(self, data: pd.DataFrame, initial_budget: float, max_amount_of_trades: int,
42 window_size: int, validator: RewardValidatorBase, label_annotator: LabelAnnotatorBase,
43 sell_stop_loss: float, sell_take_profit: float, buy_stop_loss: float, buy_take_profit: float,
44 test_ratio: float = 0.2, penalty_starts: int = 0, penalty_stops: int = 10,
45 static_reward_adjustment: float = 1, labeled_data_balancer: Optional[LabeledDataBalancer] = None,
46 meta_data: Optional[dict[str, Any]] = None, trading_mode: Optional[TradingMode] = None,
47 should_prefetch: bool = True) -> None:
48 """
49 Class constructor. Allows to define all crucial constans, reward validation methods,
50 environmental penalty policies, etc.
52 Parameters:
53 data (pd.DataFrame): DataFrame containing historical market data.
54 initial_budget (float): Initial budget constant for trader to start from.
55 max_amount_of_trades (int): Max amount of trades that can be ongoing at the same time.
56 Seting this constant prevents traders from placing orders randomly and defines
57 amount of money that can be assigned to a single order at certain iteration.
58 window_size (int): Constant defining how far in the past trader will be able to look
59 into at certain iteration.
60 validator (RewardValidatorBase): Validator implementing policy used to award points
61 for closed trades.
62 label_annotator (LabelAnnotatorBase): Annotator implementing policy used to label
63 data with target values. It is used to provide supervised agents with information
64 about what is the target class value for certain iteration.
65 sell_stop_loss (float): Constant used to define losing boundary at which sell order
66 (short) is closed.
67 sell_take_profit (float): Constant used to define winning boundary at which sell order
68 (short) is closed.
69 buy_stop_loss (float): Constant used to define losing boundary at which buy order
70 (long) is closed.
71 buy_take_profit (float): Constant used to define winning boundary at which buy order
72 (long) is closed.
73 test_ratio (float): Ratio of data that should be used for testing purposes.
74 penalty_starts (int): Constant defining how many trading periods can trader go without placing
75 an order until penalty is imposed. Penalty at range between start and stop constant
76 is calculated as percentile of positive reward, and subtracted from the actual reward.
77 penalty_stops (int): Constant defining at which trading period penalty will no longer be increased.
78 Reward for trading periods exceeding penalty stop constant will equal minus static reward adjustment.
79 static_reward_adjustment (float): Constant use to penalize trader for bad choices or
80 reward it for good one.
81 labeled_data_balancer (Optional[LabeledDataBalancer]): Balancer used to balance
82 labeled data. If None, no balancing will be performed.
83 meta_data (dict[str, Any]): Dictionary containing metadata about the dataset.
84 mode (TradingMode): Mode of the environment, either IMPLICIT_ORDER_CLOSING or EXPLICIT_ORDER_CLOSING.
85 should_prefetch (bool): If True, data will be pre-fetched to speed up training.
86 """
88 if test_ratio < 0.0 or test_ratio >= 1.0:
89 raise ValueError(f"Invalid test_ratio: {test_ratio}. It should be in range [0, 1).")
