TradingGym

[](https://travis-ci.org/Yvictor/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