Source code for tensortrade.rewards.reward_strategy

# Copyright 2019 The TensorTrade Authors.
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# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
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#     http://www.apache.org/licenses/LICENSE-2.0
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# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
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import pandas as pd

from abc import ABCMeta, abstractmethod

from tensortrade.trades import Trade


[docs]class RewardStrategy(object, metaclass=ABCMeta): def __init__(self): pass @property def exchange(self) -> 'InstrumentExchange': """The exchange being used by the current trading environment. Setting the exchange causes the strategy to reset.""" return self._exchange @exchange.setter def exchange(self, exchange: 'InstrumentExchange'): self._exchange = exchange self.reset()
[docs] def reset(self): """Optionally implementable method for resetting stateful strategies.""" pass
[docs] @abstractmethod def get_reward(self, current_step: int, trade: Trade) -> float: """ Arguments: current_step: The environment's current timestep. trade: The trade executed and filled this timestep. Returns: A float corresponding to the benefit earned by the action taken this timestep. """ raise NotImplementedError()