91 if trading_mode is None:
92 trading_mode = TradingEnvironment.TradingMode.IMPLICIT_ORDER_CLOSING
94 # Initializing the environment
95 self.__data: dict[pd.DataFrame, pd.DataFrame] = self.__split_data(data, test_ratio)
96 self.__meta_data: Optional[dict[str, Any]] = meta_data
97 self.__mode = TradingEnvironment.TRAIN_MODE
98 self.__trading_mode: TradingEnvironment.TradingMode = trading_mode
99 self.__should_prefetch: bool = should_prefetch
100 self.__broker: Broker = Broker()
101 self.__validator: RewardValidatorBase = validator
102 self.__label_annotator: LabelAnnotatorBase = label_annotator
103 self.__labeled_data_balancer: Optional[LabeledDataBalancer] = labeled_data_balancer
105 # Setting up trading data
106 self.__trading_data: SimpleNamespace = SimpleNamespace()
107 self.__trading_data.current_budget: float = initial_budget
108 self.__trading_data.currently_invested: float = 0
109 self.__trading_data.no_trades_placed_for: int = 0
110 self.__trading_data.currently_placed_trades: int = 0
112 # Setting up trading constants
113 self.__trading_consts = SimpleNamespace()
114 self.__trading_consts.INITIAL_BUDGET: float = initial_budget
115 self.__trading_consts.MAX_AMOUNT_OF_TRADES: int = max_amount_of_trades
116 self.__trading_consts.WINDOW_SIZE: int = window_size
117 self.__trading_consts.SELL_STOP_LOSS: float = sell_stop_loss
118 self.__trading_consts.SELL_TAKE_PROFIT: float = sell_take_profit
119 self.__trading_consts.BUY_STOP_LOSS: float = buy_stop_loss
120 self.__trading_consts.BUY_TAKE_PROFIT: float = buy_take_profit
121 self.__trading_consts.STATIC_REWARD_ADJUSTMENT: float = static_reward_adjustment
122 self.__trading_consts.PENALTY_STARTS: int = penalty_starts
123 self.__trading_consts.PENALTY_STOPS: int = penalty_stops
124 self.__trading_consts.PROFITABILITY_FUNCTION = lambda x: -1.0 * math.exp(-x + 1) + 1
125 self.__trading_consts.PENALTY_FUNCTION = lambda x: \
126 min(1, 1 - math.tanh(-3.0 * (x - penalty_stops) / (penalty_stops - penalty_starts)))
127 self.__trading_consts.OUTPUT_CLASSES: int = vars(self.__label_annotator.get_output_classes())
129 # Prefetching data if needed
130 if self.__should_prefetch:
131 self.__prefetched_data = { TradingEnvironment.TRAIN_MODE: None,
132 TradingEnvironment.TEST_MODE: None }
133 self.__mode = TradingEnvironment.TEST_MODE
134 self.__prefetched_data[self.__mode] = self.__prefetch_state_data(env_length_range = (self.__trading_consts.WINDOW_SIZE,
135 self.get_environment_length()))
136 self.__mode = TradingEnvironment.TRAIN_MODE
137 self.__prefetched_data[self.__mode] = self.__prefetch_state_data(env_length_range = (self.__trading_consts.WINDOW_SIZE,
138 self.get_environment_length()))
139 else:
140 self.__prefetched_data = None
142 # Initializing the environment state
143 self.current_iteration: int = self.__trading_consts.WINDOW_SIZE
144 self.state: list[float] = self.__get_current_state_data()
145 self.action_space: Discrete = Discrete(3)
146 self.observation_space: Box = Box(low = np.ones(len(self.state)) * -3,
147 high = np.ones(len(self.state)) * 3,
148 dtype = np.float64)
150 def __split_data(self, data: pd.DataFrame, test_size: float) -> dict[pd.DataFrame, pd.DataFrame]:
151 """
152 Splits the given DataFrame into training and testing sets based on the specified test size ratio.
154 Parameters:
155 data (pd.DataFrame): DataFrame containing the stock market data.
156 test_size (float): Ratio of the data to be used for testing.
158 Returns:
159 (dict[pd.DataFrame, pd.DataFrame]): Dictionary containing training and testing data frames.
160 """
162 dividing_index = int(len(data) * (1 - test_size))
164 return {
165 TradingEnvironment.TRAIN_MODE: data.iloc[:dividing_index].reset_index(drop=True),
166 TradingEnvironment.TEST_MODE: data.iloc[dividing_index:].reset_index(drop=True)
167 }
169 def __standard_scale(self, data: np.ndarray) -> np.ndarray:
170 """
171 Standardizes the given data by removing the mean and scaling to unit variance.
173 Parameters:
174 data (np.ndarray): The data to be standardized.
176 Returns:
177 (np.ndarray): The standardized data.
178 """
180 mean = np.mean(data, axis = 0, keepdims = True)
181 std = np.std(data, axis = 0, keepdims = True)
182 std[std == 0] = 1
184 return (data - mean) / std
186 def __prepare_state_data(self, slice_to_get: slice, include_trading_data: bool = True) -> list[float]:
187 """
188 Calculates state data as a list of floats representing current iteration's observation.
189 Observations contains all input data refined to window size and couple of coefficients
190 giving an insight into current budget and orders situation.
192 Parameters:
193 slice (slice): Slice to get the data from.
194 include_trading_data (bool): If True, includes trading data in the observation.
196 Returns:
197 (list[float]): List with current observations for environment.
198 """
200 current_market_data = self.__data[self.__mode].iloc[slice_to_get].copy()
201 current_market_data_no_index = current_market_data.select_dtypes(include = [np.number])
203 if self.__meta_data is not None and \
204 self.__meta_data.get('normalization_groups', None) is not None:
205 grouped_columns_names = self.__meta_data['normalization_groups']
206 preprocessed_data_pieces = []
207 left_over_columns_names = set(current_market_data_no_index.columns)
208 for columns_names_to_normalize in grouped_columns_names:
209 left_over_columns_names -= set(columns_names_to_normalize)
210 data_frame_piece_to_normalize = current_market_data_no_index[columns_names_to_normalize]
211 normalized_data_frame_piece = self.__standard_scale(data_frame_piece_to_normalize.values.reshape(-1, 1))
212 preprocessed_data_pieces.append(normalized_data_frame_piece.reshape(*data_frame_piece_to_normalize.shape))
213 for column in left_over_columns_names:
214 preprocessed_data_pieces.append(current_market_data_no_index[column].values.reshape(-1, 1))
215 normalized_current_market_data_values = np.hstack(preprocessed_data_pieces)
216 else:
217 normalized_current_market_data_values = self.__standard_scale(current_market_data_no_index.values)
218 current_marked_data_list = normalized_current_market_data_values.ravel().tolist()
220 if include_trading_data:
221 current_normalized_budget = 1.0 * self.__trading_data.current_budget / self.__trading_consts.INITIAL_BUDGET
222 current_profitability_coeff = self.__trading_consts.PROFITABILITY_FUNCTION(current_normalized_budget)
223 current_trades_occupancy_coeff = 1.0 * self.__trading_data.currently_placed_trades / self.__trading_consts.MAX_AMOUNT_OF_TRADES
224 current_no_trades_penalty_coeff = self.__trading_consts.PENALTY_FUNCTION(self.__trading_data.no_trades_placed_for)
225 current_inner_state_list = [current_profitability_coeff, current_trades_occupancy_coeff, current_no_trades_penalty_coeff]
226 current_marked_data_list += current_inner_state_list
228 return current_marked_data_list
230 def __prefetch_state_data(self, env_length_range: tuple[int, int], include_trading_data: bool = True) -> pd.DataFrame:
231 """
232 Prefetches state data for the given environment length range.
234 Parameters:
235 env_length_range (tuple[int, int]): Range to limit the length of the environment.
236 include_trading_data (bool): If True, includes trading data in the observation.
238 Returns:
239 (pd.DataFrame): DataFrame containing the pre-fetched state data.
240 """
242 new_rows = []
243 for i in range(env_length_range[0], env_length_range[1]):
244 data_row = self.__prepare_state_data(slice(i - self.__trading_consts.WINDOW_SIZE, i), include_trading_data = include_trading_data)
245 new_rows.append(data_row)
247 return pd.DataFrame(new_rows, columns = [f"feature_{i}" for i in range(len(new_rows[0]))])
249 def __prepare_labeled_data(self, env_length_range: tuple[int, int]) -> tuple[pd.DataFrame, pd.Series]:
250 """
251 Prepares labeled data for training the model with classification approach.
252 It extracts the relevant features and labels from the environment's data.
254 Parameters:
255 env_length_range (tuple[int, int]): Range to limit the length
257 Returns:
258 (tuple[pd.DataFrame, pd.Series]): A tuple containing the input data and output labels.
259 """
261 prefetched_data = self.__prefetch_state_data(env_length_range, include_trading_data = False)
262 labels = self.__label_annotator.annotate(self.__data[self.__mode]. \
263 iloc[:env_length_range[1]].copy()).shift(-env_length_range[0]).dropna()
265 return prefetched_data, labels
267 def __get_current_state_data(self) -> list[float]:
268 """
269 Retrieves the current state data from the environment.
271 Returns:
272 (list[float]): List with current observations for environment.
273 """
275 if self.__should_prefetch:
276 return self.__prefetched_data[self.__mode].iloc[self.current_iteration - self.__trading_consts.WINDOW_SIZE].values.ravel().tolist()
278 return self.__prepare_state_data(slice_to_get = slice(self.current_iteration - self.__trading_consts.WINDOW_SIZE, self.current_iteration))
281 def set_mode(self, mode: str) -> None:
282 """
283 Sets the mode of the environment to either TRAIN_MODE or TEST_MODE.
285 Parameters:
286 mode (str): Mode to set for the environment.
288 Raises:
289 ValueError: If the provided mode is not valid.
290 """
292 if mode not in [TradingEnvironment.TRAIN_MODE, TradingEnvironment.TEST_MODE]:
293 raise ValueError(f"Invalid mode: {mode}. Use TradingEnvironment.TRAIN_MODE or TradingEnvironment.TEST_MODE.")
294 self.__mode = mode
296 def get_mode(self) -> str:
297 """
298 Mode getter.
300 Returns:
301 (str): Current mode of the environment.
302 """
304 return copy.copy(self.__mode)
306 def get_trading_data(self) -> SimpleNamespace:
307 """
308 Trading data getter.
310 Returns:
311 (SimpleNamespace): Copy of the namespace with all trading data.
312 """
314 return copy.copy(self.__trading_data)
316 def get_number_of_trading_points_per_year(self) -> int:
317 """
318 Returns the number of trading points per year.
320 Returns:
321 (int): Number of trading points per year.
322 """
324 temp_data = {"time": pd.to_datetime(self.__data[self.TRAIN_MODE]['time'])}
325 temp_df = pd.DataFrame(temp_data)
326 temp_df['year'] = temp_df['time'].dt.year
328 trading_points_per_year = temp_df.groupby('year').size()
329 if len(trading_points_per_year) > 3:
330 # If there are more than three years, return the mode
331 # of the central years
332 return trading_points_per_year.iloc[1:-1].mode()[0]
333 elif len(trading_points_per_year) > 2:
334 # If there are only three years, return the middle year
335 return trading_points_per_year.values[-2]
336 else:
337 # If there are only two years, return the maximum
338 return max(trading_points_per_year.values)
340 def get_trading_consts(self) -> SimpleNamespace:
341 """
342 Trading constants getter.
344 Returns:
345 (SimpleNamespace): Copy of the namespace with all trading constants.
346 """
348 return copy.copy(self.__trading_consts)
350 def get_broker(self) -> Broker:
351 """
352 Broker getter.
354 Returns:
355 (Broker): Copy of the broker used by environment.
356 """
358 return copy.copy(self.__broker)
360 def get_environment_length(self) -> int:
361 """
362 Environment length getter.
364 Returns:
365 (Int): Length of environment.
366 """
368 return len(self.__data[self.__mode])
370 def get_environment_spatial_data_dimension(self) -> tuple[int, int]:
371 """
372 Environment spatial data dimensionality getter.
374 Returns:
375 (Int): Dimension of spatial data in environment.
376 """
378 return (self.__trading_consts.WINDOW_SIZE, self.__data[self.__mode].shape[1] - 1)
380 def get_labeled_data(self, should_split: bool = True, should_balance: bool = True,
381 verbose: bool = True, env_length_range: Optional[tuple[int, int]] = None) \
382 -> tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
383 """
384 Prepares labeled data for training or testing the model.
385 It extracts the relevant features and labels from the environment's data.
387 Parameters:
388 should_split (bool): Whether to split the data into training and testing sets.
389 Defaults to True. If set to False, testing data will be empty.
390 should_balance (bool): Whether to balance the labeled data. Defaults to True.
391 Will be ignored if labeled_data_balancer is None.
392 verbose (bool): Whether to log the class cardinality before and after balancing.
393 Defaults to True.
394 env_length_range (tuple[int, int]): Optional range to limit the range of the environment.
396 Returns:
397 (tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray]): A tuple containing the
398 input data, output data, test input data, and test output data.
399 """
401 if env_length_range is None:
402 env_length_range = (self.__trading_consts.WINDOW_SIZE, self.get_environment_length() - 1)
404 input_data, output_data = self.__prepare_labeled_data(env_length_range)
405 input_data_test, output_data_test = [], []
406 if verbose:
407 logging.info(f"Original class cardinality: {np.array(to_categorical(output_data)).sum(axis = 0)}")
409 if self.__mode == TradingEnvironment.TRAIN_MODE:
410 if should_split:
411 input_data, input_data_test, output_data, output_data_test = \
412 train_test_split(input_data, output_data, test_size = 0.1, random_state = 42,
413 stratify = output_data)
415 if self.__labeled_data_balancer is not None and should_balance:
416 input_data, output_data = self.__labeled_data_balancer.balance(input_data, output_data)
417 if verbose:
418 logging.info(f"Balanced class cardinality: {np.array(to_categorical(output_data)).sum(axis = 0)}")
420 return copy.copy((np.array(input_data), np.array(output_data),
421 np.array(input_data_test), np.array(output_data_test)))
423 def get_data_for_iteration(self, columns: list[str], start: int = 0, stop: Optional[int] = None,
424 step: int = 1) -> list[float]:
425 """
426 Data getter for certain iterations.
428 Parameters:
429 columns (list[str]): List of column names to extract from data.
430 start (int): Start iteration index. Defaults to 0.
431 stop (int): Stop iteration index. Defaults to environment length minus one.
432 step (int): Step between iterations. Defaults to 1.
434 Returns:
435 (list[float]): Copy of part of data with specified columns
436 over specified iterations.
437 """
439 if stop is None:
440 stop = self.get_environment_length() - 1
442 return copy.copy(self.__data[self.__mode].loc[start:stop:step, columns].values.ravel().tolist())
444 def step(self, action: int) -> tuple[list[float], float, bool, dict]:
445 """
446 Performs specified action on environment. It results in generation of the new
447 observations. This function causes trades to be handled, reward to be calculated and
448 environment to be updated.
450 Parameters:
451 action (int): Number specifing action. Possible values are 0 for buy action,
452 1 for wait action and 2 for sell action.
454 Returns:
455 (tuple[list[float], float, bool, dict]): Tuple containing next observation
456 state, reward, finish indication and additional info dictionary.
457 """
459 self.current_iteration += 1
460 self.state = self.__get_current_state_data()
462 close_changes = self.__data[self.__mode].iloc[self.current_iteration - 2 : self.current_iteration]['close'].values
463 stock_change_coeff = 1 + (close_changes[1] - close_changes[0]) / close_changes[0]
464 closed_orders = self.__broker.update_orders(stock_change_coeff)
466 if self.__trading_mode == TradingEnvironment.TradingMode.EXPLICIT_ORDER_CLOSING:
467 current_orders = self.__broker.get_current_orders()
468 if len(current_orders) > 0:
469 was_last_order_placed_as_buy = current_orders[-1].is_buy_order
470 if (action == 0 and not was_last_order_placed_as_buy) or \
471 (action == 2 and was_last_order_placed_as_buy):
472 closed_orders += self.__broker.force_close_orders()
474 reward = self.__validator.validate_orders(closed_orders)
475 self.__trading_data.currently_placed_trades -= len(closed_orders)
476 self.__trading_data.current_budget += np.sum([trade.current_value for trade in closed_orders])
477 self.__trading_data.currently_invested -= np.sum([trade.initial_value for trade in closed_orders])
479 number_of_possible_trades = self.__trading_consts.MAX_AMOUNT_OF_TRADES - self.__trading_data.currently_placed_trades
480 money_to_trade = 0
481 if number_of_possible_trades > 0:
482 money_to_trade = 1.0 / number_of_possible_trades * self.__trading_data.current_budget
484 if action == 0:
485 is_buy_order = True
486 stop_loss = self.__trading_consts.SELL_STOP_LOSS
487 take_profit = self.__trading_consts.SELL_TAKE_PROFIT
488 elif action == 2:
489 is_buy_order = False
490 stop_loss = self.__trading_consts.BUY_STOP_LOSS
491 take_profit = self.__trading_consts.BUY_TAKE_PROFIT
493 if action != 1:
494 if number_of_possible_trades > 0:
495 self.__trading_data.current_budget -= money_to_trade
496 self.__trading_data.currently_invested += money_to_trade
497 self.__broker.place_order(money_to_trade, is_buy_order, stop_loss, take_profit)
498 self.__trading_data.currently_placed_trades += 1
499 self.__trading_data.no_trades_placed_for = 0
500 reward += self.__trading_consts.STATIC_REWARD_ADJUSTMENT
501 else:
502 self.__trading_data.no_trades_placed_for += 1
503 reward -= self.__trading_consts.STATIC_REWARD_ADJUSTMENT
504 else:
505 self.__trading_data.no_trades_placed_for += 1
506 if number_of_possible_trades == 0:
507 reward += self.__trading_consts.STATIC_REWARD_ADJUSTMENT
509 if number_of_possible_trades > 0:
510 reward *= (1 - self.__trading_consts.PENALTY_FUNCTION(self.__trading_data.no_trades_placed_for)) \
511 if reward > 0 else 1
512 if self.__trading_consts.PENALTY_STOPS < self.__trading_data.no_trades_placed_for:
513 reward -= self.__trading_consts.STATIC_REWARD_ADJUSTMENT
515 if (self.current_iteration >= self.get_environment_length() - 1 or
516 self.__trading_data.current_budget > 10 * self.__trading_consts.INITIAL_BUDGET or
517 (self.__trading_data.current_budget + self.__trading_data.currently_invested) / self.__trading_consts.INITIAL_BUDGET < 0.8):
518 done = True
519 else:
520 done = False
522 info = {'coeff': stock_change_coeff,
523 'iteration': self.current_iteration,
524 'number_of_closed_orders': len(closed_orders),
525 'money_to_trade': money_to_trade,
526 'action': action,
527 'current_budget': self.__trading_data.current_budget,
528 'currently_invested': self.__trading_data.currently_invested,
529 'no_trades_placed_for': self.__trading_data.no_trades_placed_for,
530 'currently_placed_trades': self.__trading_data.currently_placed_trades}
532 return self.state, reward, done, info
534 def render(self) -> None:
535 """
536 Renders environment visualization. Will be implemented later.
537 """
539 #TODO: Visualization to be implemented
540 pass
542 def reset(self, randkey: Optional[int] = None) -> list[float]:
543 """
544 Resets environment. Used typically if environemnt is finished,
545 i.e. when ther is no more steps to be taken within environemnt
546 or finish conditions are fulfilled.
548 Parameters:
549 randkey (Optional[int]): Value indicating what iteration
550 should be trated as starting point after reset.
552 Returns:
553 (list[float]): Current iteration observation state.
554 """
556 if randkey is None:
557 randkey = random.randint(self.__trading_consts.WINDOW_SIZE, self.get_environment_length() - 1)
558 self.__trading_data.current_budget = self.__trading_consts.INITIAL_BUDGET
559 self.__trading_data.currently_invested = 0
560 self.__trading_data.no_trades_placed_for = 0
561 self.__trading_data.currently_placed_trades = 0
562 self.__broker.reset()
563 self.current_iteration = randkey
564 self.state = self.__get_current_state_data()
566 return self.state